In this paper, we extend the model presented by Duffie et al. [2007], assuming that the agents pay the transaction costs, when trading assets in over the counter market. First of all, we determine a formula of equilibrium price, depending on transaction costs, and analyze the formula when...

In this study, we are primarily motivated by the research problem of recognizing heterogeneous customer behavior towards waiting for order fulfillment under the 'threshold rationing policy' (also known as the 'critical level policy'), and aim to find its effect on system stock levels and...

A model captures a community consensus on a coherent field of knowledge, serving as a cumulative benchmark that can guide both research and application design, while also focusing efforts to extend or review it. Here we propose to develop this model for cognitive trading systems, computational...

If civil war is a contest for popular support, why would a government ever embark on a policy of disproportionate force and mass killing? The logic of civilian defection expects such an approach to easily backfire, as civilians respond to massive losses by opposing the side that inflicted them....

Consider the set of probability measures on a product space with the property that all have the same marginal distributions on the coordinate spaces. This set may be viewed as a correspondence, when the marginal distributions are varied. Here, it is shown that this correspondence is continuous....

Acyclic digraphs arise in many natural and artificial processes. Among the broader set, dynamic citation networks represent a substantively important form of acyclic digraphs. For example, the study of such networks includes the spread of ideas through academic citations, the spread of...

There are fundamental differences between citation networks and other classes of graphs. In particular, given that citation networks are directed and acyclic, methods developed primarily for use with undirected social network data may face obstacles. This is particularly true for the dynamic...

We study investment and disinvestment decisions in situations where there is a time lag 0 from the time t when the decision is taken to the time when the decision is implemented. Applying the probabilistic approach to the combined entry and exit decisions under the Parisian implementation delay,...

I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household’s dynamic program in...

We show that if performance measures in a stochastic scheduling problem satisfy a set of so-called partial conservation laws (PCL), which extend previously studied generalized conservation laws (GCL), then the problem is solved optimally by a priority-index policy for an appropriate range of...