Related papers: A Stationary Kyle Setup: Microfounding propagator …
We present a construction of non-equilibrium steady states in one-dimensional quantum critical systems carrying energy and charge fluxes. This construction is based on a scattering approach within a real-time hamiltonian reservoir…
Using the theory of large deviations, macroscopic fluctuation theory provides a framework to understand the behaviour of non-equilibrium dynamics and steady states in diffusive systems. We extend this framework to a minimal model of…
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules…
We consider a family of models having an arbitrary positive amount of mass on each site and randomly exchanging an arbitrary amount of mass with nearest neighbor sites. We restrict to the case of diffusive models. We identify a class of…
Noise-assisted transport phenomena highlight the nontrivial interplay between environmental effects and quantum coherence in achieving maximal efficiency. Due to the complexity of biochemical systems and their environments, effective open…
In contrast to problems of interference in (exogenous) treatments, models of interference in unit-specific (endogenous) outcomes do not usually produce a reduced-form representation where outcomes depend on other units' treatment status…
We develop a generalized stability framework for stochastic discrete-time systems, where the generality pertains to the ways in which the distribution of the state energy can be characterized. We use tools from finance and operations…
We investigate the stabilization of unstable multidimensional partially observed single-sensor and multi-sensor linear systems driven by unbounded noise and controlled over discrete noiseless channels under fixed-rate information…
We propose a new non-equilibrium model for spatial pattern formation on the basis of local information transfer. Unlike standard models of pattern formation it is not based on the Turing instability. Information is transmitted through the…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…
We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can generate the stylized facts. This leads to a detailed…
Given a single observation from a Gaussian distribution with unknown mean $\theta$, we design computationally efficient procedures that can approximately generate an observation from a different target distribution $Q_{\theta}$ uniformly…
We introduce a modified Consensus-Based Optimization model that admits a fully unified and rigorous analysis of its finite-particle dynamics, the associated McKean--Vlasov equation, and their optimization behavior under a single set of…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
The unique fluctuation-dissipation theorem for equilibrium stands in contrast with the wide variety of nonequilibrium linear response formulae. Their most traditional approach is "analytic", which, in the absence of detailed balance,…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
We present a general framework for modeling a wide selection of flocking scenarios under free boundary conditions. Several variants have been considered - including examples for the widely observed behavior of hierarchically interacting…
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…
In this paper we formulate a dynamical fluctuation theory for stationary non equilibrium states (SNS) which covers situations in a nonlinear hydrodynamic regime and is verified explicitly in stochastic models of interacting particles. In…