Related papers: A Markovian Model of the Evolving World Input-Outp…
We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated…
We show that nonequilibrium dynamics can play a constructive role in unsupervised machine learning by inducing the spontaneous emergence of latent-state cycles. We introduce a model in which visible and hidden variables interact through two…
Throughout economic history, the global economy has experienced recurring crises. The persistent recurrence of such economic crises calls for an understanding of their generic features rather than treating them as singular events. The…
Many systems across the sciences evolve through a combination of multiplicative growth and diffusive transport. In the presence of disorder, these systems tend to form localized structures which alternate between long periods of relative…
In this paper, we consider the stability analysis of large-scale distributed networked control systems with random communication delays between linearly interconnected subsystems. The stability analysis is performed in the Markov jump…
A novel framework for the analysis of observation statistics on time discrete linear evolutions in Banach space is presented. The model differs from traditional models for stochastic processes and, in particular, clearly distinguishes…
The recent book by T. Piketty (Capital in the Twenty-First Century) promoted the important issue of wealth inequality. In the last twenty years, physicists and mathematicians developed models to derive the wealth distribution using discrete…
Sewer pipe systems are essential for social and economic welfare. Managing these systems requires robust predictive models for degradation behaviour. This study focuses on probability-based approaches, particularly Markov chains, for their…
Markov chains are fundamental models for stochastic dynamics, with applications in a wide range of areas such as population dynamics, queueing systems, reinforcement learning, and Monte Carlo methods. Estimating the transition matrix and…
Using the Panel Study of Income Dynamics data on the period 1982-1992, this paper investigates some mechanisms of the labor market in the United States. This market is analyzed as a stable structure constituted of segments which present…
Motivated by robotic surveillance applications, this paper studies the novel problem of maximizing the return time entropy of a Markov chain, subject to a graph topology with travel times and stationary distribution. The return time entropy…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
We analyze a distributed algorithm for estimation of scalar parameters belonging to nodes in a mobile network from noisy relative measurements. The motivation comes from the problem of clock skew and offset estimation for the purpose of…
In this paper we develop a novel hidden Markov graphical model to investigate time-varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and…
Applying the mathematical circulation theory of Markov chains, we investigate the synchronized stochastic dynamics of a discrete network model of yeast cell-cycle regulation where stochasticity has been kept rather than being averaged out.…
A Markovian model of the evolution of intermittent connections of various classes in a communication network is established and investigated. Any connection evolves in a way which depends only on its class and the state of the network, in…
Complex networks have played an important role in describing real complex systems since the end of the last century. Recently, research on real-world data sets reports intermittent interaction among social individuals. In this paper, we pay…
We propose a dynamical process for network evolution, aiming at explaining the emergence of the small world phenomenon, i.e., the statistical observation that any pair of individuals are linked by a short chain of acquaintances computable…
Using the new data from the OECD-WTO world network of economic activities we construct the Google matrix $G$ of this directed network and perform its detailed analysis. The network contains 58 countries and 37 activity sectors for years…
For centuries, national economies created wealth by engaging in international trade and production. The resulting international supply networks not only increase wealth for countries, but also create systemic risk: economic shocks,…