2014, Su, Z., Li, L., Peng, H., Kurths, J., Xiao, J., Yang, Y.

The vulnerability to real-life networks against small initial attacks has been one of outstanding challenges in the study of interrelated networks. We study cascading failures in two interrelated networks S and B composed from dependency chains and connectivity links respectively. This work proposes a realistic model for cascading failures based on the redistribution of traffic flow. We study the Barabási-Albert networks (BA) and Erd's-Rényi graphs (ER) with such structure, and found that the efficiency sharply decreases with increasing percentages of the dependency nodes for removing a node randomly. Furthermore, we study the robustness of interrelated traffic networks, especially the subway and bus network in Beijing. By analyzing different attacking strategies, we uncover that the efficiency of the city traffic system has a non-equilibrium phase transition at low capacity of the networks. This explains why the pressure of the traffic overload is relaxed by singly increasing the number of small buses during rush hours. We also found that the increment of some buses may release traffic jam caused by removing a node of the bus network randomly if the damage is limited. However, the efficiencies to transfer people flow will sharper increase when the capacity of the subway network αS > α0.

2020, Laeven, Roger J. A., Schoenmakers, John G. M., Schweizer, Nikolaus F. F., Stadje, Mitja

In this paper we develop a solution method for general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model uncertainty, and for general reward processes driven by multi-dimensional jump-diffusions. Our approach relies on first establishing robust martingale dual representation results for the multiple stopping problem which satisfy appealing path-wise optimality (almost sure) properties. Next, we exploit these theoretical results to develop upper and lower bounds which, as we formally show, not only converge to the true solution asymptotically, but also constitute genuine upper and lower bounds. We illustrate the applicability of our general approach in a few examples and analyze the impact of model uncertainty on optimal multiple stopping strategies.

2015, Krätschmer, Volker, Ladkau, Marcel, Laeven, Roger J.A., Schoenmakers, John G.M., Stadje, Mitja

This paper studies the optimal stopping problem in the presence of model uncertainty (ambiguity). We develop a method to practically solve this problem in a general setting, allowing for general time-consistent ambiguity averse preferences and general payoff processes driven by jump-diffusions. Our method consists of three steps. First, we construct a suitable Doob martingale associated with the solution to the optimal stopping problem using backward stochastic calculus. Second, we employ this martingale to construct an approximated upper bound to the solution using duality. Third, we introduce backward-forward simulation to obtain a genuine upper bound to the solution, which converges to the true solution asymptotically. We analyze the asymptotic behavior and convergence properties of our method. We illustrate the generality and applicability of our method and the potentially significant impact of ambiguity to optimal stopping in a few examples.