This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are non-additive expected utility maximizers. We show that when agents have the same convex capacity, the set of Pareto-optima is independent of it and identical to the set of optima of an economy in...

This paper considers a class of one dimensional calculus of variations problems with monotonicity and comonotonicity constraints arising in economic and financial models where law invariant concave criteria (or law invariant convex measures of risk) are used. Existence solutions, optimality...

This paper analyzes the role of private storage in a market for a commodity (e.g. natural gas) whose supply is subject to the threat of an irreversible disruption. We focus on the medium term in which seasonality of demand and exhaustibility can be neglected. We characterize the price and...

We model an economy that alternates randomly between abundance and scarcity episodes. We develop an original method to characterize in detail the structure of the Markovian competitive equilibrium. Accumulation and drainage of stocks are the main focuses. Economically appealing comparative...

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows us to numerically solve stochastic control problems...

This article proposes a mean-variance optimisation and portfolio frontier analysis of energy risk management with carbon assets, introduced in January 2005 as part of the EU Emissions Trading Scheme. In a stylised exercise, we compute returns, standard deviations and correlations for various...

In this paper we present a new class of pedestrian crowd models based on the mean field games theory introduced by Lasry and Lions in 2006. This macroscopic approach is based on a microscopic model, that considers smart pedestrians who rationally interact and anticipate the future. This leads...

We characterize the minmax values of a class of repeated games with imperfect monitoring. Our result relies on the optimal trade-off for the team formed by punishing players between optimization of stage-payoffs and generation of signals for future correlation. Amounts of correlation are...

We consider an optimization problem in a given region Q where an agent has to decide the price p(x) of a product for every x ∈ Q. The customers know the pricing pattern p and may shop at any place y, paying the cost p(y) and additionally a transportation cost c(x, y) for a given trans-...

In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of a forward-backward system (FBSDE) if the generating martingale is a strong Markov process. Then we establish the...