Related papers: Modeling and Stabilizing Financial Systemic Risk U…
We study dynamical transportation networks in a framework that includes extensions of the classical Cell Transmission Model to arbitrary network topologies. The dynamics are modeled as systems of ordinary differential equations describing…
We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping…
This paper addresses the problem of optimally controlling nonlinear systems with norm-bounded disturbances and parametric uncertainties while robustly satisfying constraints. The proposed approach jointly optimizes a nominal nonlinear…
We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…
This survey paper deals with the stabilization of nonlinear systems by analyzing the controlling method in terms of state feedback and output feedback. A brief overview of some literature on how the feedback controller of some dynamic…
This paper investigates the stabilization and control problems for linear continuous-time mean-field systems (MFS). Under standard assumptions, necessary and sufficient conditions to stabilize the mean-field systems in the mean square sense…
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…
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.…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
Stability is a critical feature of distributed linear multi-input-multi-output systems. Global asymptotic stability usually can be guaranteed when using decentralised or distributed control architectures, if: (i) conservative controllers…
Time distributed optimization is an implementation strategy that can significantly reduce the computational burden of model predictive control by exploiting its robustness to incomplete optimization. When using this strategy, optimization…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
This paper is concerned with uniform stabilization and social optimality for general mean field linear quadratic control systems, where subsystems are coupled via individual dynamics and costs, and the state weight is not assumed with the…
This paper is concerned with the linear quadratic (LQ) optimal control of continuous-time system with terminal state constraint. In particular, multiple agents exist in the system which can only access partial information of the matrix…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
Consistency models have been proposed for fast generative modeling, achieving results competitive with diffusion and flow models. However, these methods exhibit inherent instability and limited reproducibility when training from scratch,…
The local stability and convergence for Model Predictive Control (MPC) of unconstrained nonlinear dynamics based on a linear time-invariant plant model is studied. Based on the long-time behavior of the solution of the Riccati Differential…