相关论文: Existence and Uniqueness of Recursive Utility Mode…
Kernel mean embeddings, a widely used technique in machine learning, map probability distributions to elements of a reproducing kernel Hilbert space (RKHS). For supervised learning problems, where input-output pairs are observed, the…
We show that restricting the elimination principle of the natural numbers type in Martin-L\"of Type Theory (MLTT) to a universe of types not containing $\Pi$-types ensures that all definable functions are primitive recursive. This extends…
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…
The main ideas behind the classical multivariate logistic regression model make sense when translated to the functional setting, where the explanatory variable $X$ is a function and the response $Y$ is binary. However, some important…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…
Martin-L\"of's Intuitionistic Theory of Types is becoming popular for formal reasoning about computer programs. To handle recursion schemes other than primitive recursion, a theory of well-founded relations is presented. Using primitive…
The ability to uncover preferences from choices is fundamental for both positive economics and welfare analysis. Overwhelming evidence shows that choice is stochastic, which has given rise to random utility models as the dominant paradigm…
Extended and zigzag persistence were introduced more than ten years ago, as generalizations of ordinary persistence. While overcoming certain limitations of ordinary persistence, they both enjoy nice computational properties, which make…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. Closed, not necessarily convex, constraints are imposed on strategies. The optimal consumption and investment…
Existence and uniqueness is established for a large class of backward stochastic differential equations which contain singular terms of the form $\pm|z|^2/y$. The results are applied to investigate singular partial differential equations…
Dependence on the parameter is continuous when perturbations of the parameter preserves strict preference for one alternative over another. We characterise this property via a utility function over alternatives that depends continuously on…
The problem of demand inversion - a crucial step in the estimation of random utility discrete-choice models - is equivalent to the determination of stable outcomes in two-sided matching models. This equivalence applies to random utility…
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests in a constant-parameter Black-Scholes-Merton market over the…
We consider periodic energy problems in Euclidean space with a special emphasis on long-range potentials that cannot be defined through the usual infinite sum. One of our main results builds on more recent developments of Ewald summation to…
Spatial autoregressive model, introduced by Clif and Ord in 1970s has been widely applied in many areas of science and econometrics such as regional economics, public finance, political sciences, agricultural economics, environmental…
CP-nets represent the dominant existing framework for expressing qualitative conditional preferences between alternatives, and are used in a variety of areas including constraint solving. Over the last fifteen years, a significant…
In this paper we obtained several properties that the characteristic polynomials of the unit-primitive matrix satisfy. In addition, using these properties we have shown that the recurrence relation given as in the formula (1) is true. In…
This paper examines a continuous time intertemporal consumption and portfolio choice problem with a stochastic differential utility preference of Epstein-Zin type for a robust investor, who worries about model misspecification and seeks…
In this paper we consider the issue of a unique prediction in one to one two sided matching markets, as defined by Gale and Shapley (1962), and we prove the following. Theorem. Let P be a one-to-one two-sided matching market and let P be…
We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It…