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This paper focuses on time-varying delayed stochastic differential systems with stochastically switching parameters formulated by a unified switching behavior combining a discrete adapted process and a Cox process. Unlike prior studies…
The discrete class algorithm presented in this paper is an efficient simulation tool for stochastic processes governed by a reasonably small set of transition rates. The algorithm is presented, its performance compared to prevailing methods…
We study the long-term qualitative behavior of randomly perturbed dynamical systems. More specifically, we look at limit cycles of stochastic differential equations (SDE) with Markovian switching, in which the process switches at random…
This paper introduces a spectral analysis of time-seires data derived from real-time time-dependent density functional theory (TDDFT) using Singular Spectrum Analysis (SSA). TDDFT is a robust method for obtaining molecular excited states…
We study stochastic differential equations (SDEs) whose drift and diffusion coefficients are path-dependent and controlled. We construct a value process on the canonical path space, considered simultaneously under a family of singular…
For a wide class of continuous-time Markov processes, including all irreducible hypoelliptic diffusions evolving on an open, connected subset of $\RL^d$, the following are shown to be equivalent: (i) The process satisfies (a slightly weaker…
In this paper we study the approximation of the distribution of $X_t$ Hilbert--valued stochastic process solution of a linear parabolic stochastic partial differential equation written in an abstract form as $$ dX_t+AX_t dt = Q^{1/2} d W_t,…
In this paper, we provide a unified analysis of temporal difference learning algorithms with linear function approximators by exploiting their connections to Markov jump linear systems (MJLS). We tailor the MJLS theory developed in the…
Covariance matrix of heights measured relative to the average height of a growing self-affine surface in the steady state are investigated in the framework of random matrix theory. We show that the spectral density of the covariance matrix…
In this paper we address the problem of closed-form spectral evaluation of CPM. We show that the multi-h CPM signal can be conveniently generated by a PTI SM. The output is governed by a Markov chain with the unusual peculiarity of being…
We offer a spectral analysis for a class of transfer operators. These transfer operators arise for a wide range of stochastic processes, ranging from random walks on infinite graphs to the processes that govern signals and recursive wavelet…
There is a growing interest in methods for detecting and interpreting changes in experimental time evolution data. Based on measured time series, the quantitative characterization of dynamical phase transitions at bifurcation points of the…
We study a 12-parameter stochastic process involving particles with two-site interaction and hard-core repulsion on a $d$-dimensional lattice. In this model, which includes the asymmetric exclusion process, contact processes and other…
We investigate the parameter recovery of Markov-switching ordinary differential processes from discrete observations, where the differential equations are nonlinear additive models. This framework has been widely applied in biological…
The paper deals with the variational principles for evaluation of the spectral radii of transfer and weighted shift operators associated with a dynamical system. These variational principles have been the matter of numerous investigations…
Recently, a novel system identification method based on invariant subspace theory is introduced, aiming to address the identification problem of continuous-time (CT) linear time-invariant (LTI) systems by combining time-domain and…
Dissipative phase transitions in quantum systems have been largely studied under the so-called Markovian approximation, where the environments to which the systems are coupled are memoryless. Here, we present a generalization of the…
We previously demonstrated that the bulk transport coefficients of uniaxial polycrystalline materials, including electrical and thermal conductivity, diffusivity, complex permittivity, and magnetic permeability, have Stieltjes integral…
Diffusion tensor imaging (DTI) is a prevalent neuroimaging tool in analyzing the anatomical structure. The distinguishing feature of DTI is that the voxel-wise variable is a 3x3 positive definite matrix other than a scalar, describing the…
We consider a $d$-dimensional continuous martingale $X(t)$ with quadratic variation matrix $\langle X\rangle_t=\int_0^t \Sigma(s)\,ds$ and develop tests for the rank of its spot covariance matrix $\Sigma(t)$, $t\in[0,1]$. The process $X$ is…