相关论文: Dynamically Consistent Nonlinear Evaluations and E…

This paper is an original attempt to understand the foundations of economic reasoning. It endeavors to rigorously define the relationship between subjective interpretations and objective valuations of such interpretations in the context of…

We find conditions which guarantee moment (in)determinacy of powers and products of nonnegative random variables. We establish new and general results which are based either on the rate of growth of the moments of a random variable or on…

This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a continuum of invariant distributions…

We propose a sequential, anytime-valid method to test the conditional independence of a response $Y$ and a predictor $X$ given a random vector $Z$. The proposed test is based on e-statistics and test martingales, which generalize likelihood…

We investigate opinion formation in a kinetic exchange opinion model, where opinions are represented by numbers in the real interval $[-1,1]$ and agents are typified by the individual degree of conviction about the opinion that they…

In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…

This article deals with the consensus problem involving agents with time-varying singularities in the dynamics or communication in undirected graph networks. Existing results provide control laws which guarantee asymptotic consensus. These…

Many algorithms have been proposed in prior literature to guarantee resilient multi-agent consensus in the presence of adversarial attacks or faults. The majority of prior work present excellent results that focus on discrete-time or…

Motivated by the growing requirements on the operation of complex engineering systems, we present contracts as specifications for continuous-time linear dynamical systems with inputs and outputs. A contract is defined as a pair of…

We present a condition for delay-independent stability of a class of nonlinear positive systems. This result applies to systems that are not necessarily monotone and extends recent work on cooperative nonlinear systems.

The g-formula can be used to estimate causal effects of sustained treatment strategies using observational data under the identifying assumptions of consistency, positivity, and exchangeability. The non-iterative conditional expectation…

We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is…

In this paper, we introduce a novel method to generate interpretable regression function estimators. The idea is based on called data-dependent coverings. The aim is to extract from the data a covering of the feature space instead of a…

Working in a continuous time setting, we extend to the general case of dynamic risk measures continuous from above the characterization of time consistency in terms of ``cocycle condition'' of the minimal penalty function. We prove also the…

This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…

Suppose we can choose from a set of linear autonomous systems with bounded process noise, the dynamics of each system are unknown, and we would like to design a stabilizing policy. The underlying question is how to estimate the dynamics of…

How can we monitor, in real time, whether one uncertain prospect has any upside over another? To answer this question, we develop a novel family of sequential, anytime-valid tests for stochastic dominance (SD; also known as stochastic…

Leveraging machine learning methods to solve constraint satisfaction problems has shown promising, but they are mostly limited to a static situation where the problem description is completely known and fixed from the beginning. In this…

This paper examines equilibria in dynamic two-sided matching games, extending Gale and Shapley's foundational model to a non-cooperative, decentralized, and dynamic framework. We focus on markets where agents have utility functions and…

This paper studies identification and estimation of a dynamic discrete choice model of demand for differentiated product using consumer-level panel data with few purchase events per consumer (i.e., short panel). Consumers are…