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In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…
We analyze the harvesting and stocking of a population that is affected by random and seasonal environmental fluctuations. The main novelty comes from having three layers of environmental fluctuations. The first layer is due to the…
Many policy counterfactuals depend on how consumers value product attributes such as sugar, sodium, caffeine, alcohol, or emissions. Standard hedonic and differentiated-products models interpret these valuations statically. That…
Accurate electrical consumption forecasting is crucial for efficient energy management and resource allocation. While traditional time series forecasting relies on historical patterns and temporal dependencies, incorporating external…
The increasing vulnerability of power systems has heightened the need for operating reserves to manage contingencies such as generator outages, line failures, and sudden load variations. Unlike energy costs, driven by consumer demand,…
Genetic information and environmental factors determine the path of an individuals life and therefore, the evolution of its entire species. We have succeeded in proposing and studying a model that captures this idea. In our model, a…
In this paper we use a dynamic programming approach to analytically solve an endogenous growth model with internal habits where the key parameters describing their formation, namely the intensity, persistence and lag structure (or memory),…
This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to…
We construct a stochastic dynamical systems theory in which sustainability is a structural boundary property of a fully coupled Earth--Human--Production system. Each subsystem is modelled as a vector-valued process governed by stochastic…
The energy market, and specifically the renewable sector carries volatility and risks, similar to the financial market. Here, we leverage on a well-established, return-risk approach, commonly used by equity portfolio-managers and apply it…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
We propose martingale consumption as a natural, desirable consumption pattern for any given (proportional) investment strategy. The idea is to always adjust current consumption so as to achieve level expected future consumption under the…
Customer loyalty is crucial for internet services since retaining users of a service to ensure the staying time of the service is of significance for increasing revenue. It demands the retention of customers to be high enough to meet the…
A perfectly rational decision-maker chooses the best action with the highest utility gain from a set of possible actions. The optimality principles that describe such decision processes do not take into account the computational costs of…
Investments into renewable energy are increasing rapidly around the world. Energy system models are able to provide insights into optimal investment capacities and thus are widely used to aid the long-term investment decision-making under…
In this paper, I endeavour to construct a new model, by extending the classic exogenous economic growth model by including a measurement which tries to explain and quantify the size of technological innovation ( A ) endogenously. I do not…
Due to climate change, natural hazards that affect energy infrastructure will become more frequent in the future. However, to incorporate natural hazard risk into infrastructure investment decisions, we develop an approach to translate this…
In this paper we propose a new way of proving the value of a firm that is currently producing a certain product and faces the option to exit the market. The problem of optimal exiting is an optimal stopping problem, that can be solved using…
Advances in artificial intelligence often stem from the development of new environments that abstract real-world situations into a form where research can be done conveniently. This paper contributes such an environment based on ideas…
We propose a novel family of sales-based rebate mechanisms that induce network effects in sales of products that do not exhibit such externalities. The proposed rebate mechanisms enable the seller of a product with uncertain quality to…