Related papers: Inverse limits and statistical properties for chao…

We derive theorems which outline explicit mechanisms by which anomalous scaling for the probability density function of the sum of many correlated random variables asymptotically prevails. The results characterize general anomalous scaling…

In recent papers it has been suggested that human locomotion may be modeled as an inverse optimal control problem. In this paradigm, the trajectories are assumed to be solutions of an optimal control problem that has to be determined. We…

We consider the ergodicity and consensus problem for a discrete-time linear dynamic model driven by random stochastic matrices, which is equivalent to studying these concepts for the product of such matrices. Our focus is on the model where…

We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity…

We introduce an ambidextrous view of stochastic dynamical systems, comparing their forward-time and reverse-time representations and then integrating them into a single time-symmetric representation. The perspective is useful theoretically,…

In this paper, we introduce a new method for applying the implicit function theorem to find nontrivial solutions to overdetermined problems with a fixed boundary (given) and a free boundary (to be determined). The novelty of this method…

By means of a novel variational approach we study ergodic properties of a model of a multi lane traffic flow, considered as a (deterministic) wandering of interacting particles on an infinite lattice. For a class of initial configurations…

Solutions to address the periodic review inventory control problem with nonstationary random demand, lost sales, and stochastic vendor lead times typically involve making strong assumptions on the dynamics for either approximation or…

We study the competitive equilibrium of large random economies with linear activities using methods of statistical mechanics. We focus on economies with $C$ commodities, $N$ firms, each running a randomly drawn linear technology, and one…

In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…

Inverse optimal control problem emerges in different practical applications, where the goal is to design a cost function in order to approximate given optimal strategies of an expert. Typical application is in robotics for generation of…

Existence theory in economics is usually in real domains such as the findings of chaotic trajectories in models of economic growth, tatonnement, or overlapping generations models. Computational examples, however, sometimes converge rapidly…

Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision…

Learning customer preferences from an observed behaviour is an important topic in the marketing literature. Structural models typically model forward-looking customers or firms as utility-maximizing agents whose utility is estimated using…

In many tasks, in particular in natural science, the goal is to determine hidden system parameters from a set of measurements. Often, the forward process from parameter- to measurement-space is a well-defined function, whereas the inverse…

This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…

In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability…

In this paper we consider a broad class of infinite horizon discrete-time optimal control models that involve a nonnegative cost function and an affine mapping in their dynamic programming equation. They include as special cases classical…

Inverse Optimal Control (IOC) seeks to recover an unknown cost from expert demonstrations, and it provides a systematic way of modeling experts' decision mechanisms while considering the prior information of the cost functions.…

We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…