Search results for "stochastic"
showing 10 items of 1018 documents
A Unified Approach to Portfolio Optimization with Linear Transaction Costs
2004
In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…
Many-body applications of the stochastic limit: a review
2005
We review some applications of the perturbative technique known as the {\em stochastic limit approach} to the analysis of the following many-body problems: the fractional quantum Hall effect, the relations between the Hepp-Lieb and the Alli-Sewell models (as possible models of interaction between matter and radiation), and the open BCS model of low temperature superconductivity.
Stochastic model for complex surface-reaction systems with application toNH3formation
1993
A stochastic model is introduced that is appropriate to describe surface-reaction systems. These reaction systems are well suited for the description via master equations using their Markovian behavior. In this representation an infinite chain of master equations for the distribution functions of the state of the surface, of pairs of surface sites, etc., arises. This hierarchy is truncated by a superposition approximation. The resulting lattice equations are solved in a small region which contains all of the structure-sensitive aspects and can be connected to continuous functions which represent the behavior of the system for large distances from a reference point. In the present paper, we …
Global Synchronization via Homogeneous Nucleation in Oscillating Surface Reactions
1999
The mechanism leading to globally synchronized oscillations in the $\mathrm{CO}+{\mathrm{O}}_{2}/\mathrm{Pt}\left(110\right)$ reaction system is investigated by means of Monte Carlo simulations. The model considers the reconstruction of the surface via phase border propagation and spontaneous phase nucleation. The reason for global oscillations turns out to be the spontaneous phase nucleation. This nucleation, which is modeled as a weak noise process, results in a random creation of dynamic defects and leads to global synchronization via stochastic resonance. The mechanism of global coupling via the gas phase, as it is proposed to date, does not occur.
The Action Principle in Classical Electrodynamics
2001
The main purpose of this chapter is to consider the formulation of a relativistic point particle in classical electrodynamics from the viewpoint of Lagrangian mechanics. Here, the utility of Schwinger’s action principle is illustrated by employing three different kinds of action to derive the equations of motion and the associated surface terms.
Non-volatile memory characteristics of a Ti/HfO2/Pt synaptic device with a crossbar array structure
2022
The resistive switching and synaptic behavior of a fabricated Ti/HfO2/Pt crossbar array device are investigated. The results demonstrated that TiOx layers are created by the movement of oxygen ions during the positive SET process, thereby improving the endurance and multilevel switching behavior of the device. The random properties of SET process were described with the help of stochastic model of memristor based on the length of conductive filament. The analysis of the mean first passage time allows estimating the parameters of the dielectric switching layer such as the activation energy of the diffusive defects, its variation under the influence of the driving voltage and the value of the…
Technical efficiency and regional disparities in Italy
2019
This paper is a contribution to the literature on Italy's regional disparities with a focus on the nature and determinants of firms' technical efficiency. Our analysis concerns a vast number of Italian firms for the decade 2008-2017 and considers the firms that are annually obliged to deposit their balance sheet. A frontier stochastic analysis is used as a method for estimating the technical efficiency of each firm. Our results offer a detailed representation on a provincial basis of disparity gaps. Moreover econometric analysis provides convincing evidence on the importance of territorial variables in the determinants of technical efficiency.
Smart cities: a policy tool for city efficiency?
2016
The level of interest in smart cities has been growing during these last years. The academic literature (Hollands, 2008; Caragliu et al., 2009, Nijkamp et al., 2011 and Lombardi et al., 2012) has identified a number of factors that characterise a city as smart, such as economic development, business-friendly, environmental sustainability, social innovation, information and knowledge process, and human and social capital. Thus, the smartness concept is strictly linked to urban efficiency in a multifaceted way as well as to citizens’ wellbeing through the use of appropriate technologies. Instead, from a “political perspective” smartness is mainly related to the ability of using ICT as instrum…
Challenging aspects in Consensus protocols for networks
2008
Results on consensus protocols for networks are presented. The basic tools and the main contribution available in the literature are considered, together with some of the related challenging aspects: estimation in networks and how to deal with disturbances is considered. Motivated by applications to sensor, peer-to- peer, and ad hoc networks, many papers have considered the problem of estimation in a consensus fashion. Here, the unknown but bounded (UBB) noise affecting the network is addressed in details. Because of the presence of UBB disturbances convergence to equilibria with all equal components is, in general, not possible. The solution of the epsiv-consensus problem, where the states…
A solution to the stochastic point location problem in metalevel nonstationary environments.
2008
This paper reports the first known solution to the stochastic point location (SPL) problem when the environment is nonstationary. The SPL problem involves a general learning problem in which the learning mechanism (which could be a robot, a learning automaton, or, in general, an algorithm) attempts to learn a "parameter," for example, lambda*, within a closed interval. However, unlike the earlier reported results, we consider the scenario when the learning is to be done in a nonstationary setting. For each guess, the environment essentially informs the mechanism, possibly erroneously (i.e., with probability p), which way it should move to reach the unknown point. Unlike the results availabl…