Related papers: Exponential wealth distribution in a random market…
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash flow, by an exponential functional of a renewal-reward…
The exploration of a two-dimensional wind-driven ocean model with no-slip boundaries reveals the existence of a turbulent asymptotic regime where energy dissipation becomes independent of fluid viscosity. This asymptotic flow represents an…
Asymptotic expansions are derived for the tail distribution of the product of two correlated normal random variables with non-zero means and arbitrary variances, and more generally the sum of independent copies of such random variables.…
We look at the meaning of 'relaxation' in the wealth exchange models that are recently proposed in Econophysics to interpret the wealth distributions. To quantify and characterise the process of relaxation, we define an appropriate quantity…
In this paper we show that uniformly global asymptotic stability for a family of ordinary differential equations is equivalent to uniformly global exponential stability under a suitable nonlinear change of variables. The same is shown for…
We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…
In this work, we modify the affine wealth model of wealth distributions to examine the effects of nonconstant redistribution on the very wealthy. Previous studies of this model, restricted to flat redistribution schemes, have demonstrated…
Social and economic inequality is a plague of the XXI Century. It is continuously widening, as the wealth of a relatively small group increases and, therefore, the rest of the world shares a shrinking fraction of resources. This situation…
We discuss a possibility of deriving an H-theorem for nonlinear discrete time evolution equation that describes random wealth exchanges. In such kinetic models economical agents exchange wealth in pairwise collisions just as particles in a…
We study the wealth distribution of UK households through a detailed analysis of data from wealth surveys and rich lists, and propose a non-linear Kesten process to model the dynamics of household wealth. The main features of our model are…
We show that an equilibriumlike additivity property can remarkably lead to power-law distributions observed frequently in a wide class of out-of-equilibrium systems. The additivity property can determine the full scaling form of the…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
We discuss in detail the asymptotic distribution of sample expectiles. First, we show uniform consistency under the assumption of a finite mean. In case of a finite second moment, we show that for expectiles other then the mean, only the…
We study a stochastic $N$-particle system representing economic agents in a population randomly exchanging their money, which is associated to a class of one-dimensional kinetic equations modelling the evolution of the distribution of…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
We develop a model for the evolution of wealth in a non-conservative economic environment, extending a theory developed earlier by the authors. The model considers a system of rational agents interacting in a game theoretical framework.…
The dynamics of wealth distribution plays a critical role in the economic market, hence an understanding of its nonequilibrium statistical mechanics is of great importance to human society. For this aim, a simple and efficient…
We consider a simple model of a closed economic system where the total money is conserved and the number of economic agents is fixed. In analogy to statistical systems in equilibrium, money and the average money per economic agent are…
In this work, it is suggested that the extremum complexity distribution of a high dimensional dynamical system can be interpreted as a piecewise uniform distribution in the phase space of its accessible states. When these distributions are…
We consider parametric inference for an ergodic and stationary diffusion process, when the data are high-frequency observations of the integral of the diffusion process. Such data are obtained via certain measurement devices, or if…