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Starting from a plausible assumption about the Total Revenue concept, a system of economic agents, that simulates the exchange of goods, is studied. Following a methodology equivalent to that used in the statistical-mechanical determination…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
Rising inequalities around the globe bring into question our economic systems and the origin of such inequalities. Here we propose a toy agent-based model where each entity is simultaneously producing and consuming indivisible goods. We…
Based on the stochastic model proposed by Patriarca-Kaski-Chakraborti that describes the exchange of wealth between $n$ economic agents, we analyze the evolution of the corresponding economies under the assumption of a Gaussian background,…
Studies of wealth inequality often assume that an observed wealth distribution reflects a system in equilibrium. This constraint is rarely tested empirically. We introduce a simple model that allows equilibrium but does not assume it. To…
This paper investigates well posedness of utility maximization problems for financial markets where stock returns depend on a hidden Gaussian mean reverting drift process. Since that process is potentially unbounded, well posedness cannot…
We present a minimal agent-based model of interacting agents characterized by their wealth to study taxation and inequality in a non-conservative economy. Wealth evolves through an extremal stochastic replacement process in which the…
This paper studies an optimal consumption-investment problem for an investor whose instantaneous utility depends on both consumption and wealth, and the investor faces a general borrowing constraint that the investment amount in the risky…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…
Income and wealth distribution affect stability of a society to a large extent and high inequality affects it negatively. Moreover, in the case of developed countries, recently has been proven that inequality is closely related to all…
We develop a statistical framework for wealth allocation in which agents hold discrete units of wealth and macrostates are defined by how wealth is distributed across agents. The structure of the economic state space is characterized…
We explore the nonlinear dynamics of a macroeconomic model with resource constraints. The dynamics is derived from a production function that considers capital and a generalized form of energy as inputs. Energy, the new variable, is…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
An outgrowth of the idea of inflation is advanced. In the inflation regime, the singularity condition is broken. Equations which govern inflation are invariant under time reversal, so that they describe deflation as well. Those two…
We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the classical problem of utility maximization from terminal wealth,…
The article examines how institutions, automation, unemployment and income distribution interact in the context of a neoclassical growth model where profits are interpreted as a surplus over costs of production. Adjusting the model to the…
We introduce a highly stylized, yet non trivial model of the economy, with a public and private sector coupled through a wealth tax and a redistribution policy. The model can be fully solved analytically, and allows one to address the…
The basic workings of inflationary models are summarized, along with the arguments that strongly suggest that our universe is the product of inflation. The mechanisms that lead to eternal inflation in both new and chaotic models are…
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that can terminate randomly at an exponentially distributed…
We analyze demand settings where heterogeneous consumers maximize utility for product attributes subject to a nonlinear budget constraint. We develop nonparametric methods for welfare-analysis of interventions that change the constraint.…