Related papers: Chaotic Dynamics in Optimal Monetary Policy

We characterize optimal monetary policy when policy endogenously moves risk premia through redistribution across agents who differ in their willingness to bear risk. The analytical core is Marginal Risk Capacity, the covariance of monetary…

We develop a tracking model predictive control (MPC) scheme for nonlinear systems using the linearized dynamics at the current state as a prediction model. Under reasonable assumptions on the linearized dynamics, we prove that the proposed…

Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…

A recently developed measure-theoretic framework solves a stochastic inverse problem (SIP) for models where uncertainties in model output data are predominantly due to aleatoric (i.e., irreducible) uncertainties in model inputs (i.e.,…

Direct policy search has been widely applied in modern reinforcement learning and continuous control. However, the theoretical properties of direct policy search on nonsmooth robust control synthesis have not been fully understood. The…

Chaos and nonlinear economic dynamics are addressed for a quantum coupled map lattice model of an artificial economy, with quantized supply and demand equilibrium conditions. The measure theoretic properties and the patterns that emerge in…

We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said…

We suggest employing log-ergodic processes to simulate the velocity of money in an ergodic manner. Our approach sheds light on economic behavior, policy implications, and financial dynamics by maintaining long-term stability. By bridging…

I prove that a centre manifold approach to creating finite difference models will consistently model linear dynamics as the grid spacing becomes small. Using such tools of dynamical systems theory gives new assurances about the quality of…

We model the rate of inflation and unemployment in Austria since the early 1960s within the Phillips/Fisher framework. The change in labour force is the driving force representing economic activity in the Phillips curve. For Austria, this…

We present a robust version of the life-cycle optimal portfolio choice problem in the presence of labor income, as introduced in Biffis, Gozzi and Prosdocimi ("Optimal portfolio choice with path dependent labor income: the infinite horizon…

We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…

This study investigates the optimal strategy for a firm operating in a dynamic Keynesian market setting. The firm's objective function is optimized using the percent deviations from the symmetric equilibrium of both its own price and the…

The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…

General equilibrium is the dominant theoretical framework for economic policy analysis at the level of the whole economy. In practice, general equilibrium treats economies as being always in equilibrium, albeit in a sequence of equilibria…

A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…

We present a method for the steady state optimization of nonlinear delay differential equations. The method ensures stability and robustness, where a system is called robust if it remains stable despite uncertain parameters. Essentially, we…

This paper presents a rigorous analytical model of traffic dynamics on a circular track, demonstrating the emergence of standing oscillations resulting from microscopic driver behaviour, delay responses, and proximity pressure. Without…

Low inflation was once a welcome to both policy makers and the public. However, Japan's experience during the 1990's changed the consensus view on price of economists and central banks around the world. Facing deflation and zero interest…

The main challenge for adaptive regulation of linear-quadratic systems is the trade-off between identification and control. An adaptive policy needs to address both the estimation of unknown dynamics parameters (exploration), as well as the…