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Risk-sensitive control balances performance with resilience to unlikely events in uncertain systems. This paper introduces ergodic-risk criteria, which capture long-term cumulative risks through probabilistic limit theorems. By ensuring the…
Sovereign debt ratings provided by rating agencies measure the solvency of a country, as gauged by a lender or an investor. It is an indication of the risk involved in investment, and should be determined correctly and in a well timed…
In this work we study the averaging principle for non-autonomous slow-fast systems of stochastic differential equations. In particular in the first part we prove the averaging principle assuming the sublinearity, the Lipschitzianity and the…
This paper studies the spread dynamics of a stochastic SIRS epidemic model with nonlinear incidence and varying population size, which is formulated as a piecewise deterministic Markov process. A threshold dynamic determined by the basic…
Macroeconomic dynamics is typically modeled under the assumption that the economy evolves according to a single invariant law of motion. This paper shows that this assumption imposes a structural restriction. We develop Dynamic…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
We introduce and analyze a novel class of inverse problems for stochastic dynamics: Given the ergodic invariant measure of a stochastic process governed by a nonlinear stochastic ordinary or partial differential equation (SODE or SPDE), we…
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous L\'evy processes. We provide a new framework, conditions for absence…
We study the ergodic properties of finite-dimensional systems of SDEs driven by non-degenerate additive fractional Brownian motion with arbitrary Hurst parameter $H\in(0,1)$. A general framework is constructed to make precise the notions of…
In order to study the invariant measures of discrete KdV- and Toda-type systems, this article focusses on models, discretely indexed in space and time, whose dynamics are deterministic and defined locally via lattice equations. A detailed…
A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the stochastic dynamics of the debt-to-GDP ratio via singular…
This paper studies some temporal dependence properties and addresses the issue of parametric estimation for a class of state-dependent autoregressive models for nonlinear time series in which we assume a stochastic autoregressive…
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…
This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the…
This paper introduces ergodic-risk criteria, which capture long-term cumulative risks associated with controlled Markov chains through probabilistic limit theorems--in contrast to existing methods that require assumptions of either finite…
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…
The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the relative importance of firm-specific and…