Related papers: Existence and uniqueness of recursive utilities wi…
In this paper we focus on providing sufficient conditions for some well-known stochastic orders in reliability but dealing with the discrete versions of them, filling a gap in the literature. In particular, we find conditions based on the…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. Closed, not necessarily convex, constraints are imposed on strategies. The optimal consumption and investment…
We obtain a necessary and sufficient condition under which random-coefficient discrete choice models, such as mixed-logit models, are rich enough to approximate any nonparametric random utility models arbitrarily well across choice sets.…
This paper provides nonparametric identification results for random coefficient distributions in perturbed utility models. We cover discrete and continuous choice models. We establish identification using variation in mean quantities, and…
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…
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…
When it comes to structural estimation of risk preferences from data on choices, random utility models have long been one of the standard research tools in economics. A recent literature has challenged these models, pointing out some…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
We study a class of preference domains that satisfies the familiar properties of minimal richness, diversity and no-restoration. We show that a specific preference restriction, hybridness, has been embedded in these domains so that the…
Suppose an initial state is coupled to a continuum of energy states. The population of the initial state is expected to decrease with time, but is the decrease monotonic? The occupation probability of the initial state is the survival…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
Providing finite-time probabilistic safety and reach-avoid guarantees is crucial for safety-critical stochastic systems. Existing state-of-the-art barrier methods often rely on a restrictive boundedness assumption for auxiliary functions,…
Models of stochastic choice typically use conditional choice probabilities given menus as the primitive for analysis, but in the field these are often hard to observe. Moreover, studying preferences over menus is not possible with this…
Nontransitive choices have long been an area of curiosity within economics. However, determining whether nontransitive choices represent an individual's preference is a difficult task since choice data is inherently stochastic. This paper…
The random utility model, a cornerstone in economics, is axiomatized by Falmagne (1978) and McFadden and Richter (1990) with the assumption that if a menu is observable, the choice frequencies of all alternatives are also observable.…
We propose an axiomatic approach which economically underpins the representation of dynamic preferences in terms of a stochastic utility function, sensitive to the information available to the decision maker. Our construction is iterative…
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…
In this work we introduce a variant of the Yule-Simon model for preferential growth by incorporating a finite kernel to model the effects of bounded memory. We characterize the properties of the model combining analytical arguments with…
We propose new results for the existence and uniqueness of a general nonparametric and nonseparable competitive equilibrium with substitutes. These results ensure the invertibility of a general competitive system. The existing literature…