相关论文: Dynamically Consistent Nonlinear Evaluations and E…

Robustness guarantees are important properties to be looked for during control design. They ensure stability of closed-loop systems in face of uncertainties, unmodeled effects and bounded disturbances. While the theory on robust stability…

In this paper, we develop an agent-based version of the Diamond search equilibrium model - also called Coconut Model. In this model, agents are faced with production decisions that have to be evaluated based on their expectations about the…

We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…

We study a dynamic game where an expert sends probabilistic forecasts to a decision-maker. The decision-maker verifies these forecasts using a calibration test based on past data. How should the expert send forecasts to maximize her payoff…

Regular $g$-measures are discrete-time processes determined by conditional expectations with respect to the past. One-dimensional Gibbs measures, on the other hand, are fields determined by simultaneous conditioning on past and future. For…

When the underlying conditional density is known, conditional expectations can be computed analytically or numerically. When, however, such knowledge is not available and instead we are given a collection of training data, the goal of this…

Stability of the zero solution plays an important role in the investigation of positive systems. In this note, we revisit the $\mu$-stability of positive nonlinear systems with unbounded time-varying delays. The system is modelled by…

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…

We study a Weiner process that is conditioned to pass through a finite set of points and consider the dynamics generated by iterating a sample path from this process. Using topological techniques we are able to characterize the global…

We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of…

For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows. At the very first time step $t_0$, the decision maker formulates an optimization…

The paper endeavours to solve the problem of the necessary and sufficient conditions for testing asymptotic stability of the equilibrium state without using a positive definite or semi-definite Lyapunov function for time-invariant nonlinear…

We study the stability of general $n$-dimensional nonautonomous linear differential equations with infinite delays. Delay independent criteria, as well as criteria depending on the size of some finite delays are established. In the first…

We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In contrast to the standard framework of financial engineering,…

Opinion dynamics of a group of individuals is the change in the members' opinions through mutual interaction with each other. The related literature contains works in which the dynamics is modeled as a continuous system, of which behavioral…

We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…

In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the…

This paper proposes a test for the joint hypothesis of correct dynamic specification and no omitted latent factors for the Quantile Autoregression. If the composite null is rejected we proceed to disentangle the cause of rejection, i.e.,…

We provide a framework to study stability notions for two-sided dynamic matching markets in which matching is one-to-one and irreversible. The framework gives center stage to the set of matchings an agent anticipates would ensue should they…

In this paper, we deal with the problem of the stabilization in the sample-and-hold sense, by emulation of continuous-time, observer-based, global stabilizers. Fully nonlinear time-delay systems are studied. Sufficient conditions are…