Related papers: Dynamically Consistent Nonlinear Evaluations and E…
This work is focused on the doubly nonlinear equation, whose solutions represent the bending motion of an extensible, elastic bridge suspended by continuously distributed cables which are flexible and elastic with stiffness k^2. When the…
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically…
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with…
A new agent-based, bounded-confidence model for discrete one-dimensional opinion dynamics is presented. The agents interact if their opinions do not differ more than a tolerance parameter. In pairwise interactions, one of the pair, randomly…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
The main focus of this work is to understand the dynamics of non regulated markets. The present model can describe the dynamics of any market where the pricing is based on supply and demand. It will be applied here, as an example, for the…
Linear systems governed by continuous-time difference equations cover a wide class of linear systems. From the Lyapunov-Krasovskii approach, we investigate stability for such a class of systems. Sufficient conditions, and in some particular…
We develop a theory of optimal stopping problems under G-expectation framework. We first define a new kind of random times, called G-stopping times, which is suitable for this problem. For the discrete time case with finite horizon, the…
Nonlinear contraction theory is a comparatively recent dynamic control system design tool based on an exact differential analysis of convergence, in essence converting a nonlinear stability problem into a linear time-varying stability…
We consider systems under uncertainty whose dynamics are partially unknown. Our aim is to study satisfaction of temporal logic properties by trajectories of such systems. We express these properties as signal temporal logic formulas and…
This paper investigates the construction of moment conditions in discrete choice panel data with individual specific fixed effects. We describe how to systematically explore the existence of moment conditions that do not depend on the fixed…
We propose an axiomatic approach which economically underpins the representation of dynamic preferences in terms of a stochastic utility function, sensitive to the information available to the decision maker. Our construction is iterative…
The dynamic emulation of non-linear deterministic computer codes where the output is a time series, possibly multivariate, is examined. Such computer models simulate the evolution of some real-world phenomenon over time, for example models…
In many sharing-economy applications, as well as in conventional economy applications, one wishes to regulate the behaviour of an ensemble of agents with guarantees on both the regulation of the ensemble in aggregate and the revenue or…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
We propose novel parameter estimation algorithms for a class of dynamical systems with nonlinear parametrization. The class is initially restricted to smooth monotonic functions with respect to a linear functional of the parameters. We show…
The target of this paper is to consider model the risky asset price on the financial market under the Knightian uncertainty, and pricing the ask and bid prices of the uncertain risk. We use the nonlinear analysis tool, i.e., G-frame work…
In the present paper, we consider multidimensional nonlinear backward stochastic differential equations (BSDEs) with a driver depending on the martingale part $M$ of a solution. We assume that the nonlinear term is merely monotone…
The stability analysis of a class of discontinuous discrete-time systems is studied in this paper. The system under study is modeled as a feedback interconnection of a linear system and a set-valued nonlinearity. An equivalent…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…