This article presents an approach to embedding expert systems within an object oriented simulation environment. The basic idea is to create classes of expert system models that can be interfaced with other model classes. An expert system shell is developed within a knowledge-based design and simulation environment which combines artificial intelligence and systems modeling concepts. In the give...

A dynamic stochastic general equilibrium model with recursive utility, search frictions, and capital accumulation is a good start to forming unified theory of asset prices business cycles. The reproduces an equity premium 4.27% per annum, stock market volatility 12.42%, average interest rate 1.97%, while retaining plausible cycle dynamics. are strongly countercyclical, whereas the consumption g...

In two-outcome strictly competitive games, equilibrium mixed strategies do not depend on ultimate prizes. Dixit and Skeath [Games of Strategy (1999) Norton, New York] find this ‘counter-intuitive’. We show this invariance comes from reduction, not independence; and provide conditions for ‘intuitive’ comparative statics under recursive expected utility.  2001 Elsevier Science B.V. All rights re...

Machina (2009, 2012) lists a number of situations where standard models of ambiguity aversion are unable to capture plausible features of ambiguity attitudes. Most of these problems arise in choice over prospects involving three or more outcomes. We show that the recursive non-expected utility model of Segal (1987) is rich enough to accommodate all these situations. JEL Classification number: D81

We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in infinite horizon are derived. We illustrate our results by an application to a problem of optimal consumption with respect to recursive utility from a cash fl...

This paper presents an improved method for determining the contribution of harmonic distortion generated by utility and customer at the Point of Common Coupling (PCC) in a distorted power system. For this purpose, first the magnitude and phase of voltage and current at the PCC in each frequency are estimated by adaptive Kalman filter. Then the parameters of Thevenin equivalent circuits of load ...

This paper axiomatizes an intertemporal version of multiple-priors utility. A central axiom is dynamic consistency, which leads to a recursive structure for utility, to ‘rectangular’ sets of priors and to prior-by-prior Bayesian updating as the updating rule for such sets of priors. It is argued that dynamic consistency is intuitive in a wide range of situations and that the model is consistent...

This paper proposes an approximation method to create optimal continuous-time portfolio strategy based on a combination of neural networks and Monte Carlo, named NNMC. work is motivated by the increasing complexity models stylized facts reported in literature. We within expected utility theory for selection with constant relative risk aversion utility. The extends recursive polynomial exponenti...

This paper analyzes one-good exchange economies with two infinitely-lived agents and incomplete markets. It is shown that there are no recursive (Markov) equilibria for which borrowing (debt) constraints never bind if the state space of exogenous and endogenous variables is a compact subset of IR. Moreover, for large enough (but finite) borrowing limits, no recursive equilibrium with compact st...