Related papers: Time-consistent decisions and rational expectation…
General Equilibrium Theory is the benchmark of economics, especially its results concerning the efficient allocation of resources, known as the First and Second Welfare Theorems. Yet, General Equilibrium Theory is beyond the scope of most…
Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in the future that is optimal for an agent today may not be optimal for the same agent in the future. If the agent is aware of this intra-personal…
Modelling is an essential procedure in analyzing and controlling a given logical dynamic system (LDS). It has been proved that deterministic LDS can be modeled as a linear-like system using algebraic state space representation. However, due…
The Static User Equilibrium is a powerful framework for the theoretical study of traffic. Despite the restricting assumption of stationary flows that intuitively limit its application to real traffic systems, many operational models…
We identify the dynamical heterogeneities as an essential prerequisite for stretched exponential relaxation in dynamically frustrated systems. This heterogeneity takes the form of ordered domains of finite but diverging lifetime for…
We consider a piecewise linear two-dimensional dynamical system that couples a linear equation with the so-called stop operator. Global dynamics and bifurcations of this system are studied depending on two parameters. The system is…
This paper characterizes DSGE models as fixed-point selection devices for self-referential economic specifications. We formalize this structure as $(S, T, \Pi)$: specification, self-referential operator, and equilibrium selector. The…
We consider a spatially distributed demand for electrical vehicle recharging, that must be covered by a fixed set of charging stations. Arriving EVs receive feedback on transport times to each station, and waiting times at congested ones,…
Stochastic User Equilibrium (SUE) models depict the perception differences in traffic assignment problems. According to the assumption of an unbounded perceived travel time distribution, the conventional SUE problems result in a positive…
We consider stochastic dynamical systems defined by differential equations with a uniform random time delay. The latter equations are shown to be equivalent to deterministic higher-order differential equations: for an $n$-th order equation…
This paper analyzes simultaneous route-and-departure-time (SRDT) dynamic user equilibrium (DUE) that incorporates the notion of boundedly rational (BR) user behavior in the selection of departure time and route choices. Intrinsically, the…
Ecological Momentary Assessment (EMA) studies enable the collection of high-frequency self-reports of suicidal thoughts and behaviors (STBs) via smartphones. Latent stochastic differential equations (SDEs) are a promising model class for…
This study proposes an approach based on a perturbation technique to construct global solutions to dynamic stochastic general equilibrium models (DSGE). The main idea is to expand a solution in a series of powers of a small parameter…
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
In this paper, a general model of a pure exchange differential information economy is studied. In this economic model, the space of states of nature is a complete probability measure space, the space of agents is a measure space with a…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
Since its inception, control of data congestion on the Internet has been based on stochastic models. One of the first such models was Random Early Detection. Later, this model was reformulated as a dynamical system, with the average queue…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
We consider a class of time-inhomogeneous optimal stopping problems and we provide sufficient conditions on the data of the problem that guarantee monotonicity of the optimal stopping boundary. In our setting, time-inhomogeneity stems not…
We study delay-independent stability in nonlinear models with a distributed delay which have a positive equilibrium. Such models frequently occur in population dynamics and other applications. In particular, we construct a relevant…