Related papers: Langevin processes, agent models and socio-economi…
The probability distributions, as well as the mean values of stochastic currents and fluxes, associated with a driven Langevin process, provide a good and topologically protected measure of how far a stochastic system is driven out of…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
A statistical thermodynamic approach of moving particles forming an elastic body is presented which leads to reveal molecular-mechanical properties of classical and nonextensive dynamical systems. We derive the Boltzmann-Gibbs (BG) entropy…
This paper presents a dynamic model to study the impact on the economic outcomes in different societies during the Malthusian Era of individualism (time spent working alone) and collectivism (complementary time spent working with others).…
Dynamics near and far away from thermal equilibrium is studied within the framework of Langevin equations. A stochasticity-dissipation relation is proposed to emphasize the equal importance of the stochastic and deterministic forces in…
Stochastic thermodynamics is a developing theory for systems out of thermal equilibrium. It allows to formulate a wealth of nontrivial relations among thermodynamic quantities such as heat dissipation, excess work, and entropy production in…
We use the stochastic quantization method to study systems with complex valued path integral weights. We assume a Langevin equation with a memory kernel and Einstein's relations with colored noise. The equilibrium solution of this…
Living systems are open nonequilibrium systems that continuously exchange energy, matter, and information with their environments, leading to stochastic dynamics with memory and active fluctuations. In this study, we develop a non-Markovian…
Stochastic systems have a control-theoretic interpretation in which noise plays the role of control. In the weak-noise limit, relevant at low temperatures or in large populations, this leads to a precise mathematical mapping: the most…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
Current business cycle theory is an application of the general equilibrium theory. This paper presents the business cycle model without using general equilibrium framework. We treat agents risk assessments as their coordinates x on economic…
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive…
We investigate the unbiased model for money exchanges: agents give at random time a dollar to one another (if they have one). Surprisingly, this dynamics eventually leads to a geometric distribution of wealth (shown empirically by…
Controlling dynamical fluctuations in open quantum systems is essential both for our comprehension of quantum nonequilibrium behaviour and for its possible application in near-term quantum technologies. However, understanding these…
We formulate a dynamical fluctuation theory for stationary non equilibrium states (SNS) which is tested explicitly in stochastic models of interacting particles. In our theory a crucial role is played by the time reversed dynamics. Within…
The Macroscopic Fluctuating Theory is presented from a practical and self consistent point of view. We take as starting point the assumption that a system at a mesoscopic scale is described by a field $\phi(x,t)$ that evolves by a Langevin…
While the issues of dissipation, fluctuations, noise and decoherence in open quantum systems (with autocratic divide) analyzed via Langevin dynamics are familiar subjects, the treatment of corresponding issues in closed quantum systems is…
We derive a system of stochastic differential equations simulating the dynamics of the three agent groups with herding interaction. Proposed approach can be valuable in the modeling of the complex socio-economic systems with similar…
The housekeeping heat is the energy exchanged between a system and its environment in a nonequilibrium process that results from the violation of detailed balance. We describe fluctuations of the housekeeping heat in mesoscopic systems…