Related papers: Versatile Stochastic Two-Sided Platform Models
The methods of statistical mechanics are applied to two-dimensional foams under macroscopic agitation. A new variable -- the total cell curvature -- is introduced, which plays the role of energy in conventional statistical thermodynamics.…
This paper studies multiclass loss systems with two layers of servers, where each server at the first layer is dedicated to a certain customer class, while the servers at the second layer can handle all customer classes. The routing of…
Comparisons of different treatments or production processes are the goals of a significant fraction of applied research. Unsurprisingly, two-sample problems play a main role in Statistics through natural questions such as `Is the the new…
During the past sixty years, a lot of effort has been made regarding the productive efficiency. Such endeavours provided an extensive bibliography on this subject, culminating in two main methods, named the Stochastic Frontier Analysis…
Quantum stochastic differential equations have been used to describe the dynamics of an atom interacting with the electromagnetic field via absorption/emission processes. Here, by using the full quantum stochastic Schroedinger equation…
This paper is concerned with a new type of differential game problems of forwardbackward stochastic systems. There are three distinguishing features: Firstly, our game systems are forward-backward doubly stochastic differential equations,…
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
We develop the method of stochastic modified equations (SME), in which stochastic gradient algorithms are approximated in the weak sense by continuous-time stochastic differential equations. We exploit the continuous formulation together…
We propose a new type of state sum model for two-dimensional surfaces that takes into account topology and spin. The definition used - new to the literature - provides a rich class of extended models called spin models. Both examples and…
Stochastic dual dynamic programming is a cutting plane type algorithm for multi-stage stochastic optimization originated about 30 years ago. In spite of its popularity in practice, there does not exist any analysis on the convergence rates…
Stochastic portfolio theory aims at finding relative arbitrages, i.e. trading strategies which outperform the market with probability one. Functionally generated portfolios, which are deterministic functions of the market weights, are an…
Optimization under uncertainty deals with the problem of optimizing stochastic cost functions given some partial information on their inputs. These problems are extremely difficult to solve and yet pervade all areas of technological and…
We introduce a new approach to develop stochastic optimization algorithms for a class of stochastic composite and possibly nonconvex optimization problems. The main idea is to combine two stochastic estimators to create a new hybrid one. We…
Stochastic games are an important class of problems that generalize Markov decision processes to game theoretic scenarios. We consider finite state two-player zero-sum stochastic games over an infinite time horizon with discounted rewards.…
Networks serve as a tool used to examine the large-scale connectivity patterns in complex systems. Modelling their generative mechanism nonparametrically is often based on step-functions, such as the stochastic block models. These models…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
New continuous and stochastic extensions of the minority game, devised as a fundamental model for a market of competitive agents, are introduced and studied in the context of statistical physics. The new formulation reproduces the key…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…