Related papers: Leapfrogging of a deterministic model for microeco…
Despite their deterministic nature, dynamical systems often exhibit seemingly random behaviour. Consequently, a dynamical system is usually represented by a probabilistic model of which the unknown parameters must be estimated using…
Resource competition is a fundamental interaction in natural communities.However little is known about competition in spatial environments where organisms are able to regulate resource distributions. Here, we analyze the competition of two…
Motivated by the lack of a suitable constructive framework for analyzing popular stochastic models of Systems Biology, we devise conditions for existence and uniqueness of solutions to certain jump stochastic differential equations (SDEs).…
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…
Competitive interactions represent one of the driving forces behind evolution and natural selection in biological and sociological systems. For example, animals in an ecosystem may vie for food or mates; in a market economy, firms may…
A new microeconomic model is presented that aims at a description of the long-term unit sales and price evolution of homogeneous non-durable goods in polypoly markets. It merges the product lifecycle approach with the price dispersion…
We consider bilevel linear problems, where the right-hand side of the lower level problems is stochastic. The leader has to decide in a here-and-now fashion, while the follower has complete information. In this setting, the leader's outcome…
Nonequilibrium statistical mechanics exhibit a variety of complex phenomena far from equilibrium. It inherits challenges of equilibrium, including accurately describing the joint distribution of a large number of configurations, and also…
We consider the Item Pricing problem for revenue maximization in the limited supply setting, where a single seller with $n$ items caters to $m$ buyers with unknown subadditive valuation functions who arrive in a sequence. The seller sets…
Competitive equilibrium is a central concept in economics with numerous applications beyond markets, such as scheduling, fair allocation of goods, or bandwidth distribution in networks. Computation of competitive equilibria has received a…
Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio optimization, uncertainty in expected returns and covariances…
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maximise the expected discounted spendings/dividend payments,…
This study considers a model of the income distribution of agents whose pairwise interaction is asymmetric and price-invariant. Asymmetric transactions are typical for chain-trading groups who arrange their business such that commodities…
We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…
We consider a discrete time competition model. Populations compete for common limited resources but they have different fertilities and mortalities rates. We compare dynamical properties of this model with its continuous counterpart. We…
We propose a generalization of the Bass diffusion model in discrete-time that explicitly models the effect of price in adoption. Our model is different from earlier price-incorporated models and fits well to adoption data for various…
We study a stochastic spatial model of biological competition in which two species have the same birth and death rates, but different diffusion constants. In the absence of this difference, the model can be considered as an off-lattice…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
The dependence of the scaling properties of the structure factor on space dimensionality, range of interaction, initial and final conditions, presence or absence of a conservation law is analysed in the framework of the large-N model for…