Related papers: Chaotic Dynamics in Optimal Monetary Policy
There are insights of chaotic properties in economic systems and data. To prove the existence of chaotic dynamics, the establishment of a deterministic model is mandatory. A global modelling tool (GPoM) is used to search for mathematical…
The takeoff point for this paper is the voluminous body of literature addressing recursive betting games with expected logarithmic growth of wealth being the performance criterion. Whereas almost all existing papers involve use of linear…
Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…
We re-estimate statistical properties and predictive power of a set of Phillips curves, which are expressed as linear and lagged relationships between the rates of inflation, unemployment, and change in labour force. For France, several…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Stochastic optimization has found wide applications in minimizing objective functions in machine learning, which motivates a lot of theoretical studies to understand its practical success. Most of existing studies focus on the convergence…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
Modeling realistic fluid and plasma flows is computationally intensive, motivating the use of reduced-order models for a variety of scientific and engineering tasks. However, it is challenging to characterize, much less guarantee, the…
In recent years, mutual information optimal control has been proposed as an extension of maximum entropy optimal control. Both approaches introduce regularization terms to render the policy stochastic, and it is important to theoretically…
There are two main approaches to non-equlibrium statistical mechanics: one using stochastic processes and the other using dynamical systems. To model the dynamics during inflation one usually adopts a stochastic description, which is known…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, able to predict money distributions…
Integral constraints on the linear instability of stratified parallel flow with planar shear at an arbitrary angle to the vertical are derived using the analytical approach of Miles and Howard, for perturbations with 2D spatial structure,…
Nonequilibrium statistical models of point vortex systems are constructed using an optimal closure method, and these models are employed to approximate the relaxation toward equilibrium of systems governed by the two-dimensional Euler…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
In this paper we consider a broad class of infinite horizon discrete-time optimal control models that involve a nonnegative cost function and an affine mapping in their dynamic programming equation. They include as special cases classical…