Related papers: Stochastic Analysis of Overlapping Generations Mod…
Stochastic frontier models have attracted considerable attention due to the incorporation of an inefficiency term in addition to the conventional error term. In this paper, we propose a general estimation framework for panel stochastic…
This paper proposes the asymmetric linear double autoregression, which jointly models the conditional mean and conditional heteroscedasticity characterized by asymmetric effects. A sufficient condition is established for the existence of a…
Recent methods have been developed to map single-cell lineage statistics to population growth. Because population growth selects for exponentially rare phenotypes, these methods inherently depend on sampling large deviations from finite…
The proposed BSDE-based diffusion model represents a novel approach to diffusion modeling, which extends the application of stochastic differential equations (SDEs) in machine learning. Unlike traditional SDE-based diffusion models, our…
The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…
In this paper, we study economic dynamics in a standard overlapping generations model without production. In particular, using numerical methods, we obtain a necessary and sufficient condition for the existence of a topological chaos. This…
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method.…
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of…
Motivated by improving mortality tables from human demography databases, we investigate statistical inference of a stochastic age-evolving density of a population alimented by time inhomogeneous mortality and fertility. Asymptotics are…
Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…
Networks are a commonly used mathematical model to describe the rich set of interactions between objects of interest. Many clustering methods have been developed in order to partition such structures, among which several rely on underlying…
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…
We present a stochastic agent-based model for the distribution of personal incomes in a developing economy. We start with the assumption that incomes are determined both by individual labour and by stochastic effects of trading and…
We study the problem of mean-field control when the state dynamics are given by general systems of forward-backward stochastic differential equations (FBSDEs) with heterogeneous mean-field interactions. Firstly, we introduce a novel…
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…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…
In this work, we have presented a simple analytical approximation scheme for generic non-linear FBSDEs. By treating the interested system as the linear decoupled FBSDE perturbed with non-linear generator and feedback terms, we have shown…
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…