Related papers: A Mathematical Model of Foreign Capital Inflow
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
The (R, s, S) is a stochastic inventory control policy widely used by practitioners. In an inventory system managed according to this policy, the inventory is reviewed at instant R; if the observed inventory position is lower than the…
This study introduces a statistical mechanics framework to analyze the territorial distribution of the Resident Foreign Population across Italian municipalities. The observed percentages of foreign residents are treated as the reference…
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange…
We investigate the dual of a Multistage Stochastic Linear Program (MSLP) to study two questions for this class of problems. The first of these questions is the study of the optimal value of the problem as a function of the involved…
Stochastic differential equations (SDEs) are well suited to modelling noisy and irregularly sampled time series found in finance, physics, and machine learning. Traditional approaches require costly numerical solvers to sample between…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
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…
This paper studies dynamic stochastic optimization problems parametrized by a random variable. Such problems arise in many applications in operations research and mathematical finance. We give sufficient conditions for the existence of…
Global climate models are essential tools to simulate past and potential future pathways of climate change, as well as associated climate impacts. Shared Socioeconomic Pathways (SSPs) describe a range of future scenarios of global economic…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
Modelling all possible life cycles of a company in a highly competitive economic environment gives a significant advantage to the owner in his business investment activities. This article proposes and analyses a dynamic model of a company's…
The building of mathematical and computer models of cities has a long history. The core elements are models of flows (spatial interaction) and the dynamics of structural evolution. In this article, we develop a stochastic model of urban…
The theory of slow manifolds is an important tool in the study of deterministic dynamical systems, giving a practical method by which to reduce the number of relevant degrees of freedom in a model, thereby often resulting in a considerable…
This paper considers a non-Markov control problem arising in a financial market where asset returns depend on hidden factors. The problem is non-Markov because nonlinear filtering is required to make inference on these factors, and hence…
The macroscopic fundamental diagram (MFD) is a powerful and popular tool that describes a network scale traffic operational state and serve as the plant model of perimeter control. As both the supply and the demand suffer from random…
The symbiotic branching model describes the dynamics of a spatial two-type population, where locally particles branch at a rate given by the frequency of the other type combined with nearest-neighbour migration. This model generalizes…
We consider the sectoral composition of a country's GDP, i.e. the partitioning into agrarian, industrial, and service sectors. Exploring a simple system of differential equations we characterize the transfer of GDP shares between the…
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy…
The Markov decision process (MDP) formulation used to model many real-world sequential decision making problems does not efficiently capture the setting where the set of available decisions (actions) at each time step is stochastic.…