相关论文: Kinetic Theory for Finance Brownian Motion from Mi…

A theory of Brownian motion is presented for an assembly of vortices. The attempt is motivated by a realization of Dyson' Coulomb gas in the context of quantum condensates. By starting with the time-dependent Landau-Ginzburg (LG) theory,…

A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…

We present a study of the attractive Hubbard model based on the dynamical mean field theory (DMFT) combined with the numerical renormalization group (NRG). For this study the NRG method is extended to deal with self-consistent solutions of…

We reformulate the neutral wealth tax framework of Froeseth (2026; arXiv:2603.05264) in the language of stochastic dynamics and statistical physics. Individual wealth under geometric Brownian motion satisfies a Langevin equation with…

Analyses of recurrent hypoglycemia are critical for effective treatment management in diabetic patients. Typically, within-subject dependency in such analyses is captured through subject-level frailty. Recent research has modeled recurrent…

Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this…

The stationary reflected Brownian motion in a three-quarter plane has been rarely analyzed in the probabilistic literature, in comparison with the quarter plane analogue model. In this context, our main result is to prove that the…

In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents. The leading idea is to describe the trading of these goods by means of some fundamental rules in…

Understanding the dynamic behavior of polar fluids is essential for modeling complex systems such as electrolytes and biological media. In this work, we develop and apply a Stochastic Density Functional Theory (SDFT) framework to describe…

Dynamical random walk of classical particle in thermodynamically equilibrium fluctuating medium, - Gaussian random potential field, - is considered in the framework of explicit stochastic representation of deterministic interactions. We…

The evolution of prices on ideal market is given by geometrical Brownian motion, where Gaussian white noise describes fluctuations. We study the effect of correlations introduced by a color noise.

The market events of 2007-2009 have reinvigorated the search for realistic return models that capture greater likelihoods of extreme movements. In this paper we model the medium-term log-return dynamics in a market with both fundamental and…

The flashing Brownian ratchet is a stochastic process that alternates between two regimes, a one-dimensional Brownian motion and a Brownian ratchet, the latter being a one-dimensional diffusion process that drifts towards a minimum of a…

Assuming an effective quadratic Hamiltonian, we derive an approximate, linear stochastic equation of motion for the density-fluctuations in liquids, composed of overdamped Brownian particles. From this approach, time dependent two point…

Using agent-based modelling, empirical evidence and physical ideas, such as the energy function and the fact that the phase space must have twice the dimension of the configuration space, we argue that the stochastic differential equations…

In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions between the market players and (2) concurrent reactions of market players to dynamic market…

We get fractional symmetric Fokker - Planck and Einstein - Smoluchowski kinetic equations, which describe evolution of the systems influenced by stochastic forces distributed with stable probability laws. These equations generalize known…

It is known that a full description of Brownian motion in the entire course of time should incorporate both kinetic and hydrodynamic effects, but a formula accounts for both effects has been established only in three dimension and only for…

Rough volatility models are becoming increasingly popular in quantitative finance. In this framework, one considers that the behavior of the log-volatility process of a financial asset is close to that of a fractional Brownian motion with…

This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculus-based framework through the time integral of a price's…