Related papers: Existence and uniqueness of recursive utilities wi…
This paper is devoted to the existence, uniqueness and comparison theorem on unbounded solutions of one-dimensional backward stochastic differential equations (BSDEs) with sub-quadratic generators, where the terminal time is allowed to be…
We study consumption dependence in the context of random utility and repeated choice. We show that, in the presence of consumption dependence, the random utility model is a misspecified model of repeated rational choice. This…
Uniqueness quantification ($\exists !$) is a quantifier in first-order logic where one requires that exactly one element exists satisfying a given property. In this paper we investigate the strength of uniqueness quantification when it is…
There exists a preference relation on infinite utility streams that does not discriminate between different periods, satisfies the Pareto criterion, and so that almost all pairs of utility streams are strictly comparable. Such a preference…
The random utility model (RUM, McFadden and Richter, 1990) has been the standard tool to describe the behavior of a population of decision makers. RUM assumes that decision makers behave as if they maximize a rational preference over a…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
In a consideration set model, an individual maximizes utility among the considered alternatives. I relate a consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which…
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer randomized decisions leading to stochastic and noisy choices.…
Most comparisons of preferences are instances of single-crossing dominance. We examine the lattice structure of single-crossing dominance, proving characterisation, existence and uniqueness results for minimum upper bounds of arbitrary sets…
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the…
First, a new sufficient condition for uniqueness of weak solutions is proved for the system of 2D viscous Primitive Equations. Second, global existence and uniqueness are established for several classes of weak solutions with partial…
This paper investigates the influence of environmental noise on the characteristic timescale of the dynamics of density-dependent populations. General results are obtained on the statistics of time spent in rarity and time spent in…
We introduce an statistical mechanical formalism for the study of discrete-time stochastic processes with which we prove: (i) General properties of extremal chains, including triviality on the tail $\sigma$-algebra, short-range…
Let $\succsim$ be a binary relation on the set of simple lotteries over a countable outcome set $Z$. We provide necessary and sufficient conditions on $\succsim$ to guarantee the existence of a set $U$ of von Neumann--Morgenstern utility…
We prove an existence result for the principal-agent problem with adverse selection under general assumptions on preferences and allocation spaces. Instead of assuming that the allocation space is finite-dimensional or compact, we consider…
This paper investigates discrete-time Markov decision processes with recursive utilities (or payoffs) defined by the classic CES aggregator and the Kreps-Porteus certainty equivalent operator. According to the classification introduced by…
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…
This paper investigates recursive feasibility, recursive robust stability and near-optimality properties of policy iteration (PI). For this purpose, we consider deterministic nonlinear discrete-time systems whose inputs are generated by PI…
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…
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove the existence of solutions and the absence of a duality gap…