Collective behaviors of stochastic agent-based models and applications to finance and optimization
DOI10.1142/S021820252350032XzbMATH Open1517.34078OpenAlexW4360869590MaRDI QIDQ6133473FDOQ6133473
Seung-Yeal Ha, Euntaek Lee, Woojoo Shim, Dongnam Ko
Publication date: 24 July 2023
Published in: M\(^3\)AS. Mathematical Models \& Methods in Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021820252350032x
Recommendations
- Emergent dynamics of the first-order stochastic Cucker-Smale model and application to finance
- Collective aggregation of a linearly coupled stochastic Cucker-Smale ensemble on asymmetric networks
- Stochastic Cucker-Smale models: old and new
- A particle model for the herding phenomena induced by dynamic market signals
- Interacting multiagent systems. Kinetic equations and Monte Carlo methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear oscillations and coupled oscillators for ordinary differential equations (34C15) Asymptotic properties of solutions to ordinary differential equations (34D05) Biological rhythms and synchronization (92B25) Stability for nonlinear problems in mechanics (70K20)
Cites Work
- The pricing of options and corporate liabilities
- Optimization by Simulated Annealing
- Probability
- Stochastic differential equations. An introduction with applications.
- Mean field games
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Title not available (Why is that?)
- Synchronization in complex networks of phase oscillators: a survey
- Emergent Behavior in Flocks
- Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
- Continuous limit and the moments system for the globally coupled phase oscillators
- Synchronization: a universal concept in nonlinear sciences
- On the mathematical theory of the dynamics of swarms viewed as complex systems
- Heterophilious Dynamics Enhances Consensus
- Title not available (Why is that?)
- Swarming Patterns in a Two-Dimensional Kinematic Model for Biological Groups
- A proof of the Kuramoto conjecture for a bifurcation structure of the infinite-dimensional Kuramoto model
- APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY
- From particle to kinetic and hydrodynamic descriptions of flocking
- CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
- Credit risk: Modelling, valuation and hedging
- On the aggregation of information in competitive markets
- Synchronization analysis of Kuramoto oscillators
- The spectrum of the partially locked state for the Kuramoto model
- Asymptotic formation and orbital stability of phase-locked states for the Kuramoto model
- On Exponential Synchronization of Kuramoto Oscillators
- Noise-Induced Phenomena in Slow-Fast Dynamical Systems
- On the Critical Coupling for Kuramoto Oscillators
- On the complete phase synchronization for the Kuramoto model in the mean-field limit
- Title not available (Why is that?)
- The spectrum of the locked state for the Kuramoto model of coupled oscillators
- Emergence of phase-locked states for the Kuramoto model in a large coupling regime
- Quantum synchronization over quantum networks
- Global Phase-Locking in Finite Populations of Phase-Coupled Oscillators
- On Computing the Critical Coupling Coefficient for the Kuramoto Model on a Complete Bipartite Graph
- Non-Abelian Kuramoto models and synchronization
- Title not available (Why is that?)
- Existence of Partial Entrainment and Stability of Phase Locking Behavior of Coupled Oscillators
- An Introduction to Credit Risk Modeling
- Lyapunov function for the Kuramoto model of nonlinearly coupled oscillators
- Fully synchronous solutions and the synchronization phase transition for the finite-N Kuramoto model
- A Convergence Result for the Kuramoto Model with All-to-All Coupling
- A simple proof of the Cucker-Smale flocking dynamics and mean-field limit
- Emergence of time-asymptotic flocking in a stochastic Cucker-Smale system
- On collision-avoiding initial configurations to Cucker-Smale type flocking models
- Flocking and synchronization of particle models
- Stochastic flocking dynamics of the Cucker–Smale model with multiplicative white noises
- Towards a mathematical theory of behavioral human crowds
- On the mathematical theory of behavioral swarms emerging collective dynamics
- Asymptotic phase-locking dynamics and critical coupling strength for the Kuramoto model
- Convergence toward equilibrium of the first-order consensus model with random batch interactions
- Herding and Contrarian Behavior in Financial Markets
- Collective synchronization of classical and quantum oscillators
- A first-order reduction of the Cucker-Smale model on the real line and its clustering dynamics
- A consensus-based model for global optimization and its mean-field limit
- Emergence of stochastic flocking for the discrete Cucker-Smale model with randomly switching topologies
- Eulerian dynamics with a commutator forcing. II: Flocking
- Eulerian dynamics with a commutator forcing
- Eulerian dynamics with a commutator forcing. III: Fractional diffusion of order \(0 < \alpha < 1\)
- Random batch methods (RBM) for interacting particle systems
- A quest toward a mathematical theory of the dynamics of swarms
- Towards a mathematical theory of behavioral swarms
- Complete cluster predictability of the Cucker-Smale flocking model on the real line
- Vehicular traffic, crowds, and swarms: From kinetic theory and multiscale methods to applications and research perspectives
- Emergent Behaviors of Cucker–Smale Flocks on Riemannian Manifolds
- Almost global consensus on the n-sphere
- An analytical framework for consensus-based global optimization method
- Swarms dynamics approach to behavioral economy: theoretical tools and price sequences
- Corrections to “Stochastic Barbalat's Lemma and Its Applications” [Jun 12 1537-1543]
- Dynamics and Analysis of Alignment Models of Collective Behavior
- Stochastic Cucker-Smale models: old and new
- Global solutions to multi-dimensional topological Euler alignment systems
- Emergent behaviors of Lohe tensor flocks
- Emergence of phase-locked states for the Winfree model in a large coupling regime
- Synchronization on Riemannian Manifolds: Multiply Connected Implies Multistable
- Convergence and error estimates for time-discrete consensus-based optimization algorithms
- Convergence of a first-order consensus-based global optimization algorithm
- A mathematical model for multi-name credit based on community flocking
- On the interplay between behavioral dynamics and social interactions in human crowds
- Consensus-based optimization on hypersurfaces: Well-posedness and mean-field limit
- Emergent dynamics of Winfree oscillators on locally coupled networks
- Emergence of partial locking states from the ensemble of Winfree oscillators
- Synchronization hypothesis in the Winfree model
- Geometric structure of mass concentration sets for pressureless Euler alignment systems
- Trends in Consensus-Based Optimization
- A consensus-based global optimization method for high dimensional machine learning problems
- Multiflocks: Emergent Dynamics in Systems with Multiscale Collective Behavior
- Time-delayed stochastic volatility model
- Emergent behaviors of the discrete thermodynamic Cucker–Smale model on complete Riemannian manifolds
- On the Stochastic Flocking of the Cucker--Smale Flock with Randomly Switching Topologies
- On the stochastic singular Cucker–Smale model: Well-posedness, collision-avoidance and flocking
- The mean-field limit of the Cucker-Smale model on complete Riemannian manifolds
- Emergent collective behaviors of stochastic Kuramoto oscillators
- Stochastic persistency of nematic alignment state for the Justh–Krishnaprasad model with additive white noises
- A Cucker--Smale Inspired Deterministic Mean Field Game with Velocity Interactions
- Title not available (Why is that?)
- Emergent dynamics of the first‐order stochastic Cucker‐Smale model and application to finance
- Practical synchronization of Winfree oscillators in a random environment
- Stochastic consensus dynamics for nonconvex optimization on the Stiefel manifold: Mean-field limit and convergence
Cited In (8)
- Kinetic theory of active particles meets auction theory
- Existence and approximation of probability measure solutions to models of collective behaviors
- Title not available (Why is that?)
- Linking agent-based models and stochastic models of financial markets
- Agent-based methods in economics and finance. Simulations in Swarm
- A RANDOM CLUSTER PROCESS APPROACH TO COLLECTIVE MARKET DYNAMICS WITH LOCAL INTERACTIONS
- On the interactions of flocking particles with the Stokes flow in an infinite channel
- Smoothing processes and adaptation in models of collective behavior
This page was built for publication: Collective behaviors of stochastic agent-based models and applications to finance and optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6133473)