相关论文: Stochastic Properties of EIP-1559 Basefees

We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in latent volatility due to a Bayesian learning procedure. Starting…

We initiate the study of transaction fee mechanism design for blockchain protocols in which multiple block producers contribute to the production of each block. Our contributions include: - We propose an extensive-form (multi-stage) game…

The rapid adoption of electric vehicles (EVs) introduces complex spatiotemporal demand management challenges for charging station operators (CSOs), exacerbated by demand imbalances, behavioral heterogeneity, and system uncertainty.…

This report presents an algorithm for determining the unknown rates in the sequential processes of a Stochastic Process Algebra model, provided that the rates in the combined flat model are given. Such a rate lifting is useful for model…

Gas-fired generators, with their ability to quickly ramp up and down their electricity production, play an important role in managing renewable energy variability. However, these changes in electricity production translate into variability…

The Proof of Efficient Liquidity (PoEL) protocol, designed for specialised Proof of Stake (PoS) consensus-based blockchains that incorporate intrinsic DeFi applications, aims to support sustainable liquidity bootstrapping and network…

In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the volatility does vary. In quantitative finance, the Heston model…

This paper develops a systematic parametric method for analyzing stochastic systems under volatility uncertainty within the $G$-expectation framework. Leveraging the dual representation of the $G$-expectation as a supremum over a family of…

In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…

Stochastic network calculus is an evolving theory which accounts for statistical multiplexing and uses an envelope approach for probabilistic delay and backlog analysis of networks. One of the key ideas of stochastic network calculus is the…

Natural gas consumption by users of pipeline networks is subject to increasing uncertainty that originates from the intermittent nature of electric power loads serviced by gas-fired generators. To enable computationally efficient…

This paper presents iBatch, a middleware system running on top of an operational Ethereum network to enable secure batching of smart-contract invocations against an untrusted relay server off-chain. iBatch does so at a low overhead by…

Large-scale renewable energy deployment introduces pronounced volatility into the electricity system, turning grid operation into a complex stochastic optimization problem. Accurate electricity price forecasting (EPF) is essential not only…

We study a mechanism design problem in the blockchain proof-of-stake (PoS) protocol. Our main objective is to extend the transaction fee mechanism (TFM) recently proposed in Chung and Shi (SODA, p.3856-3899, 2023), so as to incorporate a…

In this paper we introduce a new discrete time and continuous state space stationary process $\{X_n; n = 1, 2, \ldots \}$, such that $X_n$ follows a two-parameter generalized exponential (GE) distribution. Joint distribution functions,…

This paper investigates how pricing schemes can achieve efficient allocations in blockchain systems featuring multiple transaction queues under a global capacity constraint. I model a capacity-constrained blockchain where users submit…

We review the stochastic Gross-Pitaevskii approach for non-equilibrium finite temperature Bose gases, focussing on the formulation of Stoof; this method provides a unified description of condensed and thermal atoms, and can thus describe…

We propose a novel framework for off-chain execution and verification of computationally-intensive smart contracts. Our framework is the first solution that avoids duplication of computing effort across multiple contractors, does not…

This paper presents a multi-contract blockchain framework for inter-provider agreements in 6G networks, emphasizing performance analysis under a realistic Proof-of-Stake (PoS) setting on Ethereum's Sepolia testnet. We begin by quantifying…

In this paper we show that, using only mild assumptions, previously proposed multidimensional blockchain fee markets are essentially optimal, even against worst-case adversaries. In particular, we show that the average welfare gap between…