4 papers
Stochastic Passivity in Stochastic Differential Equations: A Port-Hamiltonian Perspective
Julia Ackermann, Thomas Kruse, Stefan Tappe
We extend deterministic port-Hamiltonian systems (PHS) to a stochastic framework by means of stochastic differential equations. As the dissipation inequality plays a crucial role f…
Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate…
Modelling car-following dynamics with stochastic input-state-output port-Hamiltonian systems
Julia Ackermann, Matthias Ehrhardt, Thomas Kruse +1
In this contribution, we introduce a general class of car-following models with an input-state-output port-Hamiltonian structure. We derive stability conditions and long-term behav…
Stabilisation of stochastic single-file dynamics using port-Hamiltonian systems
Julia Ackermann, Matthias Ehrhardt, Thomas Kruse +1
This study revisits a recently proposed symmetric port-Hamiltonian single-file model in one dimension. The uniform streaming solutions are stable in the deterministic model. Howeve…