Related papers: The time interpretation of expected utility theory
We present a novel system of equations to describe the evolution of self-organized structured societies (biological or human) composed of several trait groups. The suggested approach is based on the combination of ideas employed in the…
We apply the maximum entropy principle to economic systems in equilibrium and find the density function for the market's wealth. This is the same as price density which is used for insurance pricing. The risk aversion parameter of the agent…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
Understanding the evolutionary stability of cooperation is a central problem in biology, sociology, and economics. There exist only a few known mechanisms that guarantee the existence of cooperation and its robustness to cheating. Here, we…
In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach…
We study the optimization of ergodic averages for multi-valued dynamical systems, i.e. where points may have multiple different forward orbits. Under upper semi-continuity assumptions, we show that the maximum space average with respect to…
Work extraction in quantum finite systems is an important issue in quantum thermodynamics. The optimal work extracted is called ergotropy, and it is achieved by maximizing the average work extracted over all the unitary cycles. However, an…
We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…
We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal…
Functional decision theory (FDT) is a fairly new mode of decision theory and a normative viewpoint on how an agent should maximize expected utility. The current standard in decision theory and computer science is causal decision theory…
Ergodic Optimization is the process of finding invariant probability measures that maximize the integral of a given function. It has been conjectured that "most" functions are optimized by measures supported on a periodic orbit, and it has…
Protecting against cyber-threats is vital for every organization and can be done by investing in cybersecurity controls and purchasing cyber insurance. However, these are interlinked since insurance premiums could be reduced by investing…
We study the dynamics of individual agents in some kinetic models of wealth exchange, particularly, the models with savings. For the model with uniform savings, agents perform simple random walks in the "wealth space". On the other hand, we…
Epochal dynamics, in which long periods of stasis in population fitness are punctuated by sudden innovations, is a common behavior in both natural and artificial evolutionary processes. We use a recent quantitative mathematical analysis of…
This paper models the US-China trade conflict and attempts to analyze the (optimal) strategic choices. In contrast to the existing literature on the topic, we employ the expected utility theory and examine the conflict mathematically. In…
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We…
This paper considers a dynamic game with transferable utilities (TU), where the characteristic function is a continuous-time bounded mean ergodic process. A central planner interacts continuously over time with the players by choosing the…
We consider a sharing economy network where agents embedded in a graph share their resources. This is a fundamental model that abstracts numerous emerging applications of collaborative consumption systems. The agents generate a random…
In the framework of statistical mechanics the properties of macroscopic systems are deduced starting from the laws of their microscopic dynamics. One of the key assumptions in this procedure is the ergodic property, namely the equivalence…
This paper brings together divergent approaches to time inconsistency from macroeconomic policy and behavioural economics. Behavioural discount functions from behavioural microeconomics are embedded into a game-theoretic analysis of…