Related papers: Optimal equilibrium for a reformulated Samuelson e…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…
Normal-form proper equilibrium, introduced by Myerson as a refinement of normal-form perfect equilibrium, occupies a distinctive position in the equilibrium analysis of extensive-form games because its more stringent perturbation structure…
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…
In this paper I propose a micro-based innovation driven general equilibrium growth-model allowing for endogenous entry and exit as well as three different types of research. I make the novel distinction between three types of firms, namely…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
This paper investigates the synthesis of distributed economic control algorithms under which dynamically coupled physical systems are regulated to a variational equilibrium of a constrained convex game. We study two complementary cases: (i)…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
Economics has long been a science of static equilibria, in which time is a second-order rather than first-order concern. Without time, economic modelers may neglect or obscure the role of time-dependent phenomena, e.g. path-dependency, and…
This paper is concerned with second-order optimality conditions for Tikhonov regularized optimal control problems governed by the obstacle problem. Using a simple observation that allows to characterize the structure of optimal controls on…
We explore the class of trilevel equilibrium problems with a focus on energy-environmental applications and present a novel single-level reformulation for such problems, based on strong duality. To the best of our knowledge, only one…
This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…
In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a…
Using an operatorial formalism, we study the Kramers equation and its applications to numerical simulations. We obtain classes of algorithms which may be made precise at every desired order in the time step $\epsilon$ and with a set of free…
This paper studies optimal consumption and saving decisions under uncertainty about the transition dynamics of the economic environment. We consider a general optimal savings problem in which the exogenous state governing discounting,…
In this paper we consider resource allocation problem stated as a convex minimization problem with linear constraints. To solve this problem, we use gradient and accelerated gradient descent applied to the dual problem and prove the…
Recently Bramoulle and Kranton presented a model for the provision of public goods over a network and showed the existence of a class of Nash equilibria called specialized equilibria wherein some agents exert maximum effort while other…
We study a statistical model consisting of $N$ basic units which interact with each other by exchanging a physical entity, according to a given microscopic random law, depending on a parameter $\lambda$. We focus on the equilibrium or…
We focus on optimal control problems governed by elliptic, quasilinear PDEs. Though there are various examples of such problems in the literature, we make an attempt at describing some general principles by dealing with three basic…
We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly…
This paper studies a type of consumption preference where some adjustment costs are incured whenever the past spending maximum and the past spending minimum records are updated. This preference can capture the adverse effects of the…