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Infinite horizon MPC with non-minimal state space feedback
(Elsevier, 2009-12)
In the MPC literature, stability is usually assured under the assumption that the state is measured. Since the closed-loop system may be nonlinear because of the constraints, it is not possible to apply the separation ...
Financial segmentation and collateralized debt in infinite-horizon economies
(2019)
In this paper we address equilibrium existence in economies with default, long-term collateralized debt, and financial market segmentation. We first prove equilibrium existence in the finite-horizon case of our model, by ...
Infinite horizon MPC with non-minimal state space feedback
(ELSEVIER SCI LTD, 2009)
In the MPC literature, stability is usually assured under the assumption that the state is measured. Since the closed-loop system may be nonlinear because of the constraints, it is not possible to apply the separation ...
Necessary Conditions of Optimality for State Constrained Infinite Horizon Differential Inclusions
(Ieee, 2011-01-01)
This article presents and discusses necessary conditions of optimality for infinite horizon dynamic optimization problems with inequality state constraints and set inclusion constraints at both endpoints of the trajectory. ...
Collateral avoids Ponzi schemes in incomplete markets
(Escola de Pós-Graduação em Economia da FGV, 2001-05-01)
Without introducing neither debt constraints nor transversality conditions to avoid the possibility of Ponzi schemes, we show existence of equilibrium in an incomplete markets economy with a collateral structure.
Harsh default penalties lead to Ponzi schemes: a counterexample
(Academic Press Inc Elsevier Science, 2012-05)
Pascoa and Seghir (2009) presented two examples to show that in the presence of utility penalties for default, collateral requirements do not always eliminate the occurrence of Ponzi schemes and equilibria may fail to ...
Uniform Approximation of Infinite Horizon Control Problems for Nonlinear Systems and Stability of the Approximating Controls
(Ieee-inst Electrical Electronics Engineers IncPiscatawayEUA, 2009)