Related papers: Radner equilibrium with population growth
In this paper, using the mean-field game theory, we study a problem of equilibrium price formation among many investors with exponential utility in the presence of liabilities unspanned by the security prices. The investors are…
We call an investment strategy survival, if an agent who uses it maintains a non-vanishing share of market wealth over the infinite time horizon. In a discrete-time multi-agent model with endogenous asset prices determined through a…
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and instantaneous covariation $c$ are known, and where…
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…
At the zero lower bound, the New Keynesian model predicts that output and inflation collapse to implausibly low levels, and that government spending and forward guidance have implausibly large effects. To resolve these anomalies, we…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
A possibly immortal agent tries to maximise its summed discounted rewards over time, where discounting is used to avoid infinite utilities and encourage the agent to value current rewards more than future ones. Some commonly used discount…
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company…
We investigate the dynamics of the voter model in which the population itself changes endogenously via the birth-death process. There are two species of voters, labeled A and B, and the population of each species can grow or shrink by the…
Stochastic multiplicative dynamics characterize many complex natural phenomena such as selection and mutation in evolving populations, and the generation and distribution of wealth within social systems. Population heterogeneity in…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
This paper is concerned with an analysis of the dynamics of a non-autonomous, single population age based growth model with harvesting formulation. First, we derive sufficient conditions for permanence and positive invariance. Then, by…
A general framework of evolutionary dynamics under heterogeneous populations is presented. The framework allows continuously many types of heterogeneous agents, heterogeneity both in payoff functions and in revision protocols and the entire…
Inspired by the work of [Kempe, Kleinberg, Oren, Slivkins, EC13] we introduce and analyze a model on opinion formation; the update rule of our dynamics is a simplified version of that of Kempe et. al. We assume that the population is…
We study the stability of non-conservative deterministic cross diffusion models and prove that they are approximated by stochastic population models when the populations become locally large. In this model, the individuals of two species…
The key idea of this model is that firms are the result of an evolutionary process. Based on demand and supply considerations the evolutionary model presented here derives explicitly Gibrat's law of proportionate effects as the result of…
Firms that price perishable resources -- airline seats, hotel rooms, seasonal inventory -- now routinely use demand predictions, but these predictions vary widely in quality. Under hard capacity constraints, acting on an inaccurate…
The war of attrition with two-sided asymmetric information is a foundational model in political economy, yet it generically admits a continuum of perfect Bayesian equilibria. This paper characterizes the sources of equilibrium multiplicity.…
We derive the most probable distribution of resources for a simple society. We find that a probabilistic analysis forbids both too much and too less equity, and selects instead a minimally ordered state. We give the detailed calculations…
We study mean-field control problems in discrete-time under the infinite horizon average cost optimality criteria. We focus on both the finite population and the infinite population setups. We show the existence of a solution to the average…