Related papers: Existence and uniqueness of recursive utilities wi…
This paper investigates well posedness of utility maximization problems for financial markets where stock returns depend on a hidden Gaussian mean reverting drift process. Since that process is potentially unbounded, well posedness cannot…
This paper characterizes equilibrium properties of a broad class of economic models that allow multiple heterogeneous agents to interact in heterogeneous manners across several markets. Our key contribution is a new theorem providing…
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the…
We provide an axiomatic characterization of lexicographic preferences over the set of all random availability functions using two assumptions. The first assumption is strong monotonicity, which in our framework is equivalent to the strong…
We establish sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the existence and exponential ergodicity of the Q-process, the process…
Complexity of the problem of choosing among uncertain acts is a salient feature of many of the environments in which departures from expected utility theory are observed. I propose and axiomatize a model of choice under uncertainty in which…
We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each…
We introduce new sufficient conditions for verifying stability and recurrence properties in singularly perturbed stochastic hybrid dynamical systems. Specifically, we focus on hybrid systems with deterministic continuous-time dynamics that…
The standard Hotelling model assumes that the stock of an exhaustible resource is known. We expand on the model by Arrow and Chang that introduced stochastic discoveries and for the first time completely solve such a model using impulse…
We characterize the identified sets of a wide range of stochastic choice models, including random utility, various models of boundedly-rational behavior, and dynamic discrete choice. In each of these settings, we show two distributions over…
Given a recursive distributional equation (RDE) and a solution $\mu$ of it, we consider the tree indexed invariant process called the recursive tree process (RTP) with marginal $\mu$. We introduce a new type of bivariate uniqueness property…
Despite the many applications of rate-independent systems, their regularity theory is still largely unexplored. Usually, only weak solution with potentially very low regularity are considered, which requires non-smooth techniques. In this…
We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case,…
We obtain a full characterization of consistency with respect to higher-order stochastic dominance within the rank-dependent utility model. Different from the results in the literature, we do not assume any condition on the utility…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
This paper investigates the asymptotic behavior of stochastic recursive inclusions in the presence of non-zero, non-diminishing bias, a setting that frequently arises in zeroth-order optimization, stochastic approximation with…
Probabilistic independence can dramatically simplify the task of eliciting, representing, and computing with probabilities in large domains. A key technique in achieving these benefits is the idea of graphical modeling. We survey existing…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
In problems involving the allocation of a single non-disposable commodity, we study rules defined on a general domain of preferences requiring only that each preference exhibit a unique global maximum. Our focus is on rules that satisfy a…
This paper develops, in a Brownian information setting, an approach for analyzing the preference for information, a question that motivates the stochastic differential utility (SDU) due to Duffie and Epstein [Econometrica 60 (1992)…