Related papers: A note on the Cobb-Douglas function
The incentive ratio measures the utility gains from strategic behaviour. Without any restrictions on the setup, ratios for linear, Leontief and Cobb-Douglas exchange markets are unbounded, showing that manipulating the equilibrium is a…
Cost functions provide a framework for constructions of sets Turing below the halting problem that are close to computable. We carry out a systematic study of cost functions. We relate their algebraic properties to their expressive…
Working in a continuous time setting, we extend to the general case of dynamic risk measures continuous from above the characterization of time consistency in terms of ``cocycle condition'' of the minimal penalty function. We prove also the…
Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can be linear or nonlinear. The type of function determines the…
Standard micro-economics concentrate on the description of markets but is seldom interested in production. Several economists discussed the concept of a firm, as opposed to an open labour market where entrepreneurs would recrute workers on…
Suppose that $d\geq1$ and $\alpha\in (1, 2)$. Let $Y$ be a rotationally symmetric $\alpha$-stable process on $\R^d$ and $b$ a $\R^d$-valued measurable function on $\R^d$ belonging to a certain Kato class of $Y$. We show that $\rd X^b_t=\rd…
We review the "production approach" to estimating markups, the ratio of price to marginal cost. The approach is uniquely scalable: it requires no model of consumer demand or market structure and applies broadly across firms, industries, and…
Let $(\Sigma_A, \sigma)$ be a subshift of finite type and let $M(x)$ be a continuous function on $\Sigma_A$ taking values in the set of non-negative matrices. We extend the classical scalar pressure function to this new setting and prove…
The Douglas-Rachford method is a popular splitting technique for finding a zero of the sum of two subdifferential operators of proper closed convex functions; more generally two maximally monotone operators. Recent results concerned with…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
The sum of ratios problem has a variety of important applications in economics and management science, but it is difficult to globally solve this problem. In this paper, we consider the minimization problem of a sum of a number of…
In this paper, we show that if every consumer in an economy has a quasi-linear utility function, then the normalized equilibrium price is unique, and is locally stable with respect to the t\^atonnement process. Our study can be seen as that…
We derive normal approximation results for a class of stabilizing functionals of binomial or Poisson point process, that are not necessarily expressible as sums of certain score functions. Our approach is based on a flexible notion of the…
Workers separate from jobs, search for jobs, accept jobs, and fund consumption with their wages. Firms recruit workers to fill vacancies. Search frictions prevent firms from instantly hiring available workers. Unemployment persists. These…
This paper studies the application of the blended dynamics approach towards distributed optimization problem where the global cost function is given by a sum of local cost functions. The benefits include (i) individual cost function need…
Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes since they do not allow for proper predictability removal: for instance the exploitation of a single large trade whose size…
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we show that common nonparametric assumptions on per-period…
The Douglas-Rachford splitting method is a classical and widely used algorithm for solving monotone inclusions involving the sum of two maximally monotone operators. It was recently shown to be the unique frugal, no-lifting…
Optimization algorithms can see their local convergence rates deteriorate when the Hessian at the optimum is singular. These singularities are inescapable when the optima are non-isolated. Yet, under the right circumstances, several…
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in…