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We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...
In this paper, a dissipative version of the Benjamin–Ono dynamics is shown to faithfully model the collective evolution of swarms of scalar Cauchy stochastic agents obeying a follow-the-leader interaction rule. Due to the Hilbert transform, the swarm dynam ...
Beliefs inform the behaviour of forward-thinking agents in complex environments. Recently, sequential Bayesian inference has emerged as a mechanism to study belief formation among agents adapting to dynamical conditions. However, we lack critical theory to ...
he concept of ranked order probability distribution unveils natural probabilistic interpretations for the kink waves (and hence the solitons) solving higher order dispersive Burgers’ type PDEs. Thanks to this underlying structure, it is possible to propose ...
We extend the celebrated Rothschild and Stiglitz (1970) definition of Mean-Preserving Spreads to a dynamic framework. We adapt the original integral conditions to transition probability densities, and give sufficient conditions for their satisfaction. We t ...
We consider the dynamics of swarms of scalar Brownian agents subject to local imitation mechanisms implemented using mutual rank-based interactions. For appropriate values of the underlying control parameters, the swarm propagates tightly and the distances ...
MDPI AG2016
The collective behaviour of stochastic multi-agents swarms driven by Gaussian and non-Gaussian environments is analytically discussed in a mean-field approach. We first exogenously implement long range mutual interactions rules with strengths that are weig ...
This paper is based on the premise that economic growth is driven by an interplay between innovation and imitation in an economy composed of interacting ̄rms operating in a stochastic environment. A novel approach to modeling imitation is presented based o ...
Femtosecond-laser-written patterns at the surface of brittle materials may show at random times spontaneous alternations from regular to disordered structures and vice versa. Here, we show that these random transitions carry relevant statistical informatio ...
We study some linear and nonlinear shot noise models where the jumps are drawn from a compound Poisson process with jump sizes following an Erlang-m distribution. We show that the associated Master equation can be written as a spatial mth order partial dif ...
