Related papers: Relaxation Processes in Administered-Rate Pricing
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
We investigate the morphology and mechanics of a naturally curved elastic arch loaded at its center and frictionally supported at both ends on a flat, rigid substrate. Through systematic numerical simulations, we classify the observed…
We investigate numerically a simple microscopic model to describe wearless dry friction between atomically flat contact interfaces without thermal fluctuations (T=0K). The analysis of the incommensurate ground state shows a breaking of…
The friction force observed at macroscale is the result of interactions at various lower length scales that are difficult to model in a combined manner. For this reason, simplified approaches are required, depending on the specific aspect…
In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry. The method we illustrate was initially motivated by the problem of designing optimal…
We consider equilibrium relaxation properties of the end-to-end distance and of principal components in a one-dimensional polymer chain model with nonlinear interaction between the beads. While for the single-well potentials these…
The paper is devoted to recent advances in stochastic modeling of anomalous kinetic processes observed in dielectric materials which are prominent examples of disordered (complex) systems. Theoretical studies of dynamical properties of…
A variational model to simultaneously treat Stress-Driven Rearrangement Instabilities, such as boundary discontinuities, internal cracks, external filaments, edge delamination, wetting, and brittle fractures, is introduced. The model is…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
The activated rate process for non-equilibrium open systems is studied taking into account both internal and external noise fluctuations in a unified way. The probability of a particle diffusing passing over the saddle point and the rate…
We consider using particle production as a friction force by which to implement a "Relaxion" solution to the electroweak hierarchy problem. Using this approach, we are able to avoid superplanckian field excursions and avoid any conflict…
Mechanical relaxation in moir\'e materials is often modeled by a continuum model where linear elasticity is coupled to a stacking penalty known as the Generalized Stacking Fault Energy (GSFE). We review and compute minimizers of a…
In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices…
We study the geometrically nonlinear behavior of uniformly compressed tensegrity prisms, through fully elastic and rigid--elastic models. The presented models predict a variety of mechanical behaviors in the regime of large displacements,…
Rate- and state-dependent friction law for velocity-step tests is analyzed from a thermodynamic point of view. A simple macroscopic non-equilibrium thermodynamic model with a single internal variable reproduces instantaneous jump and…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
Demand estimation plays an important role in dynamic pricing where the optimal price can be obtained via maximizing the revenue based on the demand curve. In online hotel booking platform, the demand or occupancy of rooms varies across…
We study thermally activated, low temperature equilibrium dynamics of elastic systems pinned by disorder using one loop functional renormalization group (FRG). Through a series of increasingly complete approximations, we investigate how the…
The pervasive phenomenon of friction has been studied at the nanoscale by controlled manipulation of single atoms and molecules, which permitted a precise determination of the static friction force necessary to initiate motion. However,…