Chile node

Leader: Alejandro Jofre

The research node coordinated in Santiago is an active and strong group working on Variational Analysis, decision models under uncertainty, stochastic optimization, dynamic and stochastic equilibrium, dynamic contract theory, computational economics and quantitative risk analysis.  We have a long scientific cooperation with U. Washington and U. California. Areas of application include financial mathematics, electricity and telecommunication markets, portfolio management, reliability and optimal control. Researchers from the Center of Mathematical Modeling, departments of Economics, Industrial Engineering of Universities of Chile, Catolica and Santiago, and the Central Bank will be involved in this initiative.

The researchers of this node have recent contributions on dynamic and stochastic equilibrium in the framework of incomplete/financial markets, expectational coordination, and stochastic and global games with applications to energy, telecommunication and dynamic contract/behavioral theory.

Some recent references:

  • A. Jofre, R.T. Rockafellar and R. Wets. A time-embedded approach to economic equilibrium with incomplete financial markets. Advances in Mathematical Economics, 14 (2011), 183-196.
  • A. Jofre, R.T. Rockafellar and R. Wets.. General economic equilibrium with incomplete markets and money. Submitted (2010) Econometrica.
  • Roger Guesnerie and Pedro Jara-Moroni. Expectational coordination in simple economic contexts Concepts and analysis with emphasis on strategic substitutabilities. To appear in Economic Theory (2011).
  • U. Doraszelski, J. F. Escobar. A theory of regular Markov perfect equilibria in dynamic stochastic games: Genericity, stability, and purification. Theoretical Economics 5 (2010), 369–402.
  • Jofre, Alejandro; Rockafellar, Terry; Wets, Roger. Variational Inequalities and economic equilibrium. Mathematics of Operation Research, Vol. 32 (2007), pp. 3250.
  • R. T. Rockafellar, S. Uryasev and M. Zabarankin. Equilibrium with investors using a diversity of deviation measures,” Journal of Banking and Finance 31 (2007), 3251-3268.