Related papers: Decreasing Impatience
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
A prominent theme in behavioural contract theory is the study of present-biased agents represented through quasi-hyperbolic discounting. In a model of competitive credit provision, we study an alternative to this framework in which the…
The dynamics of an agreement protocol interacting with a disagreement process over a common random network is considered. The model can represent the spreading of true and false information over a communication network, the propagation of…
This work considers the problem of resilient consensus where stochastic values of trust between agents are available. Specifically, we derive a unified mathematical framework to characterize convergence, deviation of the consensus from the…
A succesful method to describe the asymptotic behavior of a discrete time stochastic process governed by some recursive formula is to relate it to the limit sets of a well chosen mean differential equation. Under an attainability condition,…
We study the limit behaviour of upper and lower bounds on expected time averages in imprecise Markov chains; a generalised type of Markov chain where the local dynamics, traditionally characterised by transition probabilities, are now…
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we show that common nonparametric assumptions on per-period…
Mortgage prepayments play a crucial role in the pricing and hedging of mortgage backed securities. An important feature of mortgage prepayment modeling is burnout; as time goes on those borrowers who have the greatest tendency to refinance…
Counterfactual reasoning is an important paradigm applicable in many fields, such as healthcare, economics, and education. In this work, we propose a novel method to address the issue of \textit{selection bias}. We learn two groups of…
Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. Our objective is to maximize the cumulative…
The well-known theorem of Dybvig, Ingersoll and Ross shows that the long zero-coupon rate can never fall. This result, which, although undoubtedly correct, has been regarded by many as surprising, stems from the implicit assumption that the…
We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the consumption response to arbitrary shocks in terms of the product of two sufficient statistics: the elasticity of…
Dynamic feature selection, where we sequentially query features to make accurate predictions with a minimal budget, is a promising paradigm to reduce feature acquisition costs and provide transparency into a model's predictions. The problem…
In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly seven million orders from the London Stock Exchange. We define the relative limit price as…
We develop a Bayesian model for decision-making under time pressure with endogenous information acquisition. In our model, the decision maker decides when to observe (costly) information by sampling an underlying continuous-time stochastic…
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly,…
In selection processes such as hiring, promotion, and college admissions, implicit bias toward socially-salient attributes such as race, gender, or sexual orientation of candidates is known to produce persistent inequality and reduce…
In this article, we establish exponential contraction results for the diameter and variance of general first-order multiagent systems. Our approach is based on compactification techniques, and works under rather mild assumptions. Namely, we…
This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…
We study sequential social learning with endogenous information acquisition when agents have a taste for nonconformity. Each agent observes predecessors' actions, chooses whether to acquire a private signal (and its precision), and then…