Related papers: Stability of the Epstein-Zin problem
In this paper, stability and sensitivity properties of a class of parametric constrained optimization problem, whose feasible region is defined by a set-valued inclusion, are investigated through the associated optimal value function.…
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realization of a…
The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in…
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and…
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of…
The population model of Busenberg and Travis is a paradigmatic model in ecology and tumour modelling due to its ability to capture interesting phenomena like the segregation of populations. Its singular mathematical structure enforces the…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously…
We study the conditions under which input-output networks can dynamically attain a competitive equilibrium, where markets clear and profits are zero. We endow a classical firm network model with minimal dynamical rules that reduce…
The performance of learning models often deteriorates when deployed in out-of-sample environments. To ensure reliable deployment, we propose a stability evaluation criterion based on distributional perturbations. Conceptually, our stability…
We investigate stability issues for steady states of the spherically symmetric Einstein-Vlasov system numerically in Schwarzschild, maximal areal, and Eddington-Finkelstein coordinates. Across all coordinate systems we confirm the…
Stability and dynamical behavior of binary Bose-Einstein condensed mixtures trapped on the surface of a rigid spherical shell are investigated in the mean-field level, exploring the miscibility with and without vortex charges, considering…
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn-Tucker theorem characterizing the optimal consumption plan.…
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…
We investigate the stability of stationary integral solutions of an ideal irrotational fluid in a general static and spherically symmetric background, by studying the profile of the perturbation of the mass accretion rate. We consider low…
We consider discrete-time switching systems composed of a finite family of affine sub-dynamics. First, we recall existing results and present further analysis on the stability problem, the existence and characterization of compact…
For a general class of gas models ---which includes discrete and continuous Gibbsian models as well as contour or polymer ensembles--- we determine a \emph{diluteness condition} that implies: (1) Uniqueness of the infinite-volume…
The emergent mechanism provides a possible way to resolve the big bang singularity problem by assuming that our universe originates from the Einstein static (ES) state. Thus, the existence of a stable ES solution becomes a very crucial…
Recently, zero-point length cosmology has shown some positive insights into some non-singular aspects of the early Universe. In addition, topological defects are known to play a significant role by its presence as a part of the total energy…