相关论文: The prices of renewable commodities: A robust stat…
This work is focused on the extension and assessment of the monotonicity-preserving scheme in [3] and the local bounds preserving scheme in [5] to hierarchical octree adaptive mesh refinement (AMR). Whereas the former can readily be used on…
We examine the issue of stability of probability in reasoning about complex systems with uncertainty in structure. Normally, propositions are viewed as probability functions on an abstract random graph where it is implicitly assumed that…
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures holder's timing options to exercise the…
The rapid increase in the integration of intermittent and stochastic renewable energy resources (RER) introduces challenging issues related to power system stability. Interestingly, identifying grid nodes that can best support stochastic…
We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
When analysing time series an important issue is to decide whether the time series is stationary or a random walk. Relaxing these notions, we consider the problem to decide in favor of the I(0)- or I(1)-property. Fixed-sample statistical…
We analyze ecological systems that are influenced by random environmental fluctuations. We first provide general conditions which ensure that the species coexist and the system converges to a unique invariant probability measure (stationary…
A wide body of work has applied the concept of critical slowing down to estimate the stability of different Earth system components. Most of them -- such as global vegetation -- are inherently non-stationary, for example due to strong…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
The reliability of the approximations commonly adopted in the calculation of static optical (hyper)polarizabilities is tested against exact results obtained for an interesting toy-model. The model accounts for the principal features of…
We consider a mean-field model of firms competing \`a la Cournot on a commodity market, where the commodity price is given in terms of a power inverse demand function of the industry-aggregate production. Investment is irreversible and…
Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled power sectors. Although it aims at predicting both spot and…
We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel $Q$. Special cases include additive error, rounding and combinations thereof. Our main result is that, subject to…
In this work we address the feasibility of estimating and isolating the stationary and deterministic content of observational time series, {\bf Ots}, which in general have very limited characteristics. In particular, we study the valuable…
In many matching markets--such as athlete recruitment or academic admissions--participants on one side are evaluated by attribute vectors known to the other side, which in turn applies individual \emph{salience vectors} to assign relative…
This paper analyzes stability conditions for wholesale electricity markets under real-time retail pricing and realistic consumption models with memory, which explicitly take into account previous electricity prices and consumption levels.…
The Marginally Rigid State is a candidate paradigm for what makes granular material a state of matter distinct from both liquid and solid. Coordination number is identified as a discriminating characteristic, and for rough-surfaced…
Different disciplines pursue the aim to develop models which characterize certain phenomena as accurately as possible. Climatology is a prime example, where the temporal evolution of the climate is modeled. In order to compare and improve…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
Ever-growing electrical loads are having a huge impact on the operation and stability of the power system. Moreover, the integration of renewable generation poses various challenges to the future power system, especially, regarding…