Related papers: Dynamics of multivariate default system in random …
We present a risk-aware formalism for evaluating system trajectories in the presence of uncertain interactions between the system and its environment. The proposed formalism supports reasoning under uncertainty and systematically handles…
A binary fluid mixture in contact with lateral particle reservoirs is considered. By imposing different particle concentrations in these reservoirs, the system can be maintained under controlled non-equilibrium conditions. Previous…
Environmental stochasticity is known to be a destabilizing factor, increasing abundance fluctuations and extinction rates of populations. However, the stability of a community may benefit from the differential response of species to…
Understanding the dynamical behavior of many-particle systems both in and out of equilibrium is a central issue in both statistical mechanics and complex systems theory. One question involves "nature versus nurture": given a system with a…
For a model nonlinear dynamical system, we show how one may obtain its bifurcation behavior by introducing noise into the dynamics and then studying the resulting Langevin dynamics in the weak-noise limit. A suitable quantity to capture the…
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to…
Competition between species and genotypes is a dominant factor in a variety of ecological and evolutionary processes. Biological dynamics are typically highly stochastic, and therefore, analyzing a competitive system requires accounting for…
Environmental variations can significantly influence how populations compete for resources, and hence shape their evolution. Here, we study population dynamics subject to a fluctuating environment modeled by a varying carrying capacity…
Degradation data are essential for determining the reliability of high-end products and systems, especially when covering multiple degradation characteristics (DCs). Modern degradation studies not only measure these characteristics but also…
The random diffusion model is a continuum model for a conserved scalar density field driven by diffusive dynamics where the bare diffusion coefficient is density dependent. We generalize the model from one with a sharp wavenumber cutoff to…
Catastrophic transitions, where a system shifts abruptly between alternate steady states, are a generic feature of many nonlinear systems. Recently these regime shift were suggested as the mechanism underlies many ecological catastrophes,…
This work has the objective of estimating default probabilities and correlations of credit portfolios given default rate information through a Bayesian framework using Stan. We use Vasicek's single factor credit model to establish the…
We study a model ecosystem by means of dynamical techniques from disordered systems theory. The model describes a set of species subject to competitive interactions through a background of resources, which they feed upon. Additionally…
Mutualistic interactions, where individuals from different species can benefit from each other, are widespread across ecosystems. This study develops a general deterministic model of mutualism involving two populations, assuming that…
[Context & Motivation] Adaptive systems are an important research area. The dominant reason for adaptivity in systems are changes in the environment. Thus, it is an important question how to model the environment and how to determine the…
We study an impact of a random environment on lifetimes of coherent systems with dependent components. There are two combined sources of this dependence. One results from the dependence of the components of the coherent system operating in…
We propose a measure for genuine multipartite correlations suited for the study of dynamics in open quantum systems. This measure is contextual in the sense that it depends on how information is read from the environment. It is used to…
The paper investigates dynamical systems for which the derivative of some positive-definite function along the solutions of this system depends on so-called density function. In turn, such dynamical systems are called density systems. The…
We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical default profiles in the limit as the size of the pool grows. In our model, a firm defaults at a stochastic intensity that is…
The density hypothesis on random times becomes now a standard in modeling of risks. One of the basic reasons to introduce the density hypothesis is the desire to have a computable credit risk model. However, recent work shows that merely an…