Related papers: On Equilibrium Prices in Continuous Time
Identical products being sold at different prices in different locations is a common phenomenon. Price differences might occur due to various reasons such as shipping costs, trade restrictions and price discrimination. To model such…
Calculations of nonequilibrium processes become increasingly feasable in quantum field theory from first principles. There has been important progress in our analytical understanding based on 2PI generating functionals. In addition, for the…
This work solves the equilibrium price formation problem for the risky stock by combining mean-field game theory with the binomial tree framework, adapting the classic approach of Cox, Ross \& Rubinstein. For agents with exponential and…
In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…
Generalizations of the microcanonical and canonical ensembles for paths of Markov processes have been proposed recently to describe the statistical properties of nonequilibrium systems driven in steady states. Here we propose a theory of…
We propose a real-time nodal pricing mechanism for cost minimization and voltage control in a distribution network with autonomous distributed energy resources and analyze the resulting market using stochastic game theory. Unlike existing…
We present a pedagogical account of the Lee-Yang theory of equilibrium phase transitions and review recent advances in applying this theory to nonequilibrium systems. Through both general considerations and explicit studies of specific…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
Equilibrium pricing has been proven to underlie the rational Insured expectancy of premia additivity for composition of policies fully covering independent risks.
Understanding thermodynamics and statistical mechanics in the full general relativistic context is an open problem. I give tentative definitions of equilibrium state, mean values, mean geometry, entropy and temperature, which reduce to the…
We consider nonequilibrium systems with complex dynamics in stationary states with large fluctuations of intensive quantities (e.g. the temperature, chemical potential, or energy dissipation) on long time scales. Depending on the…
Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…
We consider continuous-time mean-field stochastic games with strategic complementarities. The interaction between the representative productive firm and the population of rivals comes through the price at which the produced good is sold and…
In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].
Many complex systems are characterized by intriguing spatio-temporal structures. Their mathematical description relies on the analysis of appropriate correlation functions. Functional integral techniques provide a unifying formalism that…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
In this note we examine the relationship between two-dimensional Coulomb systems and the thermal equilibrium measure, such as defined in the lecture notes [arXiv:2407.21194v1], pointing out some of its discrepancies with respect to the…
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American…
The two expected average costs used in the theory of semi-Markov control processes with a Borel state space are considered. Under some stochastic stability conditions, we prove that the two criteria are equivalent in the sense that they…
Stochastic processes with temporal delay play an important role in science and engineering whenever finite speeds of signal transmission and processing occur. However, an exact mathematical analysis of their dynamics and thermodynamics is…