Related papers: Large volatility-stabilized markets
We discuss the analysis and stability of a family of cross-diffusion boundary value problems with nonlinear diffusion and drift terms. We assume that these systems are close, in a suitable sense, to a set of decoupled and linear problems.…
A new class of particle systems with sequential interaction is proposed to approximate the McKean-Vlasov process that originally arises as the limit of the mean-field interacting particle system. The weighted empirical measure of this…
The transition from a microscopic model for the movement of many particles to a macroscopic continuum model for a density flow is studied. The microscopic model for the free flow is completely deterministic, described by an interaction…
We develop a general transfer-matrix formalism for determining the growth rate of the Rayleigh-Taylor instability in a fluid system with spatially varying density and viscosity. We use this formalism to analytically and numerically treat…
We develop a general theory dealing with stochastic models for dynamical systems that are governed by various nonlinear, ordinary or partial differential, equations. In particular, we address the problem how flows in the random medium…
We study a fractional reaction-diffusion system with two types of variables: activator and inhibitor. The interactions between components are modeled by cubical nonlinearity. Linearization of the system around the homogeneous state provides…
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the…
Incomplete financial markets are considered, defined by a multi-dimensional non-homogeneous diffusion process, being the direct sum of an It\^{o} process (the price process), and another non-homogeneous diffusion process (the exogenous…
This article presents a multi-physics methodology for the numerical simulation of physical systems that involve the non-linear interaction of multi-phase reactive fluids and elastoplastic solids, inducing high strain-rates and high…
We use numerical simulations to study the dynamics of dense assemblies of self-propelled particles in the limit of extremely large, but finite, persistence times. In this limit, the system evolves intermittently between mechanical…
This paper studies the asymptotic behavior of processes with switching. More precisely, the stability under fast switching for diffusion processes and discrete state space Markovian processes is considered. The proofs are based on…
In this paper we characterise the global stability, global boundedness and recurrence of solutions of a scalar nonlinear stochastic differential equation. The differential equation is a perturbed version of a globally stable autonomous…
We formulate dynamical rate equations for physical processes driven by a combination of diffusive growth, size fragmentation and fragment coagulation. Initially, we consider processes where coagulation is absent. In this case we solve the…
A stochastic dynamics $({\bf X}(t))_{t\ge0}$ of a classical continuous system is a stochastic process which takes values in the space $\Gamma$ of all locally finite subsets (configurations) in $\Bbb R$ and which has a Gibbs measure $\mu$ as…
We consider a bistable integral equation which governs the stationary solutions of a convolution model of solid--solid phase transitions on a circle. We study the bifurcations of the set of the stationary solutions as the diffusion…
The linearization principle states that the stability (or instability) of solutions to a suitable linearization of a nonlinear problem implies the stability (or instability) of solutions to the original nonlinear problem. In this work, we…
We study the dynamics of a dilute spherical model with two body interactions and random exchanges. We analyze the Langevin equations and we introduce a functional variational method to study generic dilute disordered models. A crossover…
In this work, we study the problem of learning the volatility under market microstructure noise. Specifically, we consider noisy discrete time observations from a stochastic differential equation and develop a novel computational method to…
We examine the short and long-time behaviors of time-fractional diffusion equations with variable space-dependent order. More precisely, we describe the time-evolution of the solution to these equations as the time parameter goes either to…
We consider diffusion processes in media with pockets of large diffusivity. The asymptotic behavior of such processes is described when the diffusion coefficients in the pockets tend to infinity. The limiting process is identified as a…