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Risk Assessment and Decision Making Under Uncertainty with Applications

不确定性下的风险评估和决策及其应用

基本信息

批准号：
1812661
负责人：
Marcel Nutz
金额：
$ 30.15万
依托单位：
Columbia University
依托单位国家：
美国
项目类别：
Standard Grant
财政年份：
2018
资助国家：
美国
起止时间：
2018-07-01 至 2022-06-30
项目状态：
已结题

来源：
https://www.nsf.gov/awardsearch/showAward?AWD_ID=1812661&HistoricalAwards=false
关键词：
Risk Assessment Decision Making Under

项目摘要

This project studies stochastic models applied in social sciences as well as their mathematical foundations. The first part concerns the economics of climate change. Climate change could be a very impactful global risk; its mitigation becomes an interdisciplinary challenge involving a multitude of sciences and agencies. The second part studies how collective behavior can result from individual preferences in stochastic games; this is useful to understand macroscopic effects in systems with many decision-takers, such as financial crises in securities markets. The third part investigates the emergence of speculative price bubbles in asset markets as a consequence of heterogeneity among market participants. The fourth part studies the existence of probability densities for certain stochastic processes and produces estimates for these densities.The complexity of the climate response and its interaction with the economy gives rise to model ambiguity and stochastic uncertainty in decision making. Nevertheless, the existing literature largely relies on deterministic models. This project aims to emphasize the impact of uncertainty and ambiguity on risk assessment and policy making, as well as initiating a transfer of knowledge from fields such as mathematical finance where stochastic models are routinely employed. Regarding stochastic games, the project studies models with mean field interaction which, at least formally, correspond to games with a continuum of players. It is expected that multiplicity of equilibria is related to coalitions of agents, and a notion of stability may be useful to understand why certain equilibria of mean field games are limits of N-player games but others are not. The third project will continue recent work that aims to develop a robust stochastic model for speculation among heterogeneous agents and investigate how market regulations and the distribution of beliefs among market participants influence prices and speculative trading in a bubble. The study of probability densities for stochastic processes follows a novel approach based on optimal control theory. It allows for remarkably general processes, including non-Markovian ones, while being elementary in nature.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

该项目研究应用于社会科学的随机模型及其数学基础。第一部分涉及气候变化的经济学。气候变化可能是一个非常有影响力的全球风险;减缓气候变化成为一个涉及众多科学和机构的跨学科挑战。第二部分研究随机博弈中个体偏好如何导致集体行为;这有助于理解具有许多决策者的系统中的宏观效应，例如证券市场中的金融危机。第三部分研究了由于市场参与者的异质性而导致的资产市场投机性价格泡沫的出现。第四部分研究了某些随机过程的概率密度的存在性，并给出了这些密度的估计。气候响应的复杂性及其与经济的相互作用导致了决策中的模型模糊性和随机不确定性。然而，现有的文献在很大程度上依赖于确定性模型。该项目旨在强调不确定性和模糊性对风险评估和政策制定的影响，以及启动从数学金融等领域的知识转移，其中随机模型是常规使用。关于随机游戏，该项目研究平均场相互作用的模型，至少在形式上，对应于连续玩家的游戏。预计均衡的多重性与代理人的联盟有关，并且稳定性的概念可能有助于理解为什么平均场博弈的某些均衡是N-玩家博弈的极限，而其他均衡则不是。第三个项目将继续最近的工作，旨在开发一个用于异质主体之间投机的稳健随机模型，并调查市场监管和市场参与者之间的信念分布如何影响泡沫中的价格和投机交易。随机过程概率密度的研究遵循一种基于最优控制理论的新方法。该奖项反映了NSF的法定使命，并通过使用基金会的知识价值和更广泛的影响审查标准进行评估，被认为值得支持。