Related papers: Stability of the Epstein-Zin problem

In present paper, an analysis of the stability behaviour of ideal efficient solutions to parametric vector optimization problems is conducted. A sufficient condition for the existence of ideal efficient solutions to locally perturbed…

We investigate the relevance of the conformal method by investigating stability issues for the Einstein-Lichnerowicz conformal constraint system in a nonlinear scalar-field setting. We prove the stability of the system with respect to…

For a class of quasi-variational inequalities (QVIs) of obstacle-type the stability of its solution set and associated optimal control problems are considered. These optimal control problems are non-standard in the sense that they involve…

We study the equivalence of two - order-by-order Einstein's equation and Reduced action - approaches to cosmological perturbation theory at all orders for different models of inflation. We point out a crucial consistency check which we…

First, we consider the problem of hedging in complete binomial models. Using the discrete-time F\"ollmer-Schweizer decomposition, we demonstrate the equivalence of the backward induction and sequential regression approaches. Second, in…

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…

In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…

The theory of complex networks and of disordered systems is used to study the stability and dynamical properties of a simple model of material flow networks defined on random graphs. In particular we address instabilities that are…

This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…

In this work, we consider the outer Stefan problem for the short-time prediction of the spread of a volatile asset traded in a financial market. The stochastic equation for the evolution of the density of sell and buy orders is the Heat…

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…

We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…

We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…

We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…

We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…

This paper discusses a general and useful stability principle which, roughly speaking, says that given a uniformly continuous function defined on an arbitrary metric space, if the function is bounded on the constraint set and we slightly…

We consider the stability of Robust Optimization problems with respect to perturbations in their uncertainty sets. We focus on Linear Optimization problems, including those with a possibly infinite number of constraints, also known as…

Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…

Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…