Related papers: Endogenous noise trackers in a Radner equilibrium

In order to better understand the impact of environmental stochastic fluctuations on the evolution of animal behavior, we introduce the concept of a stochastic Nash equilibrium (SNE) that extends the classical concept of a Nash equilibrium…

The enigmatic stability of population oscillations within ecological systems is analyzed. The underlying mechanism is presented in the framework of two interacting species free to migrate between two spatial patches. It is shown that that…

This paper studies linear overparameterized models in economic forecasting and highlights that including noise variables (regressors with no predictive power) regularizes the estimator. We consider a setting where both the outcome variable…

A high-gain extended observer is designed for a class of nonlinear uncertain systems. This observer has the ability of estimating system uncertainty, and it can be used to estimate the derivatives of signal up to order n. The controller…

Insider trading is one of the numerous white collar crimes that can contribute to the instability of the economy. Traditionally, the detection of illegal insider trades has been a human-driven process. In this paper, we collect the insider…

We study the effects of noise on a recently discovered form of intermittency, referred to as in-out intermittency. This type of intermittency, which reduces to on-off in systems with a skew product structure, has been found in the dynamics…

We consider a model for systemic risk comprising of a system of diffusion processes, interacting through their empirical mean. Each process is subject to a confining double-well potential with some uncertainty in the coefficients,…

We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…

We study the phenomenon of system size stochastic resonance within the nonequilibrium potential's framework. We analyze three different cases of spatially extended systems, exploiting the knowledge of their nonequilibrium potential, showing…

In this paper, the convergence and noise-tolerant performance of a tracking differentiator in the presence of multiple stochastic disturbances are investigated for the first time. We consider a quite general case where the input signal is…

Noise, through its interaction with the nonlinearity of the living systems, can give rise to counter-intuitive phenomena such as stochastic resonance, noise-delayed extinction, temporal oscillations, and spatial patterns. In this paper we…

Measurement noise is an integral part while collecting data of a physical process. Thus, noise removal is necessary to draw conclusions from these data, and it often becomes essential to construct dynamical models using these data. We…

The task of robust linear estimation in the presence of outliers is of particular importance in signal processing, statistics and machine learning. Although the problem has been stated a few decades ago and solved using classical…

Noise has both auditory and extra-auditory effects. Some of the most deleterious extra-auditory effects of noise are those leading to sleep disturbances. These disturbances seem to be related to both endogenous (physical parameters) and…

We consider a paradigmatic model describing the one-dimensional motion of $N$ rotators coupled through a mean-field interaction, and subject to the perturbation of an external magnetic field. The latter is shown to significantly alter the…

We study a two-sided online data ecosystem comprised of an online platform, users on the platform, and downstream learners or data buyers. The learners can buy user data on the platform (to run a statistic or machine learning task).…

The transduction process that occurs in the inner ear of the auditory system is a complex mechanism which requires a non-linear dynamical description. In addition to this, the stochastic phenomena that naturally arise in the inner ear…

We study the noise effects in a driven system of globally coupled oscillators, with particular attention to the interplay between driving and noise. The self-consistency equation for the order parameter, which measures the collective…

We studied non-dynamical stochastic resonance for the number of trades in the stock market. The trade arrival rate presents a deterministic pattern that can be modeled by a cosine function perturbed by noise. Due to the nonlinear…

We consider an investor who, while maximizing his/her expected utility, also compares the outcome to a reference entity. We recall the notion of personal equilibrium and show that, in a multistep, generically incomplete financial market…