Related papers: Substitutability, equilibrium transport, and match…
Models based on approximation capabilities have recently been studied in the context of Optimal Recovery. These models, however, are not compatible with overparametrization, since model- and data-consistent functions could then be…
In recent years, there has been increasing interest in explanation methods for neural model predictions that offer precise formal guarantees. These include abductive (respectively, contrastive) methods, which aim to compute minimal subsets…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
The mathematical models used to represent physical phenomena are generally known to be imperfect representations of reality. Model inadequacies arise for numerous reasons, such as incomplete knowledge of the phenomena or computational…
This paper studies the equilibrium of an extended case of the classical Samuelson's multiplier-accelerator model for national economy. This case has incorporated some kind of memory into the system. We assume that total consumption and…
Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be…
Substitutability, interchangeability and related concepts in Constraint Programming were introduced approximately twenty years ago and have given rise to considerable subsequent research. We survey this work, classify, and relate the…
The paper studies a system of first order Hamilton-Jacobi equations with discontinuous coefficients, arising from a model of deterministic optimal debt management in infinite time horizon, with exponential discount and currency devaluation.…
This paper presents a self-contained account for coupling arguments and applications in the context of Markov processes. We first use coupling to describe the transport problem, which leads to the concepts of optimal coupling and…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
In \cite{EK10} the use of VCG in matching markets is motivated by saying that in order to compute market clearing prices in a matching market, the auctioneer needs to know the true valuations of the bidders. Hence VCG and corresponding…
The traveling salesman problem is a fundamental combinatorial optimization problem with strong exact algorithms. However, as problems scale up, these exact algorithms fail to provide a solution in a reasonable time. To resolve this, current…
We present a general analysis of multidimensional matching problems with transferable utility, paying particular attention to the case in which the dimensions of heterogeneity on the two sides of the market are unequal. A particular…
Choice modeling is at the core of understanding how changes to the competitive landscape affect consumer choices and reshape market equilibria. In this paper, we propose a fundamental characterization of choice functions that encompasses a…
Alignment algorithms usually rely on simplified models of gaps for computational efficiency. Based on an isomorphism between alignments and physical helix-coil models, we show in statistical mechanics that alignments with realistic laws for…
In this work we introduce the notion of fully incomplete markets. We prove that for these markets the super-replication price coincide with the model free super-replication price. Namely, the knowledge of the model does not reduce the…
This article introduces a new class of fast algorithms to approximate variational problems involving unbalanced optimal transport. While classical optimal transport considers only normalized probability distributions, it is important for…
This paper explores some sufficient conditions for the enhanced solvability of strong vector equilibrium problems, which can be established via a variational approach. Enhanced solvability here means existence of solutions, which are strong…
We develop a framework based on microeconomic theory from which the ideal gas like market models can be addressed. A kinetic exchange model based on that framework is proposed and its distributional features have been studied by considering…
Matching, capturing allocation of items to unit-demand buyers, or tasks to workers, or pairs of collaborators, is a central problem in economics. Indeed, the growing prevalence of matching-based markets, many of which online in nature, has…