Related papers: Substitutability, equilibrium transport, and match…
Economic complexity algorithms aim to uncover the hidden capabilities that drive economic systems. Here, we present a fundamental reinterpretation of two of these algorithms, the Economic Complexity Index (ECI) and the Economic Fitness and…
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…
We study the back-reaction of moduli fields on the inflaton potential in generic models of F-term inflation. We derive the moduli corrections as a power series in the ratio of Hubble scale and modulus mass. The general result is illustrated…
Given two probability measures on sequential data, we investigate the transport problem with time-inconsistent preferences in a discrete-time setting. Motivating examples are nonlinear objectives, state-dependent costs, and regularized…
Batteries are playing an increasingly central role as distributed energy resources in the shift toward power systems dominated by renewable energy sources. However, existing battery models must invariably rely on complementarity constraints…
The goal of this work is to introduce a local and a global interpolator in Jacobi-weighted spaces, with optimal order of approximation in the context of the $p$-version of finite element methods. Then, an a posteriori error indicator of the…
We present new formulations of the stochastic electricity market clearing problem based on the principles of stochastic programming. Previous analyses have established that the canonical stochastic programming model effectively captures the…
In one dimensional transport problems the scattering matrix $S$ is decomposed into a block structure corresponding to reflection and transmission matrices at the two ends. For $S$ a random unitary matrix, the singular value probability…
Extreme economic outcomes are not shaped by tails alone. They are also shaped by unequal access to opportunities. This paper develops a theory of heterogeneous extremes by taking the distribution of opportunity access as the object of…
We propose a simple scheme that describes accurately essential non-equilibrium effects in nanoscale electronics devices using equilibrium transport theory. The scheme, which is based on the alignment and dealignment of the junction…
Equilibrium computation in markets usually considers settings where player valuation functions are known. We consider the setting where player valuations are unknown; using a PAC learning-theoretic framework, we analyze some classes of…
We consider multi-agent, convex optimization programs subject to separable constraints, where the constraint function of each agent involves only its local decision vector, while the decision vectors of all agents are coupled via a common…
This paper is concerned with a posteriori error bounds for linear transport equations and related questions of contriving corresponding adaptive solution strategies in the context of Discontinuous-Petrov-Galerkin schemes. After indicating…
Computing market equilibria is an important practical problem for market design, for example in fair division of items. However, computing equilibria requires large amounts of information (typically the valuation of every buyer for every…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
The supply function equilibrium (SFE) is a model for competition in markets where each firm offers a schedule of prices and quantities to face demand uncertainty, and has been successfully applied to wholesale electricity markets. However,…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…
With recent development of artificial intelligence, it is more common to adopt AI agents in economic activities. This paper explores the economic actions of agents, including human agents and AI agents, in an economic game of trading…
Search and matching increasingly takes place on online platforms. These platforms have elements of centralized and decentralized matching; platforms can alter the search process for its users, but are unable to eliminate search frictions…