Related papers: Radner equilibrium with population growth
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…
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…
We investigate the relation between economic growth and equality in a modified version of the agent-based asset exchange model (AEM). The modified model is a driven system that for a range of parameter space is effectively ergodic in the…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
Financial firms and institutional investors are routinely evaluated based on their performance relative to their peers. These relative performance concerns significantly influence risk-taking behavior and market dynamics. While the…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a…
We present, solve and numerically simulate a simple model that describes the consequences of increased longevity on fertility rates, population growth and the distribution of wealth in developed societies. We look at the consequences of the…
The agent-based Yard-Sale model of wealth inequality is generalized to incorporate exponential economic growth and its distribution. The distribution of economic growth is nonuniform and is determined by the wealth of each agent and a…
A large amount of population models use the concept of a carrying capacity. Simulated populations are bounded by invoking finite resources through a survival probability, commonly referred to as the Verhulst factor. The fact, however, that…
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random)…
The question as to why most higher organisms reproduce sexually has remained open despite extensive research, and has been called "the queen of problems in evolutionary biology". Theories dating back to Weismann have suggested that the key…
The principle of linearized stability is established for age-structured diffusive populations incorporating nonlinear death and birth processes. More precisely, asymptotic exponential stability is shown for equilibria for which the…
It is well known that a stable matching in a many-to-one matching market with couples need not exist. We introduce a new matching algorithm for such markets and show that for a general class of large random markets the algorithm will find a…
In this article, we consider the problem of equilibrium price formation in an incomplete securities market consisting of one major financial firm and a large number of minor firms. They carry out continuous trading via the securities…
We study a system of $N$ agents, whose wealth grows linearly, under the effect of stochastic resetting and interacting via a tax-like dynamics -- all agents donate a part of their wealth, which is, in turn, redistributed equally among all…
The prevalence of sexual reproduction ("sex") in eukaryotes is an enigma of evolutionary biology. Sex increases genetic variation only tells its long-term superiority in essence. The accumulation of harmful mutations causes an immediate and…
A general model of age-structured population dynamics is developed and the fundamental properties of its solutions are analyzed. The model is a semilinear partial differential equation with a nonlinear nonlocal boundary condition.…
Motivated by the wide range of known self-replicating systems, some far from genetics, we study a system composed by individuals having an internal dynamics with many possible states that are partially stable, with varying mutation rates.…
We analyze how equilibrium housing prices are determined in the process of economic development within an overlapping generations model with perfect housing and rental markets. We characterize the rent growth rate in all equilibria. The…