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We have studied inflationary paradigm through an inflationary equation of state. With a single parameter equation of state as a function of the scalar field responsible for accelerated expansion, we find an observationally viable model…

We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…

The paper analyzes the interactions among one public firm and $n$ private firms on the market, in the framework of a discrete-time Cournot game with time delay. The production of the public firm is influenced by previous output levels of…

We propose a new approach to utilities that is consistent with state-dependent utilities. In our model utilities reflect the level of consumption satisfaction of flows of cash in future times as they are valued when the economic agents are…

We consider a sequential decision model over multi-tier supply chain networks and show that in particular, for series parallel networks, there is a unique equilibrium. We provide a linear time algorithm to compute the equilibrium and study…

In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…

We propose an optimal portfolio problem in the incomplete market where the underlying assets depend on economic factors with delayed effects, such models can describe the short term forecasting and the interaction with time lag among…

While load balancing in distributed-memory computing has been well-studied, we present an innovative approach to this problem: a unified, reduced-order model that combines three key components to describe "work" in a distributed system:…

We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…

Optimal transport has become part of the standard quantitative economics toolbox. It is the framework of choice to describe models of matching with transfers, but beyond that, it allows to: extend quantile regression; identify discrete…

Capacity restrictions in stores, maintained by mechanisms like spacing customer intake, became familiar features of retailing in the time of the pandemic. Shopping rates in a crowded store under a social distance regime is prone to…

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…

This paper investigates an infinite-horizon problems in the one-dimensional calculus of variations, arising from the Ramsey model of endogeneous economic growth. Following Chichilnisky, we introduce an additional term, which models concern…

Optimal designs are usually model-dependent and likely to be sub-optimal if the postulated model is not correctly specified. In practice, it is common that a researcher has a list of candidate models at hand and a design has to be found…

Given an argumentation network with initial values to the arguments, we look for algorithms which can yield extensions compatible with such initial values. We find that the best way of tackling this problem is to offer an iteration formula…

We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal…

We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…

This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…

General equilibrium, the cornerstone of modern economics and finance, rests on assumptions many markets do not meet. Spectrum auctions, electricity markets, and cap-and-trade programs for resource rights often feature non-convexities in…

This paper presents a Newton-based stochastic extremum-seeking control method for real-time optimization in multi-input systems with distinct input delays. It combines predictor-based feedback and Hessian inverse estimation via stochastic…