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Local detailed balance (LDB) is a central guiding principle for modeling nonequilibrium stochastic dynamics, yet it only constrains the ratio of forward and backward transition rates and does not fix the steady state. Although the…
We propose a unified framework for likelihood-based regression modeling when the response variable has finite support. Our work is motivated by the fact that, in practice, observed data are discrete and bounded. The proposed methods assume…
In this paper, we address the problem of robust stability for uncertain sampled-data systems controlled by a discrete-time disturbance observer (DT-DOB). Unlike most of previous works that rely on the small-gain theorem, our approach is to…
Flow-based models typically define a latent space with dimensionality identical to the observational space. In many problems, however, the data does not populate the full ambient data space that they natively reside in, rather inhabiting a…
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…
We study spreading dynamics of nematic liquid crystal droplets within the framework of the long-wave approximation. A fourth order nonlinear parabolic partial differential equation governing the free surface evolution is derived. The…
We propose new probabilistic models for the spatial distribution of supply and demand and use the models to determine how the trip length distribution is affected by the relative shortage or excess of supply, the spatial clustering of…
In survival or reliability studies, the mean residual life or life expectancy is an important characteristic of the model. Here, we study the limiting behaviour of the mean residual life, and derive an asymptotic expansion which can be used…
We establish a first and second-order approximation for an infinite dimensional limit order book model (LOB) in a single (''critical'') scaling regime where market and limit orders arrive at a common time scale. With our choice of scaling…
We establish a comprehensive sample path large deviation principle (LDP) for log-processes associated with multivariate time-inhomogeneous stochastic volatility models. Examples of models for which the new LDP holds include Gaussian models,…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
Demand forecasting is a crucial component of demand management. While shortening the forecasting horizon allows for more recent data and less uncertainty, this frequently means lower data aggregation levels and a more significant data…
We investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider this question both in the context of a simple binary…
We develop the first active learning method for contextual linear optimization. Specifically, we introduce a label acquisition algorithm that sequentially decides whether to request the ``labels'' of feature samples from an unlabeled data…
This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference with an additional drawdown constraint on consumption rate. Meanwhile, the agent also…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
Survival is a key life history parameter that can inform management decisions and life history research. Because true survival is often confounded with permanent and temporary emigration from the study area, many studies must estimate…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
Pre-positioning of relief supplies is an important aspect of disaster operations management that aims at decreasing the response time by advancing procurement and storage of needed supplies. In this paper we consider commodity life-time…
This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-trade durations in ultra-high frequency have two modes. One mode is to the order of approximately 10^{-4} seconds, and the other is to the order…