Related papers: Equilibrium Selection in Pure Bubble Models by Div…
Ergodicity is a fundamental requirement for a dynamical system to reach a state of statistical equilibrium. On the other hand, it is known that in slow-fast systems ergodicity of the fast sub- system impedes the equilibration of the whole…
Measures of wealth and production have been found to scale superlinearly with the population of a city. Therefore, it makes economic sense for humans to congregate together in dense settlements. A recent model of population dynamics showed…
We show that a simple model of a spatially resolved evolving economic system, which has a steady state under simultaneous updating, shows stable oscillations in price when updated asynchronously. The oscillations arise from a gradual…
This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…
This is a supplement to the paper "Liquidity based modeling of asset price bubbles via random matching". The supplement is organized as follows. First, we prove Theorem 3.13 in [1] which provides the existence of the dynamical system D…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
Economic systems are similar with physic systems for their large number of individuals and the exist of equilibrium. In this paper, we present a model applying the equilibrium statistical model in economic systems. Consistent with…
Ensemble-averaged polydisperse bubbly flow models require statistical moments of the evolving bubble size distribution. Under step forcing, these moments reach statistical equilibrium in finite time. However, the transitional phase before…
We prove the existence of a Radner equilibrium in a model with population growth and analyze the effects on asset prices. A finite population of agents grows indefinitely at a Poisson rate, while receiving unspanned income and choosing…
Inflationary models are generally credited with explaining the large scale homogeneity, isotropy, and flatness of our universe as well as accounting for the origin of structure (i.e., the deviations from exact homogeneity) in our universe.…
We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…
It is already understood that the increasing observational evidence for an open Universe may be reconciled with inflation if our horizon is contained inside one single huge bubble nucleated during the inflationary phase transition. In the…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
It is already understood that the increasing observational evidence for an open Universe can be reconciled with inflation if our horizon is contained inside one single huge bubble nucleated during the inflationary phase transition. In this…
A linear bubble model of grain growth is introduced to study the conditions under which an isolated grain can grow to a size much larger than the surrounding matrix average (abnormal growth). We first consider the case of bubbles of two…
We consider an optimal stochastic control problem in which a firm's cash/surplus process is controlled by dividend payments and capital injections. Stockholders aim to maximize their dividend stream minus the cost of injecting capital, if…
A simple method is proposed to estimate the instantaneous correlations between state variables in a hybrid system from the empirical correlations between observable market quantities such as spot rate, stock price and implied volatility.…
We study the stability of a discrete-time dynamical mean-field Ising model to perturbations. This model belongs to a broader class of models often used in the study of opinion dynamics in financial markets. In the presence of noise, these…