Related papers: Chaotic Dynamics in Optimal Monetary Policy
Control of complex turbulent dynamical systems involving strong nonlinearity and high degrees of internal instability is an important topic in practice. Different from traditional methods for controlling individual trajectories, controlling…
We revisit the dynamic relationship between domestic economic policy uncertainty and stock markets using the symmetric thermal optimal path (TOPS) method. We observe different interaction patterns in emerging and developed markets. Economic…
We establish the relation between local stability of equilibria and slopes of critical curves for a specific class of difference equations. We then use this result to give global behavior results for nonnegative solutions of the system of…
This paper introduces an innovative method for ensuring global stability in a broad array of nonlinear systems. The novel approach enhances the traditional analysis based on Jacobian matrices by incorporating the Taylor series boundary…
Do firm dynamics matter for the transmission of monetary policy? Empirically, the startup rate declines following a monetary contraction, while the exit rate increases, both of which reduce aggregate employment. I present a model that…
This paper investigates a type of instability that is linked to the greedy policy improvement in approximated reinforcement learning. We show empirically that non-deterministic policy improvement can stabilize methods like LSPI by…
Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical data, in comparison with a Gaussian, exhibit leptokurtosis…
Since their introduction, anchoring methods in extragradient-type saddlepoint problems have inspired a flurry of research due to their ability to provide order-optimal rates of accelerated convergence in very general problem settings. Such…
Policy gradient methods are widely used in reinforcement learning. Yet, the nonconvexity of policy optimization poses significant challenges in understanding the global convergence of policy gradient methods. For a class of finite-horizon…
Driven many-particle systems with nonlinear interactions are known to often display multi-stability, i.e. depending on the respective initial condition, there may be different outcomes. Here, we study this phenomenon for traffic models,…
We introduce a model of infinite horizon linear dynamic optimization and obtain results concerning existence of solution and satisfaction of the competitive condition and transversality condition being unconditionally sufficient for…
Periodic orbits are among the simplest non-equilibrium solutions to dynamical systems, and they play a significant role in our modern understanding of the rich structures observed in many systems. For example, it is known that embedded…
In this paper, it is shown that a simple formulation of Economic Model Predictive Control can be used which possesses two features that are generally viewed as mutually exclusive, namely, a rather short prediction horizon…
We present a midpoint policy iteration algorithm to solve linear quadratic optimal control problems in both model-based and model-free settings. The algorithm is a variation of Newton's method, and we show that in the model-based setting it…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
The optimization criterion for dividends from a risky business is most often formalized in terms of the expected present value of future dividends. That criterion disregards a potential, explicit demand for stability of dividends. In…
In this paper, a mathematical model based on the one-parameter Mittag-Leffler function is proposed to be used for the first time to describe the relation between unemployment rate and inflation rate, also known as the Phillips curve. The…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
A principal curve serves as a powerful tool for uncovering underlying structures of data through 1-dimensional smooth and continuous representations. On the basis of optimal transport theories, this paper introduces a novel principal curve…
This paper develops a dynamic monetary model to study the (in)stability of the fractional reserve banking system. The model shows that the fractional reserve banking system can endanger stability in that equilibrium is more prone to exhibit…