Related papers: Dynamic Mechanism Collapse: A Boundary Characteriz…
Stability is a fundamental concept that refers to a system's ability to return close to its original state after disturbances. The minimal conditions for stability when system parameters vary in time, though common in physics, have been…
In this study, I investigate the dynamic decision problem with a finite parameter space when the functional form of conditional expected rewards is misspecified. Traditional algorithms, such as Thompson Sampling, guarantee neither an…
The Black-Litterman model is a framework for incorporating forward-looking expert views in a portfolio optimization problem. Existing work focuses almost exclusively on single-period problems with the forecast horizon matching that of the…
Dynamic Bayesian networks have been well explored in the literature as discrete-time models: however, their continuous-time extensions have seen comparatively little attention. In this paper, we propose the first constraint-based algorithm…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
In this paper we examine the interplay between recurrence properties and the shadowing property in dynamical systems on compact metric spaces. In particular, we demonstrate that if the dynamical system $(X,f)$ has shadowing, then it is…
We study a spontaneous collapse model for a two-level (spin) system, in which the Hamiltonian and the stochastic terms do not commute. The numerical solution of the equations of motions allows to give precise estimates on the regime at…
We consider a piecewise linear two-dimensional dynamical system that couples a linear equation with the so-called stop operator. Global dynamics and bifurcations of this system are studied depending on two parameters. The system is…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
For dynamical systems that switch between different modes of operation, parameter variation can cause periodic solutions to lose or acquire new switching events. When this causes the eigenvalues (stability multipliers) associated with the…
Nonzero sum games typically have multiple Nash equilibriums (or no equilibrium), and unlike the zero sum case, they may have different values at different equilibriums. Instead of focusing on the existence of individual equilibriums, we…
Consider an open quantum system with (discrete-time) Markovian dynamics. Our task is to store information in the system in such a way that it can be retrieved perfectly, even after the system is left to evolve for an arbitrarily long time.…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
The theory of slow manifolds is an important tool in the study of deterministic dynamical systems, giving a practical method by which to reduce the number of relevant degrees of freedom in a model, thereby often resulting in a considerable…
We analyze the dynamics of an algorithm for approximate inference with large Gaussian latent variable models in a student-teacher scenario. To model nontrivial dependencies between the latent variables, we assume random covariance matrices…
The dynamics of many-body systems can often be captured in terms of only a few relevant variables. Mathematical and numerical approaches exist to identify these variables by exploiting a separation of time scales between slow relevant and…
The zero range process is of particular importance as a generic model for domain wall dynamics of one-dimensional systems far from equilibrium. We study this process in one dimension with rates which induce an effective attraction between…
Myerson's seminal characterization of the revenue-optimal auction for a single item \cite{myerson1981optimal} remains a cornerstone of mechanism design. However, generalizing this framework to multi-item settings has proven exceptionally…
Many complex systems satisfy a set of constraints on their degrees of freedom, and at the same time, they are able to work and adapt to different conditions. Here, we describe the emergence of this ability in a simplified model in which the…
For spatiotemporal chaos described by partial differential equations, there are generally locations where the dynamical variable achieves its local extremum or where the time partial derivative of the variable vanishes instantaneously. To a…