Source Themes

Can one hear the shape of a target zone?

Journal of Mathematical Economics (2023)

Skew-Normal Diffusions

We study stochastic differential equations whose solutions behave according to skewed Gaussian distributions. We uncover a wide new class of diffusions characterized by a Brownian motion with a non-homogeneous drift, obtained via generalized h-transforms of a new class of local martingales. These diffusions are interpretable as partially observable Brownian motions, and can be used as skew-inducing noise sources for any Ito process.

Quickest detection of ecological regime shifts for natural resource management

We study the stochastic dynamics of renewable resources under the threat of ecological regime shifts. We establish a Pareto optimal framework of regime shift detection under uncertainty, and integrate ecosystem surveillance in the formation of optimal resource extraction policies. We apply our framework to the case of the Cantareira water reservoir in São Paulo, Brazil, and study the events that led to its depletion and the consequent water supply crisis.

Dams, Snails and Poverty Traps

Irrigation schemes are one of the most important policy responses designed to reduce poverty, particularly in sub-Saharan Africa. Concomitantly, they facilitate the propagation of schistosomiasis, a water-based debilitating disease that is endemic in …

The Economic Impact of Schistosomiasis

Infectious Diseases of Poverty (2021)

Increasing Risk: Dynamic Mean-Preserving Spreads

Journal of Mathematical Economics (2020)

Firm Decisions under Jump-Diffusive Dynamics

A model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented by a jump diffusion.