相关论文: Dynamically Consistent Nonlinear Evaluations and E…

The nonuniqueness of rational expectations is explained: in the stochastic, discrete-time, linear, constant-coefficients case, the associated free parameters are coefficients that determine the public's most immediate reactions to shocks.…

A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…

In this article, we consider a dynamic model of a three-phase power system including nonlinear generator dynamics, transmission line dynamics, and static nonlinear loads. We define a synchronous steady-state behavior which corresponds to…

The model of a non-Bayesian agent who faces a repeated game with incomplete information against Nature is an appropriate tool for modeling general agent-environment interactions. In such a model the environment state (controlled by Nature)…

This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…

Information in the time distribution of points in a state space reconstructed from observed data yields a test for ``nonstationarity''. Framed in terms of a statistical hypothesis test, this numerical algorithm can discern whether some…

In this paper we investigate equilibria of continuous differential equation models of network dynamics. The motivation comes from gene regulatory networks where each directed edge represents either down- or up-regulation, and is modeled by…

The conditional Gaussian nonlinear system (CGNS) is a broad class of nonlinear stochastic dynamical systems. Given the trajectories for a subset of state variables, the remaining follow a Gaussian distribution. Despite the conditionally…

Assurance of asymptotic trajectory tracking in robotic manipulators with a smooth control law in the presence of unmodeled dynamics or external disturbance is a challenging problem. Recently, it is asserted that it is achieved via a…

In many multi-agent systems, agents interact repeatedly and are expected to settle into stable, rational behavior over time. Yet in practice, behavior often drifts, and detecting such deviations in real time remains an open challenge. We…

We consider the problem of learning about and comparing the consequences of dynamic treatment strategies on the basis of observational data. We formulate this within a probabilistic decision-theoretic framework. Our approach is compared…

Organisms and ecological groups accumulate evidence to make decisions. Classic experiments and theoretical studies have explored this process when the correct choice is fixed during each trial. However, we live in a constantly changing…

In this technical note, we investigate an optimal output consensus problem for heterogeneous uncertain nonlinear multi-agent systems. The considered agents are described by high-order nonlinear dynamics subject to both static and dynamic…

We consider three different types of global uncertainty models for discrete-time stochastic processes: measure-theoretic upper expectations, game-theoretic upper expectations and axiomatic upper expectations. The last two are known to be…

This paper studies the estimation and inference of treatment effects in panel data settings when treatments change dynamically over time. We propose a balancing method that allows for (i) treatments to be assigned dynamically over time…

In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we…

This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…

We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that they react to…

This paper studies identification and estimation of a class of dynamic models in which the decision maker (DM) is uncertain about the data-generating process. The DM surrounds a benchmark model that he or she fears is misspecified by a set…

We consider an infinite horizon dynamic mechanism design problem with interdependent valuations. In this setting the type of each agent is assumed to be evolving according to a first order Markov process and is independent of the types of…