We study a dynamic stochastic general equilibrium model in continuous time. Related work has proven that optimal consumption in this model is a smooth function of state variables. This allows us to describe the evolution of optimal state variables (wealth and labour market status) by stochastic di¤erential equations. We derive conditions under which an invariant distribution for state variables...

We present an application of the theory of stochastic processes to model and categorize non-equilibrium physical phenomena. The concepts of uniformly continuous probability measures and modular evolution lead to a systematic hierarchical structure for (physical) correlation functions and non-equilibrium thermodynamical potentials. It is proposed that macroscopic evolution equations (such as dyn...

This paper discusses uniqueness of user equilibrium in transportation networks with heterogeneous commuters. Daganzo (1983, Transportation Science) proved the uniqueness of (stochastic) user equilibrium when commuters have heterogeneous tastes over possible paths but identical disutility functions from time costs. We Þrst show, by example, that his result may not apply in general networks if di...

T he world economy has experienced a bulk of positive and negative shocks in crude oil prices and exchange rates over the years, and that global inflation has undergone some changes. Such shocks have affected the macroeconomic variables in the countries of the world and have challenged the economies of these countries, and have led them to take different measures to protect themselves agai...

This paper provides a step-by-step guide to solving dynamic stochastic games using the homotopy method. The homotopy method facilitates exploring the equilibrium correspondence in a systematic fashion; it is especially useful in games that have multiple equilibria. We discuss the theory of the homotopy method and its implementation and present two detailed examples of dynamic stochastic games t...