We consider an exchange economy under uncertainty, in which agents’ utility functions exhibit constant absolute risk aversion, but they may be recursive and the expected utility calculation may be based on multiple subjective beliefs. The risk aversion coefficients, subjective beliefs, subjective time discount factors, initial endowments, and tradeable assets may differ across agents. We prove ...

This chapter presents a theory of optimal lifetime consumption-portfolio choice in a continuous information setting, with emphasis on the modeling of risk aversion through generalized recursive utility. A novel contribution is a decision theoretic development of the notions of source-dependent firstor second-order risk aversion. Backward stochastic differential equations (BSDEs) are explained h...

We study the stochastic Hamilton–Jacobi–Bellman (HJB) equation with jump, which arises from a non-Markovian optimal control problem recursive utility cost functional. The solution to is predictable triplet of random fields. show that value function problem, under some regularity assumptions, HJB equation; and classical this characterizes control. With additional assumptions on coefficients, an ...

We study the limiting distribution of the degree of a given node in a scaled attachment random recursive tree, a generalized random recursive tree, which is introduced by Devroye et. al (2011). In a scaled attachment random recursive tree, every node $i$ is attached to the node labeled $lfloor iX_i floor$ where $X_0$, $ldots$ , $X_n$ is a sequence of i.i.d. random variables, with support in [0,...


 We introduce Epstein-Zin (1989, 1991) preferences into a real-business-cycle (RBC) model with government. calibrate the economy to Bulgarian data for period after currency board regime (1999-2018). evaluate quantitative importance of presence ”early resolution uncertainty” motive propagation cyclical fluctuations in Bulgaria. Allowing improves performance against data, and addition this ...

We propose a new unbiased estimator for estimating the utility of optimal stopping problem. The MUSE, short Multilevel Unbiased Stopping Estimator, constructs Monte Carlo (MLMC) at every stage problem in backward recursive way. In contrast to traditional sequential methods, MUSE can be implemented parallel. prove has finite variance, computational complexity, and achieves $\epsilon$-accuracy wi...

we study the limiting distribution of the degree of a given node in a scaled attachment random recursive tree, a generalized random recursive tree, which is introduced by devroye et. al (2011). in a scaled attachment random recursive tree, every node $i$ is attached to the node labeled $lfloor ix_i floor$ where $x_0$, $ldots$ , $x_n$ is a sequence of i.i.d. random variables, with support in [0,...

a recursive-circulant $g(n; d)$ is defined to be acirculant graph with $n$ vertices and jumps of powers of $d$.$g(n; d)$ is vertex-transitive, and has some strong hamiltonianproperties. $g(n; d)$ has a recursive structure when $n = cd^m$,$1 leq c < d $ [10]. in this paper, we will find the automorphismgroup of some classes of recursive-circulant graphs. in particular, wewill find that the autom...

This paper considers an extended recursive least squares (RLS) adaptive bilinear predictor. It is shown that the extended RLS adaptive bilinear predictor is guaranteed to be stable in the sense that the time average of the squared a-posteriori prediction error signal is bounded whenever the input signal is bounded in the same sense. It also shows that the a-priori prediction error itself is bou...

Information sharing is important for different goals, such as sharing reputations of sellers among potential buyers, load balancing, solving technical problems, etc. In the short run, providing information as a response to queries is often unbene cial. In the long run, mechanisms that enable bene cial stable strategies for information exchange can be found. This paper presents such mechanisms a...