A constructive analysis of convex-valued demand correspondence for weakly uniformly rotund and monotonic preference.
A consumption-investment problem modelled as a discounted Markov decision process
In this paper a problem of consumption and investment is presented as a model of a discounted Markov decision process with discrete-time. In this problem, it is assumed that the wealth is affected by a production function. This assumption gives the investor a chance to increase his wealth before the investment. For the solution of the problem there is established a suitable version of the Euler Equation (EE) which characterizes its optimal policy completely, that is, there are provided conditions...
A stochastic overlapping generation model with a continuum of agents
We consider a stochastic overlapping generations model for a continuum of individuals with finite lives in presence of a financial market. In this paper, an agent's heterogeneity is given by the dates of birth of the household members, in contrast to standard models, in which each agent has his own aversion coefficient on his utility function. By means of martingale arguments, we compute the agent's optimal consumption and portfolio. A characterization of interest rate trajectories is given by mixed-type...
An inverse problem in the economic theory of demand
Conjoint analysis: an application in eliciting patient's preferences.
Core and equilibria in models of large household economy
The paper deals with models of household economy with infinitely many agents classified into a finite number of types. The notions of competitive equilibrium, core and quasi-core are examined with special emphasis on their mutual relations.
Dynamical analysis of a demand governed market.
Economic assessment of the Champagne wine qualitative stock mecanism
In the wine AOC system, the regulation of quantities performed by the professional organizations is aimed to smooth the variations of the quality of the wine due to the variations in the climate that affect the quality of the grapes. Nevertheless, this regulation could be damaging to the consumers due to the price increase resulting from the reduction of the quantities sold on the market. We propose a stochastic control model and a simulation tool able to measure the effects of this mechanism...
Intergenerational equity and dynamic duality principles.
Introduction to Formal Preference Spaces
In the article the formal characterization of preference spaces [1] is given. As the preference relation is one of the very basic notions of mathematical economics [9], it prepares some ground for a more thorough formalization of consumer theory (although some work has already been done - see [17]). There was an attempt to formalize similar results in Mizar, but this work seems still unfinished [18]. There are many approaches to preferences in literature. We modelled them in a rather illustrative...
Nonexpansive maps and option pricing theory
The famous Black–Sholes (BS) and Cox–Ross–Rubinstein (CRR) formulas are basic results in the modern theory of option pricing in financial mathematics. They are usually deduced by means of stochastic analysis; various generalisations of these formulas were proposed using more sophisticated stochastic models for common stocks pricing evolution. In this paper we develop systematically a deterministic approach to the option pricing that leads to a different type of generalisations of BS and CRR formulas...
On a multi-objective optimization problem arising from production theory
The paper presents a natural application of multi-objective programming to household production and consumption theory. A contribution to multi-objective programming theory is also included.
On the foundations of mathematical modeling of economy.
Optimization of consumption with partial observation-Jensen inequality method
A solution to a model of optimal consumption with partial observation considered in [LOS] is presented. The approach is based on the Jensen inequality and does not require application of the filtering equation.
Pricing and revenue management: present and trends.
The study of the chaotic behavior in retailer's demand model.
The videotape rental model.