Related papers: Time-consistent decisions and rational expectation…

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…

A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…

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…

Local coexistence of species in large ecosystems is traditionally explained within the broad framework of niche theory. However, its rationale hardly justifies rich biodiversity observed in nearly homogeneous environments. Here we consider…

Power system dynamic state estimation (DSE) remains an active research area. This is driven by the absence of accurate models, the increasing availability of fast-sampled, time-synchronized measurements, and the advances in the capability,…

This paper presents a nonlinear dynamical model which consists the system of differential and operator equations. Here differential equation contains a nonlinear operator acting in Banach space, a nonlinear operator equation with respect to…

We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…

In evolutionary game theory, it is customary to be partial to the dynamical models possessing fixed points so that they may be understood as the attainment of evolutionary stability, and hence, Nash equilibrium. Any show of periodic or…

In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of…

We address the problem of mechanism design for two-stage repeated stochastic games -- a novel setting using which many emerging problems in next-generation electricity markets can be readily modeled. Repeated playing affords the players a…

This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…

We present simple classical dynamical models to address the question of introducing a stochastic nature in a time variable. These models include noise in the time variable but not in the "space" variable, which is opposite to the normal…

Complex change is often described as "evolutionary" in economics, policy, and technology, yet most system dynamics models remain constrained to fixed state spaces and equilibrium-seeking behavior. This paper argues that evolutionary…

In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times. For three or more trading times, we prove that Kyle's equilibrium is not stable. These…

This paper studies a class of linear panel models with random coefficients. We do not restrict the joint distribution of the time-invariant unobserved heterogeneity and the covariates. We investigate identification of the average partial…

We study dynamic relationships in which one party extracts current surplus in ways that degrade the future state, while the counterparty cannot exit but adjusts effort in response. Standard stationary Markov equilibria may sustain collapse…

We investigate a solvable model for energy conserving non-equilibrium steady states. The time-reversal asymmetry of the dynamics leads to the violation of detailed balance and to ergodicity breaking, as manifested by the presence of…

This study investigates the theoretical properties of a departure time choice problem considering commuters' heterogeneity with respect to the value of schedule delay in corridor networks. Specifically, we develop an analytical method to…

There are clear benefits associated with a particular consumer choice for many current markets. For example, as we consider here, some products might carry environmental or `green' benefits. Some consumers might value these benefits while…

We propose a competitive bi-virus model with dynamic social distancing behavior. Our model illustrates how public perception of different viruses changes the conditions for their eradication, their coexistence, or the dominance of one over…