Related papers: Existence and uniqueness of recursive utilities wi…
Local coexistence of species in large ecosystems is traditionally explained within the broad framework of niche theory. However, its rationale hardly justifies rich biodiversity observed in nearly homogeneous environments. Here we consider…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
We consider existence and uniqueness issues for the initial value problem of parabolic equations $\partial_{t} u = {\rm div} A \nabla u$ on the upper half space, with initial data in $L^p$ spaces. The coefficient matrix $A$ is assumed to be…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is considered, which is more realistic in practical financial…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She…
We consider a family of conditional nonlinear expectations defined on the space of bounded random variables and indexed by the class of all the sub-sigma-algebras of a given underlying sigma-algebra. We show that if this family satisfies a…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
Existence and uniqueness theorems for quantum stochastic differential equations with nontrivial initial conditions are proved for coefficients with completely bounded columns. Applications are given for the case of finite-dimensional…
When does society eventually learn the truth, or take the correct action, via observational learning? In a general model of sequential learning over social networks, we identify a simple condition for learning dubbed excludability.…
Classical conditions for ensuring the robust stability of a linear system in feedback with a sector-bounded nonlinearity include small gain, circle, passivity, and conicity theorems. In this work, we present a similar stability condition,…
We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
We revisit a model proposed by Freedman etal in \cite{freedman} which describes the dynamics of a population diffusing in a patchy environment. From their work it is known that positive steady states exist for this model, but not whether…
Finite sample properties of random covariance-type matrices have been the subject of much research. In this paper we focus on the "lower tail" of such a matrix, and prove that it is subgaussian under a simple fourth moment assumption on the…
This paper studies optimal consumption, investment, and healthcare spending under Epstein-Zin preferences. Given consumption and healthcare spending plans, Epstein-Zin utilities are defined over an agent's random lifetime, partially…
In this paper we consider two classes of backward stochastic differential equations. Firstly, under a Lipschitz-type condition on the generator of the equation, which can also be unbounded, we give sufficient conditions for the existence of…
We provide sufficient conditions on the coefficients of a stochastic functional differential equation with bounded memory driven by Brownian motion which guarantee existence and uniqueness of a maximal local and global strong solution for…
A mixture preorder is a preorder on a mixture space (such as a convex set) that is compatible with the mixing operation. In decision theoretic terms, it satisfies the central expected utility axiom of strong independence. We consider when a…
This study proposes a tractable stochastic choice model to identify motivations for prosocial behavior, and to explore alternative motivations of deliberate randomization beyond ex-ante fairness concerns. To represent social preferences, we…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…