Related papers: On Vickrey's Income Averaging
Survey data are widely used to study how income inequality, poverty, and welfare evolve over time. A common practice is to estimate the income distribution separately for each year, treating annual observations as independent…
Given a geometric Brownian motion wealth process, a log-Normal lower bound is constructed for the returns of a regular investing schedule. The distribution parameters of this bound are computed recursively. For dollar cost averaging (equal…
Examples with bound information on the regression function and density abound in many real applications. We propose a novel approach for estimating such functions by incorporating the prior knowledge on the bounds. Specially, a Gaussian…
We study dynamic mechanism design in a pure-exchange economy with privately observed idiosyncratic income. In the standard infinitely lived hidden-income benchmark of Green (1987) and Thomas-Worrall (1990), constrained-efficient allocations…
We consider slow / fast systems where the slow system is driven by fractional Brownian motion with Hurst parameter $H>{1\over 2}$. We show that unlike in the case $H={1\over 2}$, convergence to the averaged solution takes place in…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
The explosion of mobile phone communications in the last years occurs at a moment where data processing power increases exponentially. Thanks to those two changes in a global scale, the road has been opened to use mobile phone…
Consider a regression model with fixed design and Gaussian noise where the regression function can potentially be well approximated by a function that admits a sparse representation in a given dictionary. This paper resorts to exponential…
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…
We investigate the fluctuations around the average density profile in the weakly asymmetric exclusion process with open boundaries in the steady state. We show that these fluctuations are given, in the macroscopic limit, by a centered…
Lacking lifetime income data, most intergenerational mobility estimates are subject to lifecycle bias. Using long income series from Sweden and the US, we illustrate that standard correction methods struggle to account for one important…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time…
The aim of this work is to establish the personal income distribution from the elementary constituents of a free market; products of a representative good and agents forming the economic network. The economy is treated as a self-organized…
Each individual in society experiences an evolution of their income during their lifetime. Macroscopically, this dynamics creates a statistical relationship between age and income for each society. In this study, we investigate income…
This paper deals with estimation with functional covariates. More precisely, we aim at estimating the regression function $m$ of a continuous outcome $Y$ against a standard Wiener coprocess $W$. Following Cadre and Truquet (2015) and Cadre,…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
We develop a continuous-time general equilibrium framework for economies with a heterogeneous population -- modeled as a continuum -- that repeatedly optimizes over short horizons under relative-income (Duesenberry-type) criteria. The…
A new formula for the probability that a standard Brownian motion stays between two linear boundaries is proved. A simple algorithm is deduced. Uniform precision estimates are computed. Different implementations have been made available…