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On robust consensus of multi-agent systems with communication delays

Jiangping Hu (2009)

Kybernetika

In this paper, two robust consensus problems are considered for a multi-agent system with various disturbances. To achieve the robust consensus, two distributed control schemes for each agent, described by a second-order differential equation, are proposed. With the help of graph theory, the robust consensus stability of the multi-agent system with communication delays is obtained for both fixed and switching interconnection topologies. The results show the leaderless consensus can be achieved with...

On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model

Jacek Jakubowski, Maciej Wiśniewolski (2013)

Studia Mathematica

We find a probabilistic representation of the Laplace transform of some special functional of geometric Brownian motion using squared Bessel and radial Ornstein-Uhlenbeck processes. Knowing the transition density functions of these processes, we obtain closed formulas for certain expectations of the relevant functional. Among other things we compute the Laplace transform of the exponent of the T transforms of Brownian motion with drift used by Donati-Martin, Matsumoto, and Yor in a variety of identities...

On suprema of Lévy processes and application in risk theory

Renming Song, Zoran Vondraček (2008)

Annales de l'I.H.P. Probabilités et statistiques

Let X̂=C−Y where Y is a general one-dimensional Lévy process and C an independent subordinator. Consider the times when a new supremum of X̂ is reached by a jump of the subordinator C. We give a necessary and sufficient condition in order for such times to be discrete. When this is the case and X̂ drifts to −∞, we decompose the absolute supremum of X̂ at these times, and derive a Pollaczek–Hinchin-type formula for the distribution function of the supremum.

On the complexity of the Shapley-Scarf economy with several types of goods

Katarína Cechlárová (2009)

Kybernetika

In the Shapley-Scarf economy each agent is endowed with one unit of an indivisible good (house) and wants to exchange it for another, possibly the most preferred one among the houses in the market. In this economy, core is always nonempty and a core allocation can be found by the famous Top Trading Cycles algorithm. Recently, a modification of this economy, containing Q >= 2 types of goods (say, houses and cars for Q=2) has been introduced. We show that if the number of agents is 2, a complete...

On the control of the difference between two Brownian motions: an application to energy markets modeling

Thomas Deschatre (2016)

Dependence Modeling

We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of countermonotonicity with a negative correlation. This model of dependence between two Brownian motions B1 and B2 allows for the value of [...] to be higher than 1/2 when x is close to 0, which is not the case when the dependence is modeled by a constant...

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