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Variational inequalities (VIs) encompass many fundamental problems in diverse areas ranging from engineering to economics and machine learning. However, their considerable expressivity comes at the cost of computational intractability. In…
Deep selective State-Space Models (SSMs), whose state-space parameters are modulated online by a selection signal, offer significant expressive power but pose challenges for stability analysis, especially under discontinuous gating. We…
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal…
This paper studies a distributed estimation problem for time-varying/time-invariant large-scale interconnected systems (LISs). A fully distributed estimator is presented by recursively solving a distributed modified Riccati equation (DMRE)…
Systemic risk is receiving increasing attention in the insurance industry. In this paper, we propose a multi-dimensional L\'{e}vy process-based renewal risk model with heterogeneous insurance claims, where every dimension indicates a…
The system of two resources $R_1$, $R_2$ and one consumer $C$ is investigated within the Rosenzweig-MacArthur model with Holling type II functional response. The rates $\beta_i$ of consumption of resources $i=1,2$ are coupled by the…
We study matching markets with ties, where workers on one side of the market may have tied preferences over jobs, determined by their matching utilities. Unlike classical two-sided markets with strict preferences, no single stable matching…
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…
We characterize decreasing impatience, a common behavioral phenomenon in intertemporal choice. Discount factors that display decreasing impatience are characterized through a convexit y axiom for investments at fixed interest rates. Then we…
The consumption function maps current wealth and the exogenous state to current consumption. We prove the existence and uniqueness of a consumption function when the agent has a preference for wealth. When the period utility functions are…
In this paper, we extend the existing double linear policy by incorporating time-varying weights instead of constant weights and study a certain robustness property, called robust positive expectation (RPE), in a discrete-time setting. We…
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a sample of returns to a portfolio. Here p…
We consider a two-product inventory system with independent Poisson demands, limited joint storage capacity and partial demand substitution. Replenishment is performed simultaneously for both products and the replenishment time may be fixed…
Elasto-inertial turbulence (EIT) is a recently discovered two-dimensional chaotic flow state observed in dilute polymer solutions. It has been hypothesised that the dynamical origins of EIT are linked to a center-mode instability, whose…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…
Our previous study [1] has demonstrated that the gauge theory is a proper framework for characterizing the local temporal and spatial interactions in inhomogeneous elastic media. However, in that study temporal interactions were interpreted…
We study competitive equilibria in the classic Shapley-Shubik assignment model with indivisible goods and unit-demand buyers, with budget constraints: buyers can specify a maximum price they are willing to pay for each item, beyond which…
Keeping a memory of evolving stimuli is ubiquitous in biology, an example of which is immune memory for evolving pathogens. However, learning and memory storage for dynamic patterns still pose challenges in machine learning. Here, we…
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing;…
We study the uniform ergodicity property for non-invertible topological and measure-preserving dynamical systems. It is shown that for topological dynamical systems uniform ergodicity is equivalent to eventually periodicity and that for…