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Misperceptions about extreme dependencies between different financial assets have been an im- portant element of the recent financial crisis. This paper studies inhomogeneity in dependence structures using Markov switching regular vine…
We study an agent's lifecycle portfolio choice problem with stochastic labor income, borrowing constraints and a finite retirement date. Similarly to arXiv:2002.00201, wages evolve in a path-dependent way, but the presence of a finite…
We develop a continuous-time general equilibrium framework for economies with a heterogeneous population -- modeled as a continuum -- that repeatedly optimizes over short horizons under relative-income (Duesenberry-type) criteria. The…
Humans can learn several tasks in succession with minimal mutual interference but perform more poorly when trained on multiple tasks at once. The opposite is true for standard deep neural networks. Here, we propose novel computational…
Maintaining system balance becomes increasingly challenging as market design and grid capacity enhancement lag behind the growing share of renewables, requiring greater effort from both the transmission system operator (TSO) and the Balance…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
For a class of stochastic dynamical models of exchange economies that we call ``fully connected Cobb-Douglas'', the paper proves convergence of the probability distribution to an equilibrium, in total variation metric as time goes to…
Recently, Frazier et al. proposed a natural model for crowdsourced exploration of different a priori unknown options: a principal is interested in the long-term welfare of a population of agents who arrive one by one in a multi-armed bandit…
We consider a heterogeneous agent-based economic model where economic agents have strictly bounded rationality and where income allocation strategies evolve through selective imitation. Income is calculated by a Cobb-Douglas type production…
In this paper, we study the optimal capital structure model with endogenous bankruptcy when the firm's asset value follows an exponential L\'evy process with positive jumps. In the Leland-Toft framework \cite{LelandToft96}, we obtain the…
This paper presents a distributed continuous-time optimization framework aimed at overcoming the challenges posed by time-varying cost functions and constraints in multi-agent systems, particularly those subject to disturbances. By…
High communication costs create a major bottleneck for distributed resource allocation over unbalanced directed networks. Conventional dual gradient tracking methods, while effective for problems on unbalanced digraphs, rely on periodic…
Urban systems are characterized by populations with heterogeneous characteristics, and whose spatial distribution is crucial to understand inequalities in life expectancy or education level. Traditional studies on spatial segregation…
Event-based state estimation can achieve estimation quality comparable to traditional time-triggered methods, but with a significantly lower number of samples. In networked estimation problems, this reduction in sampling instants does,…
We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market;…
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
A new emergence mechanism related to the human fuzzy rationality is considered. It assumes that individuals (operators) governing the dynamics of a certain system try to follow an optimal strategy in controlling its motion but fail to do…
We propose a Statistical-Mechanics inspired framework for modeling economic systems. Each agent composing the economic system is characterized by a few variables of distinct nature (e.g. saving ratio, expectations, etc.). The agents…
We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…
What is the emergent long-run equilibrium of a society where many interacting agents bet on the optimal energy to put in place in order to climb on the Bandwagon? In this paper we study the collective behavior of a large population of…