Related papers: Stability of the Epstein-Zin problem
We prove structural stability under perturbations for a class of discrete-time dynamical systems near a non-hyperbolic fixed point. We reformulate the stability problem in terms of the well-posedness of an infinite-dimensional nonlinear…
An input-output approach to stability analysis is explored for networked systems with uncertain link dynamics. The main result consists of a collection of integral quadratic constraints, which together imply robust stability of the…
We study the stability properties of linear time-varying systems in continuous time whose system matrix is Metzler with zero row sums. This class of systems arises naturally in the context of distributed decision problems, coordination and…
The stability of stationary solutions of first-order systems of PDE's are considered. They may include some singular geometric terms, leading to discontinuous flux and non-conservative products. Based on several examples in Fluid Mechanics,…
We establish sharp upper and lower bounds for distortion risk metrics under distributional uncertainty. The uncertainty sets are characterized by four key features of the underlying distribution: mean, variance, unimodality, and Wasserstein…
This paper solves a consumption-investment choice problem with Epstein-Zin recursive utility under partial information--unobservable market price of risk. The main novelty is the introduction of a terminal liability constraint, a feature…
This paper introduces a new framework for analyzing the stability of discrete-time model predictive controllers acting on continuous-time systems. The proposed framework introduces the distinction between discretization time (used to…
In this paper we study the long time dynamics of the solutions to the initial-boundary value problem for a scalar conservation law with a saturating nonlinear diffusion. After discussing the existence of a unique stationary solution and its…
We study the stability of entropically regularized optimal transport with respect to the marginals. Lipschitz continuity of the value and H\"older continuity of the optimal coupling in $p$-Wasserstein distance are obtained under general…
This work is concerned with the stability of regime-switching processes under the perturbation of the transition rate matrices. From the viewpoint of application, two kinds of perturbations are studied: the size of the transition rate…
This paper investigates probabilistic robustness of nonconvex-nonconcave minimax problems via the scenario approach. Specifically, under convex strategy sets for all players, inspired by recent advances in scenario optimization, we first…
We provide a framework to study stability notions for two-sided dynamic matching markets in which matching is one-to-one and irreversible. The framework gives center stage to the set of matchings an agent anticipates would ensue should they…
This work concerns stability and instability of Einstein warped products with an Einsteinian fiber of codimension 1. We study the cases where the scalar curvature of the warped product and of the fiber are either both positive or both…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We study convexity and monotonicity properties for prices of bonds and bond options when the short rate is modeled by a diffusion process. We provide conditions under which convexity of the price in the short rate is guaranteed. Under these…
We study the optimization of the stable marriage problem. All individuals attempt to optimize their own satisfaction, subject to mutually conflicting constraints. We find that the stable solutions are generally not the globally best…
We continue the analysis of perturbations in vector inflation. The dominant theme of this paper is the long wavelength limit of perturbations in small fields inflation and the controversial issue of its linear stability. We explain the…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes…
On a global level, ecological communities are being perturbed at an unprecedented rate by human activities and environmental instabilities. Yet, we understand little about what factors facilitate or impede long-term persistence of these…