Related papers: Endogenous noise trackers in a Radner equilibrium
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive…
The existence of complete Radner equilibria is established in an economy which parameters are driven by a diffusion process. Our results complement those in the literature. In particular, we work under essentially minimal regularity…
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…
In this letter we study a reference model in theoretical ecology, the disordered Lotka-Volterra model for ecological communities, in the presence of finite demographic noise. Our theoretical analysis, which takes advantage of a mapping to…
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form expectations on the return and risk of a risky asset and…
We prove the existence of a Radner equilibrium in a model with population growth and analyze the effects on asset prices. A finite population of agents grows indefinitely at a Poisson rate, while receiving unspanned income and choosing…
We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are governed by discontinuous Levy processes. Our main result…
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of…
Object tracking is one of the most challenging task and has secured significant attention of computer vision researchers in the past two decades. Recent deep learning based trackers have shown good performance on various tracking…
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are…
We study an extended system that without noise shows a spatially homogeneous state, but when submitted to an adequate multiplicative noise, some "noise-induced patterns" arise. The stochastic resonance between these structures is…
We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.
We study the long-time effect of noise on pattern formation for the aggregation model. We consider aggregation kernels that generate patterns consisting of two delta-concentrations. Without noise, there is a one-parameter family of…
The apparent stability of population oscillations in ecological systems is a long-standing puzzle. A generic solution for this problem is suggested here. The stabilizing mechanism involves the combined effect of spatial migration,…
We study an ensemble of random walkers carrying internal noisy phase oscillators which are synchronized among the walkers by local interactions. Due to individual mobility, the interaction partners of every walker change randomly, hereby…
Inspired by the swarming or flocking of animal systems we study groups of agents moving in unbounded 2D space. Individual trajectories derive from a ``bottom-up'' principle: individuals reorient to maximise their future path entropy over…
The stabilizing effects of local enrichment are revisited. Diffusively coupled host-parasitoid and predator-prey metapopulations are shown to admit a stable fixed point, limit cycle or stable torus with a rich bifurcation structure. A…
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who…
Noise through its interaction with the nonlinearity of the living systems can give rise to counter-intuitive phenomena. In this paper we shortly review noise induced effects in different ecosystems, in which two populations compete for the…
We study the output feedback exponential stabilization of a one-dimensional unstable wave equation, where the boundary input, given by the Neumann trace at one end of the domain, is the sum of the control input and the total disturbance.…