Related papers: Uniformly Self-Justified Equilibria
Large dynamic economies with heterogeneous agents and aggregate shocks are central to many important applications, yet their equilibrium analysis remains computationally challenging. This is because the standard solution approach, rational…
This paper studies a discrete-time version of the Lucas-Uzawa endogenous growth model with physical and human capital in the presence of externalities. Existence of an optimal equilibrium is proved using tools from dynamic programming with…
We provide a stochastic analysis of an overlapping-generations model under incomplete markets. By casting individual optimisation with idiosyncratic income risk into a forward-backward stochastic differential equation (FBSDE) system, we (i)…
Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
We extend the study of learning in games to dynamics that exhibit non-asymptotic stability. We do so through the notion of uniform stability, which is concerned with equilibria of individually utility-seeking dynamics. Perhaps surprisingly,…
In a satisficing equilibrium each agent $i$ plays one of her top $k_i$ actions in response to the actions of the other agents. Our concept unifies models of bounded rationality and yields predictions that differ from canonical solution…
Dynamic stochastic general equilibrium (DSGE) models have been an ubiquitous, and controversial, part of macroeconomics for decades. In this paper, we approach DSGEs purely as statstical models. We do this by applying two common model…
This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…
Non-uniform sampling arises when an experimenter does not have full control over the sampling characteristics of the process under investigation. Moreover, it is introduced intentionally in algorithms such as Bayesian optimization and…
Stochastic User Equilibrium (SUE) models depict the perception differences in traffic assignment problems. According to the assumption of an unbounded perceived travel time distribution, the conventional SUE problems result in a positive…
We consider time-homogeneous uniformly nondegenerate stochastic differential games in domains and propose constructing $\varepsilon$-optimal strategies and policies by using adjoint Markov strategies and adjoint Markov policies which are…
Economies and societal structures in general are complex stochastic systems which may not lend themselves well to algebraic analysis. An addition of subjective value criteria to the mechanics of interacting agents will further complicate…
Aligning AI systems with human values remains a fundamental challenge, but does our inability to create perfectly aligned models preclude obtaining the benefits of alignment? We study a strategic setting where a human user interacts with…
The growing uncertainty from renewable power and electricity demand brings significant challenges to unit commitment (UC). While various advanced forecasting and optimization methods have been developed to predict better and address this…
Interactions between people are the basis on which the structure of our society arises as a complex system and, at the same time, are the starting point of any physical description of it. In the last few years, much theoretical research has…
Under some initial conditions, it is shown that time consistency requirements prevent rational expectation equilibrium (REE) existence for dynamic stochastic general equilibrium models induced by consumer heterogeneity, in contrast to…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
We introduce a model of dynamic matching with transferable utility, extending the static model of Shapley and Shubik (1971). Forward-looking agents have individual states that evolve with current matches. Each period, a matching market with…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…