Related papers: Relaxation Processes in Administered-Rate Pricing
Understanding how stick-slip dynamics manifests in diverse physical conditions is a crucial topic in tribology. Although it has been extensively studied in simple frictional configurations, the characterization of stick-slip behavior in…
This note reviews previous analyses by the author of the damping produced by the anelasticity of a simple flexure element that is loaded in tension by an extended object such as a beam balance. The correct calculation of the anelasticity of…
Perturbation theory, simulations and scaling arguments predict that there should be no static friction for two weakly interacting flat atomically smooth clean solid surfaces. The absence of static friction results from the fact that the…
Rate- and state-dependent friction law for velocity-step and healing are analysed from a thermodynamic point of view. Assuming a logarithmic deviation from steady-state a unification of the classical Dieterich and Ruina models of rock…
We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
In some situations in stochastic thermodynamics not all relevant slow degrees of freedom are accessible. Consequently, one adopts an effective description involving only the visible degrees of freedom. This gives rise to an apparent entropy…
Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
Problem definition: Mining for heterogeneous responses to an intervention is a crucial step for data-driven operations, for instance to personalize treatment or pricing. We investigate how to estimate price sensitivity from…
Dynamic decisions are pivotal to economic policy making. We show how existing evidence from randomized control trials can be utilized to guide personalized decisions in challenging dynamic environments with budget and capacity constraints.…
We present new formulations of the stochastic electricity market clearing problem based on the principles of stochastic programming. Previous analyses have established that the canonical stochastic programming model effectively captures the…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
We study the dynamics of a flexible fiber freely moving in a three-dimensional fully-developed turbulent field and present a phenomenological theory to describe the interaction between the fiber elasticity and the turbulent flow. This…
Maintaining the stability of renewable-dominant power systems requires the procurement of virtual inertia services from non-synchronous resources (e.g., batteries, wind turbines) in addition to inertia traditionally provided by synchronous…
Structural mechanisms in disordered materials like amorphous semi-conductors and glasses can be explored with the activation-relaxation technique (ART). The application of a sequence of such mechanisms allows for the generation of…
The static friction between crystalline surfaces separated by a molecularly thin layer of adsorbed molecules is calculated using molecular dynamics simulations. These molecules naturally lead to a finite static friction that is consistent…
This paper studies the identification, estimation, and hypothesis testing problem in complete and incomplete economic models with testable assumptions. Testable assumptions ($A$) give strong and interpretable empirical content to the models…
We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions…
Interference between treated and untreated units is a source of bias in marketplace experiments. In this paper, we specifically consider pricing interventions, in which a platform seeks to adjust base pricing levels at the marketplace level…
The relaxation rate of a Maxwellian velocity distribution function that has an initially anisotropic temperature $(T_\parallel \neq T_\perp)$ is an important physical process in space and laboratory plasmas. It is also a canonical example…