Related papers: A Mathematical Model of Foreign Capital Inflow
This paper proposed a discrete stochastic dynamic programming (SDP) model for sustainable ecosystem (SE) planning of the Loess Plateau in Northwestern, China, and analyzed the ecological resource planning by the evolutionary game model in…
We describe stochastic calculus in the context of processes that are driven by an adapted point process of locally finite intensity and are differentiable between jumps. This includes Markov chains as well as non-Markov processes. By…
The Stochastic Volatility (SV) model and its variants are widely used in the financial sector while recurrent neural network (RNN) models are successfully used in many large-scale industrial applications of Deep Learning. Our article…
Many intelligent user interfaces employ application and user models to determine the user's preferences, goals and likely future actions. Such models require application analysis, adaptation and expansion. Building and maintaining such…
The transition of several East and Central European countries and the countries of the Former Soviet Union from the socialist economic system to the capitalist one is studied. A recently developed microeconomic model for the personal income…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…
This paper addresses the air traffic flow management research problem of determining reroute, ground delay and air delay for flights using stochastic weather forecast information. The overall goal is to minimize system-wide reroute and…
There has been widespread interest in the use of grid-level storage to handle the variability from increasing penetrations of wind and solar energy. This problem setting requires optimizing energy storage and release decisions for anywhere…
We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of…
In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of…
Markov Decision Processes (MDPs) offer a fairly generic and powerful framework to discuss the notion of optimal policies for dynamic systems, in particular when the dynamics are stochastic. However, computing the optimal policy of an MDP…
Multistage stochastic programming deals with operational and planning problems that involve a sequence of decisions over time while responding to realizations that are uncertain. Algorithms designed to address multistage stochastic linear…
The present paper proposes a stochastic model of the traffic flow. This model has a discrete set of states and the continuous time. The model is a generalization of the discrete stochastis model that has been considered in a previous paper…
In this article we discuss several aspects of the stochastic dynamics of spin models. The paper has two independent parts. Firstly, we explore a few properties of the multi-point correlations and responses of generic systems evolving in…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…
We consider the stochastic shortest path (SSP) problem for succinct Markov decision processes (MDPs), where the MDP consists of a set of variables, and a set of nondeterministic rules that update the variables. First, we show that several…
Traffic on a circular road is described by dynamic programming equations associated to optimal control problems. By solving the equations analytically, we derive the relation between the average car density and the average car flow, known…