Related papers: Existence and Uniqueness of Recursive Utility Mode…
For encompassing the limitations of probabilistic coherence spaces which do not seem to provide natural interpretations of continuous data types such as the real line, Ehrhard and al. introduced a model of probabilistic higher order…
We prove existence, uniqueness and regularity of weak solutions of a coupled parabolic-elliptic model in two dimensions; we consider the standard equations of magnetohydrodynamics with the advective terms removed from the velocity equation.…
We introduce and analyze a new class of monotone stochastic recursions in a regenerative environment which is essentially broader than that of Markov chains. We prove stability theorems and apply our results {to three canonical models in…
Stochastic dominance is a preference relation of uncertain prospect defined over a class of utility functions. While this utility class represents basic properties of risk aversion, it includes some extreme utility functions rarely…
Motivated by applications to renewal theory, Erd\H{o}s, de Bruijn and Kingman posed a problem on boundedness of reciprocals $(1-z)/(1-F(z))$ in the unit disc for probability generating functions $F(z)$. It was solved by Ibragimov in $1975$…
Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…
Rowland and Zeilberger devised an approach to algorithmically determine the modulo $p^r$ reductions of values of combinatorial sequences representable as constant terms (building on work of Rowland and Yassawi). The resulting $p$-schemes…
In this paper, we examine the solvability of a functional equation in a Lipschitz space. As an application, we use our result to determine the existence and uniqueness of solutions to an equation describing a specific type of choice…
Multicriteria decision analysis aims at supporting a person facing a decision problem involving conflicting criteria. We consider an additive utility model which provides robust conclusions based on preferences elicited from the decision…
Empirical research often cites observed choice responses to variation that shifts expected discounted future utilities, but not current utilities, as an intuitive source of information on time preferences. We study the identification of…
McFadden and Richter (1991) and later McFadden (2005) show that the Axiom of Revealed Stochastic Preference characterizes rationalizability of choice probabilities through random utility models on finite universal choice spaces. This note…
We investigate the structure of return-time sets determined by orbits along polynomial tuples in minimal topological dynamical systems. Building on the topological characteristic factor theory of Glasner, Huang, Shao, Weiss, and Ye, we…
We consider congestion games on networks with nonatomic users and user-specific costs. We are interested in the uniqueness property defined by Milchtaich [Milchtaich, I. 2005. Topological conditions for uniqueness of equilibrium in…
There is increasing interest within the research community in the design and use of recursive probability models. Although there still remains concern about computational complexity costs and the fact that computing exact solutions can be…
We study revenue maximization through sequential posted-price (SPP) mechanisms in single-dimensional settings with $n$ buyers and independent but not necessarily identical value distributions. We construct the SPP mechanisms by considering…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for…
It is a well known fact that the union of the Reverse H\"{o}lder classes coincides with the union of the Muckenhoupt classes $A_p$, but the $A_\infty$ constant of the weight $w$, which is a limit of its $A_p$ constants, is not a natural…
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In the presence of ambiguity, the distribution of a payoff is,…
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…