相关论文: Stochastic Properties of EIP-1559 Basefees
A new tool for modeling electrochemical kinetics is presented. An extension of the Stochastic Simulation Algorithm framework to electrochemical systems is proposed. The physical justifications and constraints for the derivation of a…
The notion of fluctuation indices, characterizing thermodynamic stability of statistical systems, is advanced. These indices are especially useful for investigating the stability of nonuniform and trapped atomic assemblies. The fluctuation…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
The cost of using a blockchain infrastructure as well as the time required to search and retrieve information from it must be considered when designing a decentralized application. In this work, we examine a comprehensive set of data…
The increasing penetration of renewable energy sources introduces significant challenges to power grid stability, primarily due to their inherent variability. A new opportunity for grid operation is the smart integration of electricity…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
We consider a stochastic fluid queue served by a constant rate server and driven by a process which is the local time of a certain Markov process. Such a stochastic system can be used as a model in a priority service system, especially when…
Electricity price forecasting has become a critical tool for decision-making in energy markets, particularly as the increasing penetration of renewable energy introduces greater volatility and uncertainty. Historically, research in this…
In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a…
We develop an assume-guarantee contract framework for the design of cyber-physical systems, modeled as closed-loop control systems, under probabilistic requirements. We use a variant of signal temporal logic, namely, Stochastic Signal…
We develop a stochastic model for the charge fluctuations on a microscopic dust particle resting on a surface exposed to plasma. We find in steady state that the fluctuations are normally distributed with a standard deviation that is…
A century ago, the foundations of equilibrium statistical mechanics were laid. For a system in equilibrium with a thermal bath, much is understood through the Boltzmann factor, exp{-H[C]/kT}, for the probability of finding the system in any…
The global transition to battery electric buses (EBs) presents an opportunity to reduce air and noise pollution in urban areas. However, the adoption of EBs introduces challenges related to limited driving range, extended charging times,…
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a stochastic process with uncertain parameters. We develop a general framework which can be seen as a version of the martingale problem method…
Our work presents two fundamental contributions. On the application side, we tackle the challenging problem of predicting day-ahead crypto-currency prices. On the methodological side, a new dynamical modeling approach is proposed. Our…
Electrical infrastructures provide services at the basis of a number of application sectors, several of which are critical from the perspective of human life, environment or financials. Following the increasing trend in electricity…
We analyze the stability of the Rate Control Protocol (RCP) using two different models that have been proposed in literature. Our objective is to better understand the impact of the protocol parameters and the effect different forms of…