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We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption processes, without any a priori boundedness constraint. A…
The paper deals with the study of labor market dynamics, and aims to characterize its equilibriums and possible trajectories. The theoretical background is the theory of the segmented labor market. The main idea is that this theory is well…
This paper develops a model of in-kind redistribution where consumers participate in either a private market or a government-designed program, but not both. We characterize when a social planner, seeking to maximize weighted total surplus,…
This paper introduces dynamic mechanism design in an elementary fashion. We first examine optimal dynamic mechanisms: We find necessary and sufficient conditions for perfect Bayesian incentive compatibility and formulate the optimal dynamic…
The paper provides consistent mathematical framework for seminal Tiebout free-mobility model (1956). Our setting supports continuum of consumers with multidimensional preferences and finite number of strategic public good providers. We…
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…
This paper studies the optimal extraction policy of an oil field as well as the efficient taxation of the revenues generated. Taking into account the fact that the oil price in worldwide commodity markets fluctuates randomly following…
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal…
Various formulations of counterfactual general equilibrium in economies -- systems of actors manipulating economic goods -- are logically and mathematically analyzed. Evenly-rotating economies are systems whose evolution is stable, steady,…
We introduce an extended mathematical programming framework for specifying equilibrium problems and their variational representations, such as generalized Nash equilibrium, multiple optimization problems with equilibrium constraints, and…
Most of the econometric and econophysics models have been borrowed from the statistical physics, and as a cosequence, a new interdisciplinary science called econophysics has emerged. In this paper we planned to extend the analogy between…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
This work focuses on numerical solutions of optimal control problems. A time discretization error representation is derived for the approximation of the associated value function. It concerns Symplectic Euler solutions of the Hamiltonian…
We consider any network environment in which the "best shot game" is played. This is the case where the possible actions are only two for every node (0 and 1), and the best response for a node is 1 if and only if all her neighbors play 0. A…
In this paper we consider mean-field optimal control problems with selective action of the control, where the constraint is a continuity equation involving a non-local term and diffusion. First order optimality conditions are formally…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
This paper gives a constructive treatment of McKenzie's theorem on the existence of general equilibria. While the full theorem does not admit a constructive proof, and hence does not admit a computational realisation, we show that if we…
With recent development of artificial intelligence, it is more common to adopt AI agents in economic activities. This paper explores the economic actions of agents, including human agents and AI agents, in an economic game of trading…
In society, mutual cooperation, defection, and asymmetric exploitative relationships are common. Whereas cooperation and defection are studied extensively in the literature on game theory, asymmetric exploitative relationships between…