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We introduce a model of long-range interacting particles evolving under a stochastic Monte Carlo dynamics, in which possible increase or decrease in the values of the dynamical variables is accepted with preassigned probabilities. For…
Stochastic uncertainties in complex dynamical systems lead to variability of system states, which can in turn degrade the closed-loop performance. This paper presents a stochastic model predictive control approach for a class of nonlinear…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model in the context of foreign exchange markets and propose a Monte Carlo simulation scheme which combines the full truncation Euler scheme for the stochastic volatility…
A generalized Langevin equation is suggested to describe a system with memory($u(t,t') = \frac{1}{\Gamma (\nu )}(t - t')^\nu $) as well as with positive and negative damping. The equation can be transformed into the Fokker-Planck equation…
In the study of gas dynamics, theoretical modeling and numerical simulation are mostly set up with deterministic settings. Given the coarse-grained modeling in theories of fluids, considerable uncertainties may exist between flow-field…
The dynamics of transitional flows are governed by an interplay between the non-normal linear dynamics and quadratic nonlinearity in the incompressible Navier-Stokes equations. In this work, we propose a framework for nonlinear stability…
Stochastic inflation is an effective theory describing the super-Hubble, coarse-grained, scalar fields driving inflation, by a set of Langevin equations. We previously highlighted the difficulty of deriving a theory of stochastic inflation…
Continual learning in artificial neural networks is fundamentally limited by the stability--plasticity dilemma: systems that retain prior knowledge tend to resist acquiring new knowledge, and vice versa. Existing approaches, most notably…
Exotic stochastic processes are shown to emerge in the quantum evolution of complex systems. Using influence function techniques, we consider the dynamics of a system coupled to a chaotic subsystem described through random matrix theory. We…
The probability distributions, as well as the mean values of stochastic currents and fluxes, associated with a driven Langevin process, provide a good and topologically protected measure of how far a stochastic system is driven out of…
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy…
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate…
For a stochastic system, its evolution from one state to another can have a large number of possible paths. Non-uniformity in the field of system variables leads the local dynamics in state transition varies considerably from path to path…
The over-damped motion of a Brownian particle in an asymmetric, bistable, fluctuating potential shows noise induced stability: For intermediate fluctuation rates the mean occupancy of minima with an energy above the absolute minimum is…
If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX)…
In this paper we investigate a stochastic model for an economic game. To describe this model we have used a Wiener process, as the noise has a stabilization effect. The dynamics are studied in terms of stochastic stability in the stationary…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
The basic purpose of this work was to suggest universal quantitative description of ergodic system intermediate bifurcation and obligatory conditions of this transition. Conditions for existence of phase state and first order phase…
We examine the impact of mandatory export proceeds repatriation on exchange rate stability in three emerging markets, Iran, Sri Lanka, and Turkey, using the Generalized Synthetic Control framework. By modeling exchange rate stochastic…