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We present a model that investigates the spontaneous emergence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of fluctuation in price and volume. We formulate a control…
The paper studies a system of Hamilton-Jacobi equations, arising from a stochastic optimal debt management problem in an infinite time horizon with exponential discount, modeled as a noncooperative interaction between a borrower and a pool…
We report the results of a numerical study of nonequilibrium steady states for a class of Hamiltonian models. In these models of coupled matter-energy transport, particles exchange energy through collisions with pinned-down rotating disks.…
We study causal self-attention dynamics -- a toy model for decoder Transformers -- which we interpret as a non-exchangeable interacting particle system. Adapting cumulant expansions to the triangular causal dependency structure of the…
The precise characterization of dynamics in open quantum systems often presents significant challenges, leading to the introduction of various approximations to simplify a model. One commonly used strategy involves Markovian approximations,…
In this paper we analyse the five-factor capital market model of Munk et al.(2004). The model features a Vasicek interest rate model, an equity index with mean-reverting excess return and an index for realized inflation with mean-reverting…
Numerical simulations of thin sheets undergoing large deformations are computationally challenging. Depending on the scenario, they may spontaneously buckle, wrinkle, fold, or crumple. Nature's thin tissues often experience significant…
This paper investigates the emergence of wealth inequality through a minimalist kinetic exchange model that incorporates two fundamental economic features: fixed-amount transactions and hard budget constraints. In contrast to the maximum…
It has been supposed that the interplay of elasticity and activity plays a key role in triggering the non-equilibrium behaviors in biological systems. However, the experimental model system is missing to investigate the spatiotemporally…
We present a Markovian market model driven by a hidden Brownian efficient price. In particular, we extend the queue-reactive model, making its dynamics dependent on the efficient price. Our study focuses on two sub-models: a signal-driven…
Inflationary models that contain a transient ultra-slow-roll phase can exhibit strong non-perturbative dynamics, making the usual perturbative treatment of cosmological fluctuations incomplete. In such regimes, quantum diffusion and the…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
A promising approach to investigating high-dimensional problems is to identify their intrinsically low-dimensional features, which can be achieved through recently developed techniques for effective low-dimensional representation of…
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive…
We consider a simple microscopic model where the open-system dynamics of a qubit, despite being Markovian, shows features which are typically associated to the presence of memory effects. Namely, a non monotonic behavior both in the…
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…
The Hubbard model is a prototype for strongly correlated many-particle systems, including electrons in condensed matter and molecules, as well as for fermions or bosons in optical lattices. While the equilibrium properties of these systems…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
We investigate a class of models of topological inflation in which a super-Hubble-sized global monopole seeds inflation. These models are attractive since inflation starts from rather generic initial conditions, but their not so attractive…
We investigate inflationary magnetogenesis in a scenario where conformal invariance of electromagnetism is broken through a \emph{non-minimal Yukawa-like coupling between the inflaton and the Ricci scalar}. We account for electromagnetic…