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Equation-free methods make possible an analysis of the evolution of a few coarse-grained or macroscopic quantities for a detailed and realistic model with a large number of fine-grained or microscopic variables, even though no equations are…
We consider the dynamics of a 1D system evolving according to a deterministic drift and randomly forced by two types of jumps processes, one representing an external, uncontrolled forcing and the other one a control that instantaneously…
Nonequilibrium response theory is a fundamental framework for understanding how physical systems respond to perturbations. Recently, a mutual linearity has been discovered for Markov jump processes using linear algebra analysis. This mutual…
We study a class of Piecewise Deterministic Markov Processes with state space Rd x E where E is a finite set. The continuous component evolves according to a smooth vector field that is switched at the jump times of the discrete coordinate.…
In this paper, we study a very general stochastic variational inequality(SVI) having jumps, random coefficients, delay, and path dependence, in infinite dimensions. Well-posedness in terms of the existence and uniqueness of a solution is…
An algorithm is proposed for finding numerical solutions of a kinetic equation that describes an infinite system of point articles placed in $\mathbb{R}^d (d \geq 1)$. The particles perform random jumps with pair wise repulsion, in the…
This paper introduces a linear state-space model with time-varying dynamics. The time dependency is obtained by forming the state dynamics matrix as a time-varying linear combination of a set of matrices. The time dependency of the weights…
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For L\'evy processes, a widely applied class of stochastic processes, these notions have not been studied. By the…
The Lindblad equation describes the time evolution of a density matrix of a quantum mechanical system. Stationary solutions are obtained by time-averaging the solution, which will in general depend on the initial state. We provide an…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
We establish an invariance principle for a one-dimensional random walk in a dynamical random environment given by a speed-change exclusion process. The jump probabilities of the walk depend on the configuration of the exclusion in a finite…
A State Space Model (SSM) is a foundation model in time series analysis, which has recently been shown as an alternative to transformers in sequence modeling. In this paper, we theoretically study the generalization of SSMs and propose…
This paper concerns periodic solutions for a 1D-model with nonlocal velocity given by the periodic Hilbert transform. There is a rich literature showing that this model presents singular behavior of solutions via numerics and mathematical…
Standard methods for detecting discontinuities in conditional means are not applicable to outcomes that are complex, non-Euclidean objects like distributions, networks, or covariance matrices. This article develops a nonparametric test for…
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework is given as an abstract "martingale formulation", which…
The motion of a collisionless plasma - a high-temperature, low-density, ionized gas - is described by the Vlasov-Maxwell (VM) system. These equations are considered in one space dimension and two momentum dimensions without the assumption…
This paper investigates almost sure exponential stabilization of continuous-time Markov jump linear systems (MJLSs) under communication data-rate constraints by introducing sampling and quantization into the feedback control. Different from…
Using the principles of the ETH - Approach to Quantum Mechanics we study fluorescence and the phenomenon of ``quantum jumps'' in idealized models of atoms coupled to the quantized electromagnetic field. In a limiting regime where the…
By means of an original approach, called "method of the moving frame", we establish existence, uniqueness and stability results for mild and weak solutions of stochastic partial differential equations (SPDEs) with path dependent…
We present a method of parameter estimation for large class of nonlinear systems, namely those in which the state consists of output derivatives and the flow is linear in the parameter. The method, which solves for the unknown parameter by…