arXiv subjects

Hamed Amini

Publications and source records attributed to Hamed Amini.

At least 19 recordsLinked to original sources

arXiv2026

Extended Graphon Mean-Field Games in Discrete Time

In this paper, we study games involving a continuum of heterogeneous players in the discrete-time setting with finite state spaces and continuous action spaces. We introduce a new model that incorporates joint state-action interactions within the graphon-weighted aggregate, described by a coupled forward-backward system. We establish the existence of graphon mean-field equilibria and characterize them through this forward-backward system. Additionally, we provide uniqueness results under monotonicity and contraction conditions. To illustrate the practical relevance of our framework, we solve an example of portfolio liquidation with price impact. We provide numerical results for three different graphons and two different initial distributions, illustrating the impact of the network's structure and the distribution heterogeneity on the distribution and the policy.

math.OC↗

arXiv2026

Dynamic Programming Principle and Stabilization for Mean-Field Quantum Filtering Systems

Working within the quantum filtering framework, we establish a dynamic programming principle in an infinite-dimensional setting by embedding the state space into the Hilbert-Schmidt space. We then study a stabilization problem for continuously monitored Ising-coupled qubits and, in the mean-field limit, demonstrate quantum state reduction together with exponential convergence toward prescribed eigenstates under suitable feedback laws.

quant-ph↗

arXiv2025

Brownian motion on the Fubini extension space and applications

We study a family of essentially pairwise independent Brownian motions indexed by a continuum of labels and show how the Fubini extension framework provides a rigorous way to represent such families as a single jointly measurable process. Within this framework, we address two main objectives: first, we show how a system of graphon stochastic differential equations can be reformulated as a single McKean-Vlasov type equation driven by a standard Brownian motion, which significantly facilitates its analysis. Second, we establish a Girsanov theorem for a continuum of essentially pairwise independent Brownian motions.

math.PR↗

arXiv2025

Graphon Quantum Filtering Systems

We consider a non-exchangeable system of interacting quantum particles with mean-field type interactions, subject to continuous measurement on dense graphs. In the mean-field limit, we derive a graphon-based quantum filtering system, establish its well-posedness, and prove propagation of chaos for multi-class bosonic systems with blockwise interactions. We then discuss applications to quantum state preparation and quantum graphon games.

math.PR↗

arXiv2024

Observed quantum particles system with graphon interaction

In this paper, we consider a system of heterogeneously interacting quantum particles subject to indirect continuous measurement. The interaction is assumed to be of the mean-field type. We derive a new limiting quantum graphon system, prove the well-posedness of this system, and establish a stability result.

math.AP↗

arXiv2023

Ruin-dependent bivariate stochastic fluid processes

This paper presents a novel model for bivariate stochastic fluid processes that incorporate a ruin-dependent behavioral switch. Unlike typical models that assume a shared underlying process, our model allows each process to operate independently until a ruin event in one triggers a change in the other. We develop a mathematical framework for our model, exploring its properties and providing closed-form expressions for approximations of key performance metrics, particularly the joint law of the ruin times. Our approach introduces a class of compatible pathwise approximations to analyze ruin probabilities, which we subsequently study through a matrix-analytic framework.

math.PR↗

arXiv2023

Modeling Inverse Demand Function with Explainable Dual Neural Networks

Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress, enabling crises to proliferate across a broad spectrum of seemingly unrelated entities. Price impacts are currently modeled via exogenous inverse demand functions. However, in real-world scenarios, only the initial shocks and the final equilibrium asset prices are typically observable, leaving actual asset liquidations largely obscured. This missing data presents significant limitations to calibrating the existing models. To address these challenges, we introduce a novel dual neural network structure that operates in two sequential stages: the first neural network maps initial shocks to predicted asset liquidations, and the second network utilizes these liquidations to derive resultant equilibrium prices. This data-driven approach can capture both linear and non-linear forms without pre-specifying an analytical structure; furthermore, it functions effectively even in the absence of observable liquidation data. Experiments with simulated datasets demonstrate that our model can accurately predict equilibrium asset prices based solely on initial shocks, while revealing a strong alignment between predicted and true liquidations. Our explainable framework contributes to the understanding and modeling of price-mediated contagion and provides valuable insights for financial authorities to construct effective stress tests and regulatory policies.

q-fin.CP↗

arXiv2023

Decentralized Prediction Markets and Sports Books

Prediction markets allow traders to bet on potential future outcomes. These markets exist for weather, political, sports, and economic forecasting. Within this work we consider a decentralized framework for prediction markets using automated market makers (AMMs). Specifically, we construct a liquidity-based AMM structure for prediction markets that, under reasonable axioms on the underlying utility function, satisfy meaningful financial properties on the cost of betting and the resulting pricing oracle. Importantly, we study how liquidity can be pooled or withdrawn from the AMM and the resulting implications to the market behavior. In considering this decentralized framework, we additionally propose financially meaningful fees that can be collected for trading to compensate the liquidity providers for their vital market function.

q-fin.MF↗

arXiv2023

Duration-dependent stochastic fluid processes and solar energy revenue modeling

We endow the classical stochastic fluid process with a duration-dependent Markovian arrival process (DMArP). We show that this provides a flexible model for the revenue of a solar energy generator. In particular, it allows for heavy-tailed interarrival times and for seasonality embedded into the state-space. It generalizes the calendar-time inhomogeneous stochastic fluid process. We provide descriptors of the first return of the revenue process. Our main contribution is based on the uniformization approach, by which we reduce the problem of computing the Laplace transform to the analysis of the process on a stochastic Poissonian grid. Since our process is duration dependent, our construction relies on translating duration form its natural grid to the Poissonian grid. We obtain the Laplace transfrom of the project value based on a novel concept of $n$-bridge and provide an efficient algorithm for computing the duration-level density of the $n$-bridge. Other descriptors such as the Laplace transform of the ruin process are further provided.

math.PR↗

arXiv2023

Stochastic Graphon Games with Jumps and Approximate Nash Equilibria

We study continuous stochastic games with heterogeneous mean field interactions and jumps on large networks and explore their limit counterparts. We introduce the graphon game model based on a controlled graphon mean field stochastic differential equation system with jumps, which can be regarded as the limiting case of a finite game dynamic system as the number of players goes to infinity. We examine the case of controlled dynamics, with control terms present in the drift, diffusion, and jump components. We focus on the study of Markovian controls and concentrate on the limit theory. We provide convergence results on the state trajectories and their laws, transitioning from finite game systems to graphon systems. We also study approximate equilibria for finite games on large networks, using the graphon equilibrium as a benchmark. The rates of convergence are analyzed under various underlying graphon models and regularity assumptions.

math.PR↗

arXiv2023

Ruin Probabilities for Risk Processes in Stochastic Networks

We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the problem, we introduce classification of agents according to an arbitrary countable set of types. The ruin of any agent triggers losses for all of its neighbours. We consider the case when the loss arrival process induced by the ensemble of ruined agents follows a Poisson process with general intensity function that scales with the network size. When the size of the network goes to infinity, we provide explicit ruin probabilities at the end of the loss propagation process for agents of any type. These limiting probabilities depend, in addition to the agents' types and the network structure, on the loss distribution and the loss arrival process. For a more complex risk processes on open networks, when in addition to the internal networked risk processes the agents receive losses from external users, we provide bounds on ruin probabilities.

math.PR↗

arXiv2021

Decentralized Payment Clearing using Blockchain and Optimal Bidding

In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a network of obligations through blockchain. In particular, we investigate default contagion in a network of smart contracts cleared through blockchain. In so doing, we provide an algorithm which constructs the blockchain so as to guarantee the payments can be verified and the miners earn a fee. We, additionally, consider the special case in which the blocks have unbounded capacity to provide a simple equilibrium clearing condition for the terminal net worths; existence and uniqueness are proven for this system. Finally, we consider the optimal bidding strategies for each firm in the network so that all firms are utility maximizers with respect to their terminal wealths. We first look for a mixed Nash equilibrium bidding strategies, and then also consider Pareto optimal bidding strategies. The implications of these strategies, and more broadly blockchain, on systemic risk are considered.

q-fin.RM↗

arXiv2021

Limit Theorems for Default Contagion and Systemic Risk

We consider a general tractable model for default contagion and systemic risk in a heterogeneous financial network, subject to an exogenous macroeconomic shock. We show that, under some regularity assumptions, the default cascade model could be transferred to a death process problem represented by balls-and-bins model. We also reduce the dimension of the problem by classifying banks according to different types, in an appropriate type space. These types may be calibrated to real-world data by using machine learning techniques. We then state various limit theorems regarding the final size of default cascade over different types. In particular, under suitable assumptions on the degree and threshold distributions, we show that the final size of default cascade has asymptotically Gaussian fluctuations. We next state limit theorems for different system-wide wealth aggregation functions and show how the systemic risk measure, in a given stress test scenario, could be related to the structure and heterogeneity of financial networks. We finally show how these results could be used by a social planner to optimally target interventions during a financial crisis, with a budget constraint and under partial information of the financial network.

q-fin.RM↗

arXiv2021

A Central Limit Theorem for Diffusion in Sparse Random Graphs

We consider bootstrap percolation and diffusion in sparse random graphs with fixed degrees, constructed by configuration model. Every node has two states: it is either active or inactive. We assume that to each node is assigned a nonnegative (integer) threshold. The diffusion process is initiated by a subset of nodes with threshold zero which consists of initially activated nodes, whereas every other node is inactive. Subsequently, in each round, if an inactive node with threshold $\theta$ has at least $\theta$ of its neighbours activated, then it also becomes active and remains so forever. This is repeated until no more nodes become activated. The main result of this paper provides a central limit theorem for the final size of activated nodes. Namely, under suitable assumptions on the degree and threshold distributions, we show that the final size of activated nodes has asymptotically Gaussian fluctuations.

math.PR↗

arXiv2020

Optimal Network Compression

This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial interbank network. We prove that this problem is, generically, NP-hard. We focus on objective functions generated by systemic risk measures under shocks to the financial network. We use this framework to study the (sub)optimality of the maximally compressed network. We conclude by studying the optimal compression problem for specific networks; this permits us to study, e.g., the so-called robust fragility of certain network topologies more generally as well as the potential benefits and costs of network compression. In particular, under systematic shocks and heterogeneous financial networks the robust fragility results of Acemoglu et al. (2015) no longer hold generally.

q-fin.RM↗

arXiv2020

Epidemic Spreading and Equilibrium Social Distancing in Heterogeneous Networks

We study a multi-type SIR epidemic process among a heterogeneous population that interacts through a network. When we base social contact on a random graph with given vertex degrees, we give limit theorems on the fraction of infected individuals. For a given social distancing individual strategies, we establish the epidemic reproduction number $R_0$ which can be used to identify network vulnerability and inform vaccination policies. In the second part of the paper we study the equilibrium of the social distancing game, in which individuals choose their social distancing level according to an anticipated global infection rate, which then must equal the actual infection rate following their choices. We give conditions for the existence and uniqueness of equilibrium. For the case of random regular graphs, we show that voluntary social distancing will always be socially sub-optimal.

physics.soc-ph↗

arXiv2019

Including Physics in Deep Learning -- An example from 4D seismic pressure saturation inversion

Geoscience data often have to rely on strong priors in the face of uncertainty. Additionally, we often try to detect or model anomalous sparse data that can appear as an outlier in machine learning models. These are classic examples of imbalanced learning. Approaching these problems can benefit from including prior information from physics models or transforming data to a beneficial domain. We show an example of including physical information in the architecture of a neural network as prior information. We go on to present noise injection at training time to successfully transfer the network from synthetic data to field data.

physics.geo-ph↗

arXiv2015

Bootstrap percolation in inhomogeneous random graphs

A bootstrap percolation process on a graph G is an "infection" process which evolves in rounds. Initially, there is a subset of infected nodes and in each subsequent round every uninfected node which has at least r infected neighbours becomes infected and remains so forever. The parameter r > 1 is fixed. We consider this process in the case where the underlying graph is an inhomogeneous random graph whose kernel is of rank 1. Assuming that initially every vertex is infected independently with probability p > 0, we provide a law of large numbers for the number of vertices that will have been infected by the end of the process. We also focus on a special case of such random graphs which exhibit a power-law degree distribution with exponent in (2,3). The first two authors have shown the existence of a critical function a_c(n) such that a_c(n)=o(n) with the following property. Let n be the number of vertices of the underlying random graph and let a(n) be the number of the vertices that are initially infected. Assume that a set of a(n) vertices is chosen randomly and becomes externally infected. If a(n) << a_c(n), then the process does not evolve at all, with high probability as n grows, whereas if a(n)>> a_c(n), then with high probability the final set of infected vertices is linear. Using the techniques of the previous theorem, we give the precise asymptotic fraction of vertices which will be eventually infected when a(n) >> a_c (n) but a(n) = o(n). Note that this corresponds to the case where p approaches 0.

math.PR↗