Related papers: A Mathematical Model of Foreign Capital Inflow
This research deals with the mathematical modeling of the physical capital diffusion through the borders of the countries. The physical capital is considered an important variable for the economic growth of a country. Here we use an…
We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include…
Suppose you are a fund manager with \$100 million to deploy and two years to invest it. A deal comes across your desk that looks appealing but costs \$50 million -- half of your available capital. Should you take it, or wait for something…
Multi stage stochastic programs arise in many applications from engineering whenever a set of inventories or stocks has to be valued. Such is the case in seasonal storage valuation of a set of cascaded reservoir chains in hydro management.…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
A new stochastic theory of a foreign exchange markets dynamics is developed. As a result we have the new probability distribution which well describes statistical and scaling dependencies ''experimentally'' observed in foreign exchange…
Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
Stochastic mathematical models are essential tools for understanding and predicting complex phenomena. The purpose of this work is to study the exit times of a stochastic dynamical system-specifically, the mean exit time and the…
Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well-known tool to address such problems under time-independence assumptions. We show how to…
Sample average approximation--based stochastic dynamic programming (SDP) and model predictive control (MPC) are two different methods for approaching multistage stochastic optimization. In this paper we investigate the conditions under…
We analyze export data aggregated at world global level of 219 classes of products over a period of 39 years. Our main goal is to set up a dynamical model to identify and quantify plausible mechanisms by which the evolutions of the various…
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an…
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
We consider a broad class of dynamic programming (DP) problems that involve a partially linear structure and some positivity properties in their system equation and cost function. We address deterministic and stochastic problems, possibly…
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…
Stochastic dual dynamic programming (SDDP) is a state-of-the-art method for solving multi-stage stochastic optimization, widely used for modeling real-world process optimization tasks. Unfortunately, SDDP has a worst-case complexity that…
International trade fluxes evolve as countries revise their portfolios of trade products towards economic development. Accordingly products' shares in international trade vary with time, reflecting the transfer of capital between distinct…