Related papers: Endogenous noise trackers in a Radner equilibrium
We study the convergence properties of the conditional (Kullback-Leibler) entropy in stochastic systems. We have proved very general results showing that asymptotic stability is a necessary and sufficient condition for the monotone…
In this paper, we deal with the problem of the stabilization in the sample-and-hold sense, by emulation of continuous-time, observer-based, global stabilizers. Fully nonlinear time-delay systems are studied. Sufficient conditions are…
Microscopic models describing a whole of economic interactions in a closed society are considered. The presence of a tax system combined with a redistribution process is taken into account, as well as the occurrence of tax evasion. In…
This paper considers the design of robust state observers for a class of slope-restricted nonlinear descriptor systems with unknown time-varying parameters belonging to a known set. The proposed design accounts for process disturbances and…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
We analyze in this paper the effect of the well known intelligent proportional controller on the stability of linear control systems. Inspired by the literature on neutral time delay systems and advanced type systems, we derive sufficient…
Radar sensors are emerging as solutions for perceiving surroundings and estimating ego-motion in extreme weather conditions. Unfortunately, radar measurements are noisy and suffer from mutual interference, which degrades the performance of…
In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by our previous work [23]. In this framework, the Limit Order…
In various markets where sellers compete in price, price oscillations are observed rather than convergence to equilibrium. Such fluctuations have been empirically observed in the retail market for gasoline, in airline pricing and in the…
We study the stability and synchronization of predator-prey populations subjected to noise. The system is described by patches of local populations coupled by migration and predation over a neighborhood. When a single patch is considered,…
Euclidean embedding from noisy observations containing outlier errors is an important and challenging problem in statistics and machine learning. Many existing methods would struggle with outliers due to a lack of detection ability. In this…
This paper discusses the stability of an equilibrium point of an ordinary differential equation (ODE) arising from a feed-forward position control for a musculoskeletal system. The studied system has a link, a joint and two muscles with…
Problems with artificial neural networks originate from their deterministic nature and inevitable prior learnings, resulting in inadequate adaptability against unpredictable, abrupt environmental change. Here we show that a stochastically…
We study the ergodicity of stochastic real Ginzburg-Landau equation driven by additive $\alpha$-stable noises, showing that as $\alpha \in (3/2,2)$, this stochastic system admits a unique invariant measure. After establishing the existence…
Most studies on learning from noisy labels rely on unrealistic models of i.i.d. label noise, such as class-conditional transition matrices. More recent work on instance-dependent noise models are more realistic, but assume a single…
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…
The presence of label noise often misleads the training of deep neural networks. Departing from the recent literature which largely assumes the label noise rate is only determined by the true label class, the errors in human-annotated…
We investigate a system of harmonically coupled identical nonlinear constituents subject to noise in different spatial arrangements. For global coupling we find for infinitely many constituents the coexistence of several ergodic components…
This paper considers an endogenous binary response model with many weak instruments. We employ a control function approach and a regularization scheme to obtain better estimation results for the endogenous binary response model in the…
We propose a method for inferring the existence of a latent common cause ('confounder') of two observed random variables. The method assumes that the two effects of the confounder are (possibly nonlinear) functions of the confounder plus…