Related papers: Explicit solution of the optimal fluctuation probl…
Random acceleration is a fundamental stochastic process encountered in many applications. In the one-dimensional version of the process a particle is randomly accelerated according to the Langevin equation $\ddot{x}(t) = \sqrt{2D} \xi(t)$,…
The remarkable accuracy and versatility of single-molecule techniques make possible new measurements that are not feasible in bulk assays. Among these, the precise estimation of folding free energies using fluctuation theorems in…
Generating function equation has been derived for the probability distribution of the number of nodes with $k \ge 0$ outgoing lines in randomly evolving special trees. The stochastic properties of end-nodes (k=0) have been analyzed, and it…
We study the half-space KPZ equation with a Neumann boundary condition, starting from stationary Brownian initial data. We derive a variance identity that links the fluctuations of the height function to the transversal fluctuations of a…
This paper studies the optimality of the Follow-the-Perturbed-Leader (FTPL) policy in both adversarial and stochastic $K$-armed bandits. Despite the widespread use of the Follow-the-Regularized-Leader (FTRL) framework with various choices…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
This paper presents a scalable method for improving the solutions of AC Optimal Power Flow (AC OPF) with respect to deviations in predicted power injections from wind and other uncertain generation resources. The focus of the paper is on…
We study a gas of hard rods on a ring, driven by an external thermostat, with either elastic or inelastic collisions, which exhibits sub-diffusive behavior $<x^2 > \sim t^{1/2}$. We show the validity of the usual Fluctuation-Dissipation…
The 2-D Peskin problem describes a 1-D closed elastic string immersed and moving in a 2-D Stokes flow that is induced by its own elastic force. The geometric shape of the string and its internal stretching configuration evolve in a coupled…
We investigate a class of stochastic fragmentation processes involving stable and unstable fragments. We solve analytically for the fragment length density and find that a generic algebraic divergence characterizes its small-size tail.…
Suppose that $(Z_n)_{n\geq0}$ is a supercritical branching process in independent and identically distributed random environment. The right tail function of the scaled growth rate for $(Z_n)_{n\geq0}$ is studied. The upper bounds for…
We report on a study of the shape of a stiff, charged rod that is subjected to equal and opposite force couples at its two ends. Unlike a neutral elastic rod, which forms a constant curvature configuration under such influences, the charged…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
Recurrent representations for an electron transmission and reflection amplitudes for a one-dimensional chain are obtained. The linear differential equations for scattering amplitudes of an arbitrary potential are found.
The article reviews recent developments in the theory of fluctuations and correlations of energy levels and eigenfunction amplitudes in diffusive mesoscopic samples. Various spatial geometries are considered, with emphasis on…
We consider the Anderson model on a strip. Assuming that potentials have bounded density with considerable tails we get a lower bound for the fluctuations of the logarithm of the Green's function in a finite box. This implies an effective…
We study the dynamics of three elastic particles in a finite interval where two light particles are separated by a heavy ``piston''. The piston undergoes surprisingly complex motion that is oscillatory at short time scales but seemingly…
We present two alternative formulations for the distribution of the fluctuating two-ray (FTR) fading model, which simplify its statistical characterization and subsequent use for performance evaluation. New expressions for the probability…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
Thermally activated particle motion in disorder potentials is controlled by the large-$\Delta V$ tail of the distribution of height $\Delta V$ of the potential barriers created by the disorder. We employ the optimal fluctuation method to…