相关论文: Chaotic Dynamics in Optimal Monetary Policy

The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset. It yields as…

We solve time-reversed stochastic inflation in the semi-infinite flat potential with a constant drift term and derive an exact expression for the probability distribution of the curvature fluctuations. It exhibits exponential decaying tails…

The convex analytic method has proved to be a very versatile method for the study of infinite horizon average cost optimal stochastic control problems. In this paper, we revisit the convex analytic method and make three primary…

The stability of the inflation rate is a necessary condition for the proper functioning of any capitalist economy. In an economic environment with volatile inflation, the growth of the economy and its distribution among the agents of…

Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…

This paper provides a detailed analysis of the local determinacy of monetary and non-monetary steady states in Tirole (1985)'s classical two-period overlapping generations model with capital and production. We show that the sufficient…

Direct policy search has achieved great empirical success in reinforcement learning. Recently, there has been increasing interest in studying its theoretical properties for continuous control, and fruitful results have been established for…

Classic inflation, the theory described in textbooks, is based on the idea that, beginning from typical initial conditions and assuming a simple inflaton potential with a minimum of fine-tuning, inflation can create exponentially large…

A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…

The new business paradigms originate a strong necessity to re-think the theory of the firm with the aim to get a better understanding on the organizational and functional principles of the firm, operating in the investment economies in the…

Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…

Empirical modelling often aims for the simplest model consistent with the data. A new technique is presented which quantifies the consistency of the model dynamics as a function of location in state space. As is well-known, traditional…

Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this well-known phenomenon we study robust growth-optimization…

The paper considers a stabilizing stochastic control which can be applied to a variety of unstable and even chaotic maps. Compared to previous methods introducing control by noise, we relax assumptions on the class of maps, as well as…

This paper proposes a theory of pricing premised upon the assumptions that customers dislike unfair prices---those marked up steeply over cost---and that firms take these concerns into account when setting prices. Since they do not observe…

This paper revisits a well-studied anti-plane shear deformation problem formulated by Knowles in 1976 and analytical solutions in general nonlinear elasticity proposed by Gao since 1998. Based on minimum potential principle, a…

This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…

This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…

The goal of this investigation was to derive strictly new properties of chaotic systems and their mutual relations. The generalized Fokker-Planck equation with a non stationary diffusion has been derived and used for chaos analysis. An…

In this article, we discuss two algorithms tailored to discrete-time deterministic finite-horizon nonlinear optimal control problems or so-called deterministic trajectory optimization problems. Both algorithms can be derived from an…