Critical Transitions in financial models: Bifurcation- and noise-induced phenomena

A so-called Critical Transition occurs when a small change in the input of a system leads to a large and rapid response. One class of Critical Transitions can be related to the phenomenon known in the theory of dynamical systems as a bifurcation, where a small parameter perturbation leads to a change in the set of attractors of the system. Another class of Critical Transitions are those induced by noisy increments, where the system switches randomly between coexisting attractors. In this thesis we study bifurcation- and noise-induced Critical Transitions applied to a variety of models in finance and economy. Firstly, we focus on a simple model for the bubbles and crashes observed in stock prices. The bubbles appear for certain values of the sensitivity of the price based on past prices, however, not always as a Critical Transition. Incorporating noise to the system gives rise to additional log-periodic structures which precede a crash. Based on the centre manifold theory we introduce a method for predicting when a bubble in this system can collapse. The second part of this thesis discusses traders' opinion dynamics captured by a recent model which is designed as an extension of a mean-field Ising model. It turns out that for a particular strength of contrarian attitudes, the traders behave chaotically. We present several scenarios of transitions through bifurcation curves giving the scenarios a market interpretation. Lastly, we propose a dynamical model where noise-induced transitions in a double-well potential stand for a company shifting from a healthy state to a defaulted state. The model aims to simulate a simple economy with multiple interconnected companies. We introduce several ways to model the coupling between agents and compare one of the introduced models with an already existing doubly-stochastic model. The main objective is to capture joint defaults of companies in a continuous-time dynamical system and to build a framework for further studies on systemic and individual risk

Foundations of Mechanics, Second Edition

Preface to the Second Edition. Since the first edition of this book appeared in 1967, there has been a great deal of activity in the field of symplectic geometry and Hamiltonian systems. In addition to the recent textbooks of Arnold, Arnold-Avez, Godbillon, Guillemin-Sternberg, Siegel-Moser, and Souriau, there have been many research articles published. Two good collections are "Symposia Mathematica," vol. XIV, and "Géométrie Symplectique el Physique Mathématique," CNRS, Colloque Internationaux, no. 237. There are also important survey articles, such as Weinstein [1977b]. The text and bibliography contain many of the important new references we are aware of. We have continued to find the classic works, especially Whittaker [1959], invaluable. The basic audience for the book remains the same: mathematicians, physicists, and engineers interested in geometrical methods in mechanics, assuming a background in calculus, linear algebra, some classical analysis, and point set topology. We include most of the basic results in manifold theory, as well as some key facts from point set topology and Lie group theory. Other things used without proof are clearly noted. We have updated the material on symmetry groups and qualitative theory, added new sections on the rigid body, topology and mechanics, and quantization, and other topics, and have made numerous corrections and additions. In fact, some of the results in this edition are new. We have made two major changes in notation: we now use f^* for pull-back (the first edition used f[sub]*), in accordance with standard usage, and have adopted the "Bourbaki" convention for wedge product. The latter eliminates many annoying factors of 2. A. N. Kolmogorov's address at the 1954 International Congress of Mathematicians marked an important historical point in the development of the theory, and is reproduced as an appendix. The work of Kolmogorov, Arnold, and Moser and its application to Laplace's question of stability of the solar system remains one of the goals of the exposition. For complete details of all tbe theorems needed in this direction, outside references will have to be consulted, such as Siegel-Moser [1971] and Moser [1973a]. We are pleased to acknowledge valuable assistance from Paul Chernoff, Wlodek Tulczyjew, Morris Hirsh, Alan Weinstein, and our invaluable assistant authors, Richard Cushman and Tudor Ratiu, who all contributed some of their original material for incorporation into the text. Also, we are grateful to Ethan Akin, Kentaro Mikami, Judy Arms, Harold Naparst, Michael Buchner, Ed Nelson, Robert Cahn, Sheldon Newhouse, Emil Chorosoff, George Oster, André Deprit, Jean-Paul Penot, Bob Devaney, Joel Robbin, Hans Duistermaat, Clark Robinson, John Guckenheimer, David Rod, Martin Gutzwiller, William Satzer, Richard Hansen, Dieter Schmidt, Morris Kirsch, Mike Shub, Michael Hoffman, Steve Smale, Andrei Iacob, Rich Spencer, Robert Jantzen, Mike Spivak, Therese Langer, Dan Sunday, Ken Meyer, Floris Takens, [and] Randy Wohl for contributions, remarks, and corrections which we have included in this edition. Further, we express our gratitude to Chris Shaw, who made exceptional efforts to transfom our sketches into the graphics which illustrate the text, to Peter Coha for his assistance in organizing the Museum and Bibliography, and to Ruthie Cephas, Jody Hilbun, Marnie McElhiney, Ruth (Bionic Fingers) Suzuki, and Ikuko Workman for their superb typing job. Theoretical mechanics is an ever-expanding subject. We will appreciate comments from readers regarding new results and shortcomings in this edition. RALPH ABRAHAM, JERROLD E. MARSDEN</p

TS fuzzy approach for modeling, analysis and design of non-smooth dynamical systems

There has been growing interest in the past two decades in studying the physical model of dynamical systems that can be described by nonlinear, non-smooth differential equations, i.e. non-smooth dynamical systems. These systems exhibit more colourful and complex dynamics compared to their smooth counterparts; however, their qualitative analysis and design are not yet fully developed and still open to exploration. At the same time, Takagi-Sugeno (TS) fuzzy systems have been shown to have a great ability to represent a large class of nonlinear systems and approximate their inherent uncertainties. This thesis explores an area of TS fuzzy systems that have not been considered before; that is, modelling, stability analysis and design for non-smooth dynamical systems. TS fuzzy model structures capable of representing or approximating the essential dis- continuous dynamics of non-smooth systems are proposed in this thesis. It is shown that by incorporating discrete event systems, the proposed structure for TS fuzzy models, which we will call non-smooth TS fuzzy models, can accurately represent the smooth (or contin- uous) as well as non-smooth (or discontinuous) dynamics of different classes of electrical and mechanical non-smooth systems including (sliding and non-sliding) Filippov's systems and impacting systems. The different properties of the TS fuzzy modelling (or formalism) are discussed. It is highlighted that the TS fuzzy formalism, taking advantage of its simple structure, does not need a special platform for its implementation. Stability in its new notion of structural stability (stability of a periodic solution) is one of the most important issues in the qualitative analysis of non-smooth systems. An important part of this thesis is focused on addressing stability issues by extending non- smooth Lyapunov theory for verifying the stability of local orbits, which the non-smooth TS fuzzy models can contain. Stability conditions are proposed for Filippov-type and impacting systems and it is shown that by formulating the conditions as Linear Matrix inequalities (LMIs), the onset of non-smooth bifurcations or chaotic phenomena can be detected by solving a feasibility problem. A number of examples are given to validate the proposed approach. Stability robustness of non-smooth TS fuzzy systems in the presence of model uncertainties is discussed in terms of non-smoothness rather than traditional observer design. The LMI stabilization problem is employed as a building block for devising design strategies to suppress the unwanted chaotic behaviour in non-smooth TS fuzzy models. There have been a large number of control applications in which the overall closed-loop sys tem can be stabilized by switching between pre-designed sub-controllers. Inspired by this idea, the design part of this thesis concentrates on fuzzy-chaos control strategies for Filippov-type systems. These strategies approach the design problem by switching be- tween local state-feedback controllers such that the closed-loop TS fuzzy system of interest rapidly converges to the stable periodic solution of the system. All control strategies are also automated as a design problem recast on linear matrix inequality conditions to be solved by modern optimization techniques. Keywords: Takagi-Sugeno fuzzy systems, non-smooth Lyapunov theory, non-smooth dy- namical systems, piecewise-smooth dynamical systems, structural stability, discontinuity- induced bifurcation, chaos controllers, dc-dc converters, Filippov's system, impacting system, linear matrix inequalities.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

[Book of abstracts]

USPFAPESPCAPESICMC Summer Meeting on Differential Equations (2015 São Carlos