Related papers: Stock-flow consistent macroeconomic model with non…
We develop a stochastic macro-financial model in continuous time by integrating two specifications of the Keen economic framework with a financial market driven by a jump-diffusion process. The economic block of the model combines monetary…
We have revealed statistical physics of synchronized traffic flow that is governed by a spatiotemporal competition between S$\rightarrow$F and S$\rightarrow$J instabilities (where F, S, and J denote, respectively, the free flow,…
In this paper, we study the stationary states of diffusive dynamics driven out of equilibrium by reservoirs. For a small forcing, the system remains close to equilibrium and the large deviation functional of the density can be computed…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
Hydrodynamics provides a universal description of the emergent collective dynamics of vastly different many-body systems, based solely on their symmetries and conservation laws. Here we harness this universality, encoded in the…
This paper develops a generalization of Brownian motion with stationary, autocorrelated increments as a tractable model for problems in business and finance. We show that any real continuous Gaussian Markov process with stationary…
In a money exchange process involving a seller and a buyer, we develop a straightforward model encompassing conservative, non-conservative, and systems with or without debt. Our model integrates the Fermi function to capture the behavior of…
This paper studies spatial patterns formed by proximate population migration driven by real wage gradients and other idiosyncratic factors. The model consists of a tractable core-periphery model incorporating a quasi-linear log utility…
We study the dynamical evolution toward steady state of the stochastic non-equilibrium model known as totally asymmetric simple exclusion process, in both uniform and non-uniform (staggered) one-dimensional systems with open boundaries.…
In a non-equilibrium system, a Constant Flux Relation (CFR) expresses the fact that a constant flux of a conserved quantity exactly determines the scaling of the particular correlation function linked to the flux of that conserved quantity.…
By generalizing a class of models recently introduced to account for protracted transients in biological systems, we identify a novel mechanism for hyperuniformity. In this model, competition of particles over a shared resource guides the…
This paper studies a stochastic model that describes the evolution of vehicle densities in a road network. It is consistent with the class of (deterministic) kinematic wave models, which describe traffic flows on the basis of conservation…
A classical limit theorem of stochastic process theory concerns the sample cumulative distribution function (CDF) from independent random variables. If the variables are uniformly distributed then these centered CDFs converge in a suitable…
Under an appropriate regular variation condition, the affinely normalized partial sums of a sequence of independent and identically distributed random variables converges weakly to a non-Gaussian stable random variable. A functional version…
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…
This paper has two main goals: (a) establish several statistical properties---consistency, asymptotic distributions, and convergence rates---of stationary solutions and values of a class of coupled nonconvex and nonsmoothempirical risk…
Real space condensation is known to occur in stochastic models of mass transport in the regime in which the globally conserved mass density is greater than a critical value. It has been shown within models with factorised stationary states…
Chance-constrained optimization has emerged as a promising framework for managing uncertainties in power systems. This work advances its application to the DC Optimal Power Flow (DC-OPF) model, developing a novel approach to uncertainty…
We introduce a model of self-propelled particles carrying out a Brownian motion with a diffusion coefficient which depends on the local density of particles within a certain finite radius. Numerical simulations show that in a range of…