scholarly journals KYLE–BACK’S MODEL WITH A RANDOM HORIZON

2018 ◽  
Vol 21 (02) ◽  
pp. 1850016 ◽  
Author(s):  
JOSÉ MANUEL CORCUERA ◽  
GIULIA DI NUNNO
Keyword(s):  
Market Efficiency ◽  
Insider Trading ◽  
Continuous Time ◽  
Sufficient Conditions ◽  
Random Time ◽  
Release Time ◽  
Market Prices ◽  
Market Makers ◽  
Pricing Rules ◽  
Fundamental Value

The continuous-time version of Kyle [(1985) Continuous auctions and insider trading, Econometrica 53 (6), 1315–1335.] developed by Back [(1992) Insider trading in continuous time, The Review of Financial Studies 5 (3), 387–409.] is studied here. In Back’s model, there is asymmetric information in the market in the sense that there is an insider having information on the real value of the asset. We extend this model by assuming that the fundamental value evolves with time and that it is announced at a future random time. First, we consider the case when the release time of information is predictable to the insider and then when it is not. The goal of the paper is to study the structure of equilibrium, which is described by the optimal insider strategy and the competitive market prices given by the market makers. We provide necessary and sufficient conditions for the optimal insider strategy under general dynamics for the asset demands. Moreover, we study the behavior of the price pressure and the market efficiency. In particular, we find that when the random time is not predictable, there can be equilibrium without market efficiency. Furthermore, for the two cases of release time and for classes of pricing rules, we provide a characterization of the equilibrium.

scholarly journals Linear Bayesian equilibrium in insider trading with a random time under partial observations

2021 ◽  
Vol 6 (12) ◽  
pp. 13347-13357
Author(s):  
Kai Xiao ◽  
◽  
Yonghui Zhou ◽  
Keyword(s):  
Insider Trading ◽  
Partial Information ◽  
Market Liquidity ◽  
Random Time ◽  
Dynamic Programming Principle ◽  
Unimodal Function ◽  
Market Makers ◽  
Market Depth ◽  
Bayesian Equilibrium ◽  
Trading Model

<abstract><p>In this paper, the insider trading model of Xiao and Zhou (<italic>Acta Mathematicae Applicatae, 2021</italic>) is further studied, in which market makers receive partial information about a static risky asset and an insider stops trading at a random time. With the help of dynamic programming principle, we obtain a unique linear Bayesian equilibrium consisting of insider's trading intensity and market liquidity parameter, instead of none Bayesian equilibrium as before. It shows that (i) as time goes by, both trading intensity and market depth increase exponentially, while residual information decreases exponentially; (ii) with average trading time increasing, trading intensity decrease, but both residual information and insider's expected profit increase, while market depth is a unimodal function with a unique minimum with respect to average trading time; (iii) the less information observed by market makers, the weaker trading intensity and market depth are, but the more both expect profit and residual information are, which is in accord with our economic intuition.</p></abstract>

The λ-classification of continuous-time birth-and-death processes

2003 ◽  
Vol 35 (04) ◽  
pp. 1111-1130 ◽  
Author(s):  
Andrew G. Hart ◽  
Servet Martínez ◽  
Jaime San Martín
Keyword(s):  
Continuous Time ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Birth And Death Processes ◽  
Positive Recurrent ◽  
Necessary And Sufficient

We study the λ-classification of absorbing birth-and-death processes, giving necessary and sufficient conditions for such processes to be λ-transient, λ-null recurrent and λ-positive recurrent.

scholarly journals Nonfragile H∞ Filter Design for Nonlinear Continuous-Time System with Interval Time-Varying Delay

2018 ◽  
Vol 2018 ◽  
pp. 1-17
Author(s):  
Zhongda Lu ◽  
Guoliang Zhang ◽  
Yi Sun ◽  
Jie Sun ◽  
Fangming Jin ◽  
...  
Keyword(s):  
Continuous Time ◽  
Filter Design ◽  
Sufficient Conditions ◽  
Linear Matrix ◽  
Time Varying ◽  
Decoupling Method ◽  
Interval Time ◽  
Time Varying Delay ◽  
Error System ◽  
Delay Dependent

This paper investigates nonfragile H∞ filter design for a class of continuous-time delayed Takagi-Sugeno (T-S) fuzzy systems with interval time-varying delays. Filter parameters occur multiplicative gain variations according to the filter’s implementation, to handle this variations, a nonfragile H∞ filter is presented and a novel filtering error system is established. The nonfragile H∞ filter guarantees the filtering error system to be asymptotically stable and satisfies given H∞ performance index. By constructing a novel Lyapunov-Krasovskii function and using the linear matrix inequality (LMI), delay-dependent conditions are exploited to derive sufficient conditions for nonfragile designing H∞ filter. Using new matrix decoupling method to reduce the computational complexity, the filter parameters can be obtained by solving a set of linear matrix inequalities (LMIs). Finally, numerical examples are given to show the effectiveness of the proposed method.

Positive fractional continuous-time linear systems with singular pencils

2012 ◽  
Vol 60 (1) ◽  
pp. 9-12 ◽  
Author(s):  
T. Kaczorek
Keyword(s):  
Linear Systems ◽  
Continuous Time ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Descriptor Systems ◽  
State Variables ◽  
Algebraic Constraints ◽  
Necessary And Sufficient ◽  
Time Linear

Positive fractional continuous-time linear systems with singular pencils A method for checking the positivity and finding the solution to the positive fractional descriptor continuous-time linear systems with singular pencils is proposed. The method is based on elementary row and column operations of the fractional descriptor systems to equivalent standard systems with some algebraic constraints on state variables and inputs. Necessary and sufficient conditions for the positivity of the fractional descriptor systems are established.

TWO NEURON CNNS: SEARCH FOR LIMIT CYCLES

2010 ◽  
Vol 20 (04) ◽  
pp. 1137-1173 ◽  
Author(s):  
XAVIER VILASÍS-CARDONA ◽  
MIREIA VINYOLES-SERRA
Keyword(s):  
Parameter Space ◽  
Limit Cycles ◽  
Continuous Time ◽  
Sufficient Conditions ◽  
Parameter Range ◽  
Different Types

In this paper, we show sufficient conditions for the existence of limit cycles in the general continuous time two-neuron autonomous CNN. We find that different types of limit cycles correspond to different regions in the template parameter space. Actually, we are able to predict the CNN behavior from the template values for the full parameter range, except for two small bounded regions.

scholarly journals Finite frequency H∞control design for nonlinear systems

2021 ◽  
Vol 12 (1) ◽  
pp. 567
Author(s):  
Zineb Lahlou ◽  
Abderrahim EL-Amrani ◽  
Ismail Boumhidi
Keyword(s):  
Nonlinear Systems ◽  
Continuous Time ◽  
Closed Loop ◽  
Sufficient Conditions ◽  
Control Design ◽  
Loop Model ◽  
Finite Frequency

The work deals finite frequency H<sub>∞</sub> control design for continuous time nonlinear systems, we provide sufficient conditions, ensuring that the closed-loop model is stable. Simulations will be gifted to show level of attenuation that a H<sub>∞</sub> lower can be by our method obtained developed where further comparison.

scholarly journals Limit theorems for some continuous-time random walks

2011 ◽  
Vol 43 (3) ◽  
pp. 782-813 ◽  
Author(s):  
M. Jara ◽  
T. Komorowski
Keyword(s):  
Markov Chain ◽  
Random Walk ◽  
Random Walks ◽  
Quantum Transport ◽  
Continuous Time ◽  
Limit Theorems ◽  
Transport Theory ◽  
Sufficient Conditions ◽  
Continuous Time Random Walks ◽  
Quantum Transport Theory

In this paper we consider the scaled limit of a continuous-time random walk (CTRW) based on a Markov chain {Xn,n≥ 0} and two observables, τ(∙) andV(∙), corresponding to the renewal times and jump sizes. Assuming that these observables belong to the domains of attraction of some stable laws, we give sufficient conditions on the chain that guarantee the existence of the scaled limits for CTRWs. An application of the results to a process that arises in quantum transport theory is provided. The results obtained in this paper generalize earlier results contained in Becker-Kern, Meerschaert and Scheffler (2004) and Meerschaert and Scheffler (2008), and the recent results of Henry and Straka (2011) and Jurlewicz, Kern, Meerschaert and Scheffler (2010), where {Xn,n≥ 0} is a sequence of independent and identically distributed random variables.

scholarly journals Observer-Based H ∞ Fuzzy Synchronization and Output Tracking Control of Time-Varying Delayed Chaotic Systems

2021 ◽  
Vol 2021 ◽  
pp. 1-21
Author(s):  
Kuan-Yi Lin ◽  
Tung-Sheng Chiang ◽  
Chian-Song Chiu ◽  
Wen-Fong Hu ◽  
Peter Liu
Keyword(s):  
Continuous Time ◽  
Tracking Control ◽  
Chaotic Systems ◽  
Sufficient Conditions ◽  
Control Design ◽  
Practical Consideration ◽  
Time Varying ◽  
Fuzzy Observer ◽  
Output Tracking ◽  
Output Tracking Control

Tracking control for the output using an observer-based H ∞ fuzzy synchronization of time-varying delayed discrete- and continuous-time chaotic systems is proposed in this paper. First, from a practical point of view, the chaotic systems here consider the influence of time-varying delays, disturbances, and immeasurable states. Then, to facilitate a uniform control design approach for both discrete- and continuous-time chaotic systems, the dynamic models along with time-varying delays and disturbances are reformulated using the T-S (Takagi–Sugeno) fuzzy representation. For control design considering immeasurable states, a fuzzy observer achieves master-slave synchronization. Third, combining both a fuzzy observer for state estimation and a controller (solved from generalized kinematic constraints) output tracking can be achieved. To make the design more practical, we also consider differences of antecedent variables between the plant, observer, and controller. Finally, using Lyapunov’s stability approach, the results are sufficient conditions represented as LMIs (linear matrix inequalities). The contributions of the method proposed are threefold: (i) systemic and unified problem formulation of master-slave synchronization and tracking control for both discrete and continuous chaotic systems; (ii) practical consideration of time-varying delay, immeasurable state, different antecedent variables (of plant, observer, and controller), and disturbance in the control problem; and (iii) sufficient conditions from Lyapunov’s stability analysis represented as LMIs which are numerically solvable observer and controller gains from LMIs. We carry out numerical simulations on a chaotic three-dimensional discrete-time system and continuous-time Chua’s circuit. Satisfactory numerical results further show the validity of the theoretical derivations.

scholarly journals On the Convergence of Continuous-Time Waveform Relaxation Methods for Singular Perturbation Initial Value Problems

2012 ◽  
Vol 2012 ◽  
pp. 1-11 ◽  
Author(s):  
Yongxiang Zhao ◽  
Li Li
Keyword(s):  
Singular Perturbation ◽  
Continuous Time ◽  
Initial Value Problems ◽  
Sufficient Conditions ◽  
Relaxation Method ◽  
Waveform Relaxation ◽  
Initial Value ◽  
Relaxation Methods ◽  
Waveform Relaxation Method ◽  
Time Waveform

This paper extends the continuous-time waveform relaxation method to singular perturbation initial value problems. The sufficient conditions for convergence of continuous-time waveform relaxation methods for singular perturbation initial value problems are given.

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