arXiv subjects

Zsolt Bihary

Publications and source records attributed to Zsolt Bihary.

5 recordsLinked to original sources

arXiv2025

Self-respecting worker in the precarious gig economy: A dynamic principal-agent model

We develop a continuous-time principal-agent model of gig work, where contractual flexibility allows the employer to adjust fixed pay and output-based incentives dynamically. The worker's participation depends on a backward-looking reference value--an exponentially weighted average of net payoff from past employment--capturing a self-respect--driven wage demand. If an offer's expected utility falls short of the reference value, the worker rejects the contract, resulting in temporary unemployment. Accepted contracts transmit output volatility to the worker through a sensitivity parameter, inducing instability into earnings and employment. The employer's optimal threshold policies strategically use this volatility transfer to regulate the worker's wage demands. In the first-best case, the principal imposes maximal volatility to drive the reference value down to its minimum, after which volatility transfer ceases entirely. In the second-best case, the need to incentivize effort ensures ongoing volatility transfer. Stationary analysis predicts a humped-shaped relationship between worker sensitivity and the principal's profit. If sensitivity is too low, the worker's wage demands are overly rigid and difficult to regulate, while if it is too high, their demands become excessively volatile, which eventually erodes the principal's control.

econ.GN↗

arXiv2019

Analytic solutions in a continuous-time financial market model

We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price dynamics and profitability either within deterministic models or by simulation. Our novel formulation lends itself to analytic treatment even in the stochastic case. We prove conditions for the (stochastic) stability of the price process, and also for the price to mean-revert to the fundamental value. Assuming stability, we derive analytic formulae on how the population ratios influence price dynamics and the profitability of the strategies. Our results suggest that whichever trader type is more present in the market will achieve higher returns.

econ.GN↗

arXiv2011

Analytic results and weighted Monte Carlo simulations for CDO pricing

We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a pool of (typically about 100) assets, Monte Carlo simulations are often the only feasible approach to pricing. Variance reduction techniques are therefore of great importance. This paper presents an exact analytic solution using Laplace-transform and MC importance sampling results for an easily tractable intensity-based model of the CDO, namely the compound Poissonian. Furthermore analytic formulae are derived for the reweighting efficiency. The computational gain is appealing, nevertheless, even in this basic scheme, a phase transition can be found, rendering some parameter regimes out of reach. A model-independent transform approach is also presented for CDO pricing.

q-fin.CP↗

arXiv2002

An Implementation of the Deutsch-Jozsa Algorithm on Molecular Vibronic Coherences Through Four-Wave Mixing: a Theoretical Study

Time-Frequency Resolved Coherent Anti-Stokes Raman Scattering (TFRCARS) was recently proposed as a means to implement quantum logic using the molecular ro-vibrational manifold as a quantum register [R. Zadoyan et al., Chem. Phys. 266, 323 (2001)]. We give a concrete example of how this can be accomplished through an illustrative algorithm that solves the Deutsch-Jozsa problem. We use realistic molecular parameters to recognize that, as the problem size expands, shaped pulses must be tailored to maintain fidelity of the algorithm.

quant-ph↗

arXiv2001

From Completely Positive Maps to the Quantum Markovian Semigroup Master Equation

A central problem in the theory of the dynamics of open quantum systems is the derivation of a rigorous and computationally tractable master equation for the reduced system density matrix. Most generally, the evolution of an open quantum system is described by a completely positive linear map. We show how to derive a completely positive Markovian master equation (the Lindblad equation) from such a map by a coarse graining procedure. We provide a novel and explicit recipe for calculating the coefficients of the master equation, using perturbation theory in the weak-coupling limit. The only parameter external to our theory is the coarse-graining time-scale. We illustrate the method by explicitly deriving the master equation for the spin-boson model. The results are evaluated for the exactly solvable case of pure dephasing, and an excellent agreement is found within the timescale where the Markovian approximation is expected to be valid. The method can be extended in principle to include non-Markovian effects.

cond-mat↗