Related papers: Aggregate Stable Matching with Money Burning
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random time. This study complements the one of…
In this paper we introduce a capacity allocation game which models the problem of maximizing network utility from the perspective of distributed noncooperative agents. Motivated by the idea of self-managed networks, in the developed…
For simultaneous independent events with finitely many outcomes, consider the expected-utility problem with nonnegative wagers and an endogenous cash position. We prove a short support theorem for a broad class of strictly increasing…
We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…
We consider the problem of fairly allocating the vertices of a graph among $n$ agents, where the value of a bundle is determined by its cut value -- the number of edges with exactly one endpoint in the bundle. This model naturally captures…
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
This thesis addresses the question of stability of systems defined by differential equations which contain nonlinearity and delay. In particular, we analyze the stability of a well-known delayed nonlinear implementation of a certain…
This paper introduces a comprehensive framework for Financial Information Theory by applying information-theoretic concepts such as entropy, Kullback-Leibler divergence, mutual information, normalized mutual information, and transfer…
We study generalized games with full row rank equality constraints and we provide a strikingly simple proof of strong monotonicity of the associated KKT operator. This allows us to show linear convergence to a variational equilibrium of the…
We generalize several schedule matching theorems of Baiou-Balinski (Math. Oper. Res., 27 (2002), 485) and Alkan-Gale (J. Econ. Th. 112 (2003), 289) by applying a fixed point method of Fleiner (Math. Oper. Res., 28 (2003), 103). Thanks to a…
In this article we study the stable marriage game induced by the men-proposing Gale-Shapley algorithm. Our setting is standard: all the lists are complete and the matching mechanism is the men-proposing Gale-Shapley algorithm. It is well…
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of…
Since Choo and Siow (2006), a burgeoning literature has analyzed matching markets when utility is perfectly transferable and the joint surplus is separable. We take stock of recent methodological developments in this area. Combining…
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 propose a method to design a decentralized energy market which guarantees individual rationality (IR) in expectation, in the presence of system-level grid constraints. We formulate the market as a welfare maximization problem subject to…
Decentralized planning is a key element of cooperative multi-agent systems for information gathering tasks. However, despite the high frequency of agent failures in realistic large deployment scenarios, current approaches perform poorly in…
This paper characterizes equilibrium properties of a broad class of economic models that allow multiple heterogeneous agents to interact in heterogeneous manners across several markets. Our key contribution is a new theorem providing…