Related papers: Tax evasion dynamics and Zaklan model on Opinion-d…
We analyse a Monte Carlo particle method for the simulation of the calibrated Heston-type local stochastic volatility (H-LSV) model. The common application of a kernel estimator for a conditional expectation in the calibration condition…
On Archimedean lattices, the Ising model exhibits spontaneous ordering. Three examples of these lattices of the majority-vote model with noise are considered and studied through extensive Monte Carlo simulations. The order/disorder phase…
Neural-network quantum states (NQS) have been shown to be a suitable variational ansatz to simulate out-of-equilibrium dynamics in two-dimensional systems using time-dependent variational Monte Carlo (t-VMC). In particular, stable and…
We investigate the challenge of classical simulation of unitary quantum dynamics with variational Monte Carlo approaches, addressing the instabilities and high computational demands of existing methods. By systematically analyzing the…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
Study of dynamical systems using partial state observation is an important problem due to its applicability to many real-world systems. We address the problem by studying an echo state network (ESN) framework with partial state input with…
A driven Ising model with friction due to magnetic correlations has recently been proposed by Kadau et al. (Phys. Rev. Lett. 101, 137205 (2008)). The non-equilibrium phase transition present in this system is investigated in detail using…
The possibility to simulate the properties of many-body open quantum systems with a large number of degrees of freedom is the premise to the solution of several outstanding problems in quantum science and quantum information. The challenge…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
This paper introduces a novel stochastic framework for modelling tax evasion dynamics by extending the deterministic model of Bertotti and Modanese (2018) through the use of Piecewise Deterministic Markov Processes (PDMPs). A key limitation…
A theoretical approach for characterising the influence of asymmetry of noise distribution on the escape rate of a multi-stable system is presented. This was carried out via the estimation of an action, which is defined as an exponential…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
We investigate the q-voter model with stochastic noise arising from independence on complex networks. Using the pair approximation, we provide a comprehensive, mathematical description of its behavior and derive a formula for the critical…
Modeling real-world systems requires accounting for noise - whether it arises from unpredictable fluctuations in financial markets, irregular rhythms in biological systems, or environmental variability in ecosystems. While the behavior of…
On Archimedean lattices, the Ising model exhibits spontaneous ordering. Two examples of these lattices of the majority-vote model with noise are considered and studied through extensive Monte Carlo simulations. The order/disorder phase…
This paper presents a Newton-based stochastic extremum-seeking control method for real-time optimization in multi-input systems with distinct input delays. It combines predictor-based feedback and Hessian inverse estimation via stochastic…
We give a comprehensive mean-field analysis of the Partisan Voter Model (PVM) and report analytical results for exit probabilities, fixation times, and the quasi-stationary distribution. In addition, and similarly to the noisy voter model,…
We analyze the properties of the majority-vote (MV) model with an additional noise in which a local spin can be changed independently of its neighborhood. In the standard MV, one of the simplest nonequilibrium systems exhibiting an…
While the Ising model belongs to the realm of equilibrium statistical mechanics, the voter model is an example of a nonequilibrium system. We examine an opinion formation model, which is a mixture of Ising and voter agents with…
We introduce a novel method of efficiently simulating the non-equilibrium steady state of large many-body open quantum systems with highly non-local interactions, based on a variational Monte Carlo optimization of a matrix product operator…