Related papers: Comment on 'Asset Bubbles and Overlapping Generati…

Two classical problems in economics, the existence of a market equilibrium and the existence of social choice functions, are formalized here by the properties of a family of cones associated with the economy. It was recently established…

This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…

In this paper, we study the classical problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in the risk-free interest rate creates incompleteness. The…

Inflation has been the leading early universe scenario for two decades, and has become an accepted element of the successful `cosmic concordance' model. However, there are many puzzling features of the resulting theory. It requires both…

Growth of monetary assets and debts is commonly described by the formula of compound interest which for the case of continuous compounding is the exponential growth law. Its differential form is dc/dt = i c where dc/dt describes the rate of…

In the picture of eternal inflation, our observable universe resides inside a single bubble nucleated from an inflating false vacuum. Many of the theories giving rise to eternal inflation predict that we have causal access to collisions…

We revisit the classical population genetics model of a population evolving under multiplicative selection, mutation and drift. The number of beneficial alleles in a multi-locus system can be considered a trait under exponential selection.…

In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin, dividends give rise…

The changeover from normal to super diffusion in time dependent billiards is explained analytically. The unlimited energy growth for an ensemble of bouncing particles in time dependent billiards is obtained by means of a two dimensional…

We investigate the global structure of inflationary universe both by analytical methods and by computer simulations of stochastic processes in the early Universe. We show that the global structure of the universe depends crucially on the…

We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…

We consider a population spreading across a finite number of sites. Individuals can move from one site to the other according to a network (oriented links between the sites) that vary periodically over time. On each site, the population…

Establishing unambiguously the existence of speculative bubbles is an on-going controversy complicated by the need of defining a model of fundamental prices. Here, we present a novel empirical method which bypasses all the difficulties of…

We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…

A unified approach to quintessence and inflation is investigated with the use of a single scalar field. It is argued that successful potentials have to approximate a combination of exponential and inverse power-law decline in the limit of…

Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for…

The open inflation scenario based on the theory of bubble formation in the models of a single scalar field suffered from a fatal defect. In all the versions of this scenario known so far, the Coleman-De Luccia instantons describing the…

We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time…

This study presents a computational and theoretical framework inspired by thermodynamic principles to analyze the dynamics of economic inflation within adiabatic and non-adiabatic systems. In a framework referred to as developmental…

In this paper we explore the relationship between the existence of eternal inflation and the initial conditions leading to inflation. We demonstrate that past and future completion of inflation is related, in that past-incomplete inflation…