This paper examines the two-fund separation paradigm in the context of an infinite-horizon general equilibrium model with dynamically complete markets and heterogeneous consumers with timeand state-separable utility functions. With the exception of the dynamic structure, we maintain the assumptions of the classical static models that exhibit two-fund separation with a riskless security. Agents ...

We introduce agent-based dynamics in a class of Arrow-Debreu economies with capital accumulation and technological progress. In this framework we confirm results obtained by [Gintis 2006] and [Gintis 2007] in an exchange economy: the micro-behavior of boundedly rational agents can lead to the emergence of equilibrium at the macro-level provided some form of collective optimization takes place v...

We construct a general equilibrium model with private information in which borrowers and lenders enter into long-term dynamic credit relationships. Each new generation of ex ante identical individuals is divided in equilibrium into workers and entrepreneurs. Workers save through financial intermediaries in the form of interest-bearing deposits and supply labor to entrepreneurs in a competitive ...

In this thesis, we study the problem of maximizing certain concave functionals on the space of optional random measures. Such functionals arise in microeconomic theory where their maximization corresponds to finding the optimal consumption plan of some economic agent. As an alternative to the well–known methods of Dynamic Programming, we develop a new approach which allows us to clarify the str...

Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players (agents) and the decentralized nature of this information. When the number of players is sufficiently large and the interactions among agents is of the mean-field t...

We investigate the dynamics of a delayed stochastic mathematical model to understand the evolution of the alcohol consumption in Spain. Sufficient condition for stability in probability of the equilibrium point of the dynamic model with aftereffect and stochastic perturbations is obtained via Kolmanovskii and Shaikhet general method of Lyapunov functionals construction. We conclude that alcohol...