相关论文: A continuum of path-dependent equilibrium solution…

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…

We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…

In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model…

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…

We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of a system of BSDEs with quadratic growth. We show…

This paper studies the economic role of persistent dispersion in allocations across agents. We develop a tractable model in which firms allocate resources under imperfect information and behavioral updating, generating sustained…

The effect of a change of noise amplitudes in overdamped diffusive systems is linked to their unperturbed behavior by means of a nonequilibrium fluctuation-response relation. This formula holds also for systems with state-independent…

Power system transient stability has been translated into a Lyapunov stability problem of the post-disturbance equilibrium for decades. Despite substantial results, conventional theories suffer from the stringent requirement of knowing the…

We consider the problem of adaptive estimation of the regression function in a framework where we replace ergodicity assumptions (such as independence or mixing) by another structural assumption on the model. Namely, we propose adaptive…

We propose a new mechanism that adapts to string theory a perturbative method for stabilizing moduli without leaving the domain of perturbative control, thereby evading the `Dine-Seiberg' problem. The only required nonperturbative…

Analysis and synthesis of safety-critical autonomous systems are carried out using models which are often dynamic. Two central features of these dynamic systems are parameters and unmodeled dynamics. This paper addresses the use of a…

In this work we propose a statistical approach to handling sources of theoretical uncertainty in string theory models of inflation. By viewing a model of inflation as a probabilistic graph, we show that there is an inevitable information…

The stable version of the anomaly-induced inflation does not need a fine tuning and leads to sufficient expansion of the Universe. The non-stable version (Starobinsky model) provides the graceful exit to the FRW phase. We indicate the…

The unique fluctuation-dissipation theorem for equilibrium stands in contrast with the wide variety of nonequilibrium linear response formulae. Their most traditional approach is "analytic", which, in the absence of detailed balance,…

We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…

We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…

Problems with artificial neural networks originate from their deterministic nature and inevitable prior learnings, resulting in inadequate adaptability against unpredictable, abrupt environmental change. Here we show that a stochastically…

We test the predictions of the sticky information model using a survey dataset by comparing shoppers accuracy in recalling the prices of regulated and comparable unregulated products. Because regulated product prices are capped, they are…

In the classical stochastic resetting problem, a particle, moving according to some stochastic dynamics, undergoes random interruptions that bring it to a selected domain, and then, the process recommences. Hitherto, the resetting mechanism…

This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…