相关论文: Optimal equilibrium for a reformulated Samuelson e…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

We prove that the standard discrete-time accelerator equation cannot be considered as an exact discrete analog of the continuous-time accelerator equation. This leads to fact that the standard discrete-time macroeconomic models cannot be…

We propose a new methodology to compute equilibria for general equilibrium problems on exchange economies with real financial markets, home-production, and retention. We demonstrate that equilibrium prices can be determined by solving a…

We model learning in a continuous-time Brownian setting where there is prior ambiguity. The associated model of preference values robustness and is time-consistent. It is applied to study optimal learning when the choice between actions can…

We study optimal equilibria in multi-player games. An equilibrium is optimal for a player, if her payoff is maximal. A tempting approach to solving this problem is to seek optimal Nash equilibria, the standard form of equilibria where no…

We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…

We consider a control-constrained optimal control problem subject to time-harmonic Maxwell's equations; the control variable belongs to a finite-dimensional set and enters the state equation as a coefficient. We derive existence of optimal…

This paper studies a discrete-time version of the Lucas-Uzawa endogenous growth model with physical and human capital in the presence of externalities. Existence of an optimal equilibrium is proved using tools from dynamic programming with…

In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in the foreign market is allowed, and therefore, the foreign…

We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…

The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…

Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…

We revisit the classical problem of optimal experimental design (OED) under a new mathematical model grounded in a geometric motivation. Specifically, we introduce models based on elementary symmetric polynomials; these polynomials capture…

We propose a general scenario to analyze social and economic changes in modern environments. We illustrate the ideas with a model that incorporating the main trends is simple enough to extract analytical results and, at the same time,…

We study the conflict between two links in a multiple-input single-output interference channel. This setting is strictly competitive and can be related to perfectly competitive market models. In such models, general equilibrium theory is…

Accelerators with power-law memory are proposed in the framework of the discrete time approach. To describe discrete accelerators we use the capital stock adjustment principle, which has been suggested by Matthews.The suggested discrete…

This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with the previous, is to study trading in the context of…

This paper focuses on the coordination of a large population of dynamic agents with private information over multiple periods. Each agent maximizes the individual utility, while the coordinator determines the market rule to achieve group…

In this paper the possibility of computing equilibrium in pure exchange and production economies by a homotopy method is investigated. The performance of the algorithm is tested on examples with known equilibria taken from the literature on…