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Emerging markets such as India provide investors with returns far greater than those in developed markets; taking the average returns from the period 1995 to 2014 the returns are 4.714% to 3.276% of the developed market. The majority of…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…
We show how highly-diverse ecological communities may display persistent abundance fluctuations, when interacting through resource competition and subjected to migration from a species pool. This turns out to be closely related to the ratio…
When a liquid jet plunges into a pool, it can generate a bubble-laden jet flow underneath the surface. This common and simple phenomenon is investigated experimentally for circular jets to illustrate and quantify the role played by the net…
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value function is the unique solution of a non-linear…
We introduce the Estimated Dynamic Equilibrium Model (EDEM), an agent-based framework that treats supply and demand as a coupled stochastic process driven by heterogeneous, noisy agent valuations. The model's primary technical contribution…
The equity risk premium puzzle is that the return on equities has far exceeded the average return on short-term risk-free debt and cannot be explained by conventional representative-agent consumption based equilibrium models. We review a…
In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest…
We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria, weak equilibria and strong equilibria. The discount function is assumed to be log sub-additive and the…
We develop a continuous-time general equilibrium framework for economies with a heterogeneous population -- modeled as a continuum -- that repeatedly optimizes over short horizons under relative-income (Duesenberry-type) criteria. The…
We derive the most probable distribution of resources for a simple society. We find that a probabilistic analysis forbids both too much and too less equity, and selects instead a minimally ordered state. We give the detailed calculations…
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an It\^o diffusion process. Since risk attitudes at the end of the investment…
The stable version of the anomaly-induced inflation does not need a fine tuning and leads to sufficient expansion of the Universe. The non-stable version (Starobinsky model) provides the graceful exit to the FRW phase. We indicate the…
This paper studies an optimal dividend problem for a company that aims to maximize the mean-variance (MV) objective of the accumulated discounted dividend payments up to its ruin time. The MV objective involves an integral form over a…
We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…
The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this…
This paper focuses on a new model to reach the existence of equilibrium in a pure exchange economy with fuzzy preferences (PXE-FP). The proposed model integrates exchange, consumption and the agent's fuzzy preference in the consumption set.…
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…
In this paper, we introduce a Bayesian abstract fuzzy economy model and we prove the Bayesian fuzzy equilibrium existence. As applications, we prove the existence of the solutions for two types of random quasi-variational inequalities with…