Related papers: Large Deviations Theory of Increasing Returns
To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…
The Goodwin model of endogenous growth looks to study the dynamic interaction between employment rate and worker's share of national income in an economy. The model is simplistically and elegantly described by a set of differential…
Assortment optimization concerns the problem of selling items with fixed prices to a buyer who will purchase at most one. Typically, retailers select a subset of items, corresponding to an "assortment" of brands to carry, and make each…
In our model, $n$ traders interact with each other and with a central bank; they are taxed on the money they make, some of which is dissipated away by corruption. A generic feature of our model is that the richest trader always wins by…
We study the revenue maximization problem with an imprecisely estimated distribution of a single buyer or several independent and identically distributed buyers given that this estimation is not far away from the true distribution. We use…
Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…
Much of economic theory is built on observations of aggregate, rather than individual, behavior. Here, we present novel findings on human shopping patterns at the resolution of a single purchase. Our results suggest that much of our…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's optimization problem using Markov Decision Processes (MDP). We…
Among diversity of frameworks and constructions introduced in Loewner Theory by different authors, one can distinguish two closely related but still different ways of reasoning, which colloquially may be described as "increasing" and…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
Using results from neurobiology on perceptual decision making and value-based decision making, the problem of decision making between lotteries is reformulated in an abstract space where uncertain prospects are mapped to corresponding…
Following a growing number of studies that, over the past 15 years, have established entropy inequalities via ideas and tools from additive combinatorics, in this work we obtain a number of new bounds for the differential entropy of sums,…
We consider a generalization of the third degree price discrimination problem studied in Bergemann et al. (2015), where an intermediary between the buyer and the seller can design market segments to maximize any linear combination of…
Under very general conditions, we construct a micro-macro model for closed economy with a large number of heterogeneous agents. By introducing both financial capital (i.e. valued capital---- equities of firms) and physical capital (i.e.…
We study the problem of learning revenue-optimal multi-bidder auctions from samples when the samples of bidders' valuations can be adversarially corrupted or drawn from distributions that are adversarially perturbed. First, we prove tight…
We consider a revenue-maximizing seller with $k$ heterogeneous items for sale to a single additive buyer, whose values are drawn from a known, possibly correlated prior $\mathcal{D}$. It is known that there exist priors $\mathcal{D}$ such…
Various adaptive randomization procedures (adaptive designs) have been proposed to clinical trials. This paper discusses several broad families of procedures, such as the play-the-winner rule and Markov chain model, randomized…
Consider the continuous greedy paths model: given a $d$-dimensional Poisson point process with positive marks interpreted as masses, let $\mathrm P(\ell)$ denote the maximum mass gathered by a path of length $\ell$ starting from the origin.…
In the general process of eliminating dynamic variables in Markovian models, there exists a difference in the irreversible entropy production between the original and reduced dynamics. We call this difference the hidden entropy production,…