相关论文: Stochastic Properties of EIP-1559 Basefees
An artificial intelligence-augmented Streamline Upwind/Petrov-Galerkin finite element scheme (AiStab-FEM) is proposed for solving singularly perturbed partial differential equations. In particular, an artificial neural network framework is…
The interactions of the natural gas (NG) network and the electricity system are increased by using gas-fired generation units, which use NG to produce electricity. There are various uncertainty sources such as the forced outage of…
Uncoordinated charging of a rapidly growing number of electric vehicles (EVs) and the uncertainty associated with renewable energy resources may constitute a critical issue for the electric mobility (E-Mobility) in the transportation system…
An algorithmic stablecoin is a type of cryptocurrency managed by algorithms (i.e., smart contracts) to dynamically minimize the volatility of its price relative to a specific form of asset, e.g., US dollar. As algorithmic stablecoins have…
This article presents a new numerical scheme for the discretization of dissipative particle dynamics with conserved energy. The key idea is to reduce elementary pairwise stochastic dynamics (either fluctuation/dissipation or thermal…
The Ethereum blockchain network enables transaction processing and smart-contract execution through levies of transaction fees, commonly known as gas fees. This framework mediates economic participation via a market-based mechanism for gas…
The paper investigates the performance of the European option price when the log asset price follows a rich class of Generalized Tempered Stable (GTS) distribution. The GTS distribution is an alternative to Normal distribution and…
We show that current fluctuations in a stochastic pump can be robustly mapped to fluctuations in a corresponding time-independent nonequilibrium steady state. We thus refine a recently proposed mapping so that it ensures equivalence of not…
We consider rate swaps which pay a fixed rate against a floating rate in presence of bid-ask spread costs. Even for simple models of bid-ask spread costs, there is no explicit strategy optimizing an expected function of the hedging error.…
This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate. The model considers four stochastic drivers, each represented…
Several recent proposals implicitly or explicitly suggest making use of randomized transaction ordering within a block to mitigate centralization effects and to improve fairness in the Ethereum ecosystem. However, transactions and blocks…
Dynamically distributed inflation is a common mechanism used to guide a blockchain's staking rate towards a desired equilibrium between network security and token liquidity. However, the high sensitivity of the annual percentage yield to…
Bitcoin transaction fees will become more important as the block subsidy declines, but fee formation is hard to study with blockchain data alone because the relevant queueing environment is unobserved. We develop and estimate a structural…
In this paper, we apply the information theory to provide an approximate expression of the steady-state probability distribution for blockchain systems. We achieve this goal by maximizing an entropy function subject to specific constraints.…
This paper analyzes a service system modeled as a single-server queue, in which the service provider aims to dynamically maximize the expected revenue per unit of time. This is achieved by constructing a stochastic gradient descent…
The increasing vulnerability of power systems has heightened the need for operating reserves to manage contingencies such as generator outages, line failures, and sudden load variations. Unlike energy costs, driven by consumer demand,…
We present a novel norm preserving stochastic evolution equation for a Bose field. Ensemble averages are quantum expectation values in the canonical ensemble. This numerically very stable equation suppresses high-energy fluctuations…
In these lecture notes, the basic principles of stochastic thermodynamics are developed starting with a closed system in contact with a heat bath. A trajectory undergoes Markovian transitions between observable meso-states that correspond…
A two-stage multi-period mixed-integer linear stochastic programming model is proposed to assist qualified operators in long-term generation and transmission expansion planning of electricity and gas systems to meet policy objectives. The…
This paper proposes a general switching dynamical system model, and a custom majorization-minimization-based algorithm EM++ for identifying its parameters. For certain families of distributions, such as Gaussian distributions, this…