Related papers: Existence and uniqueness of recursive utilities wi…
Sums of independent, bounded random variables concentrate around their expectation approximately as well a Gaussian of the same variance. Well known results of this form include the Bernstein, Hoeffding, and Chernoff inequalities and many…
Ecological systems comprise an astonishing diversity of species that cooperate or compete with each other forming complex mutual dependencies. The minimum requirements to maintain a large species diversity on long time scales are in general…
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…
We consider the dynamics, existence and stability of the equilibrium states for large populations of individuals who can play various types of non--cooperative games. The players imitate the most attractive strategies, and the choice is…
Algorithms for computing equilibria, optima, and fixed points in nonconvex problems often depend sensitively on practitioner-chosen initial conditions. When uniqueness of a solution is of interest, a common heuristic is to run such…
The war of attrition with two-sided asymmetric information is a foundational model in political economy, yet it generically admits a continuum of perfect Bayesian equilibria. This paper characterizes the sources of equilibrium multiplicity.…
The $L^2$--gradient flow of the elastic energy of networks leads to a Willmore type evolution law with nontrivial nonlinear boundary conditions. We show local in time existence and uniqueness for this elastic flow of networks in a Sobolev…
Non-Hermitean operators may appear during the calculation of a partition function in various models of statistical mechanics. The tail eigen-states, having anomalously small real part of energy $Re(\eps)$, became naturally important in this…
This paper develops a framework to study the statistical power of revealed-preference tests. With randomly sampled budgets and mild smoothness of demand, statistical learning implies that any model consistent with the data must approximate…
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…
Some monospecies age class models, as well as specific multi-species models (with so-called technical interactions), exhibit useful monotonicity properties. This paper deals with discrete time monotone bioeconomics dynamics in the presence…
A recent line of work, starting with Beigman and Vohra (2006) and Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a utility function from revealed preference data. The goal here is to make use of past data…
In Hopenhayn's (1992) entry-exit model productivity is bounded, implying that the predicted firm size distribution cannot match the power law tail observable in the data. In this paper we remove the boundedness assumption and, in this more…
We establish a sufficient condition for the tightness of a sequence of stochastic processes. Our condition makes it possible to study processes with accumulations of fixed times of discontinuity. Our motivation comes from the study of…
Understanding under what conditions populations, whether they be plants, animals, or viral particles, persist is an issue of theoretical and practical importance in population biology. Both biotic interactions and environmental fluctuations…
We introduce the notion of a multidimensional hybrid preference domain on a (finite) set of alternatives that is a Cartesian product of finitely many components. We demonstrate that in a model of public goods provision, multidimensional…
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…
This paper studies a discrete-time version of the Lucas-Uzawa endogenous growth model with physical and human capital in the presence of externalities. Existence of an optimal equilibrium is proved using tools from dynamic programming with…
We study existence and uniqueness of solutions for second order ordinary stochastic differential equations with Dirichlet boundary conditions on a given interval. In the first part of the paper we provide sufficient conditions to ensure…
We introduce a novel approach to solving the optimal portfolio choice problem under Epstein-Zin utility with a time-varying consumption constraint, where analytical expressions for the value function and the dual value function are not…