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In the framework of statistical mechanics the properties of macroscopic systems are deduced starting from the laws of their microscopic dynamics. One of the key assumptions in this procedure is the ergodic property, namely the equivalence…
We introduce and analyze a novel class of inverse problems for stochastic dynamics: Given the ergodic invariant measure of a stochastic process governed by a nonlinear stochastic ordinary or partial differential equation (SODE or SPDE), we…
Recently Bandos, Lechner, Sorokin, and Townsend [arXiv:2007.09092] have discovered that Maxwell's electrodynamics can be generalized so that the resulting nonlinear theory preserves both conformal invariance and SO(2) duality-rotation…
Studying the stability of the Kalman filter whose measurements are randomly lost has been an active research topic for over a decade. In this paper we extend the existing results to a far more general setting in which the measurement…
This paper derives the extended Kalman filter (EKF) for continuous-time systems on matrix Lie groups observed through discrete-time measurements. By modeling the system noise on the Lie algebra and adopting a Stratonovich interpretation for…
We study a class of Markov chains that model the evolution of a quantum system subject to repeated measurements. Each Markov chain in this class is defined by a measure on the space of matrices. It is then given by a random product of…
We prove in this paper that the Schwarzschild famiily of black holes are linearly stable as a family of solutions to the system of equations that result from expressing the Einstein vacuum equations in a generalised wave gauge. In…
Consider a stochastic process $\{X(t)\}$ on a finite state space $ {\sf X}=\{1,\dots, d\}$. It is conditionally Markov, given a real-valued `input process' $\{\zeta(t)\}$. This is assumed to be small, which is modeled through the scaling,…
Consider a hidden Markov chain obtained as the observation process of an ordinary Markov chain corrupted by noise. Zuk, et. al. [13], [14] showed how, in principle, one can explicitly compute the derivatives of the entropy rate of at…
The nonmodal linear stability of the Schwarzschild black hole established in Phys. Rev. Lett. 112 (2014) 191101 is generalized to the case of a nonnegative cosmological constant $\Lambda$. Two gauge invariant combinations $G_{\pm}$ of…
The paper studies the problem of filtering a discrete-time linear system observed by a network of sensors. The sensors share a common communication medium to the estimator and transmission is bit and power budgeted. Under the assumption of…
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
We prove a quantitative result of convergence of a conservative stochastic particle system to the solution of the homogeneous Landau equation for hard potentials. There are two main difficulties: (i) the known stability results for this…
Recently, a new approach for the stabilization of the incompressible Navier-Stokes equations for higher Reynolds numbers was introduced based on the nonlinear differential filtering of solutions on every time step of a discrete scheme. In…
We study a fairly general class of time-homogeneous stochastic evolutions driven by noises that are not white in time. As a consequence, the resulting processes do not have the Markov property. In this setting, we obtain constructive…
Arguing about the equilibrium distribution of continuous-time Markov chains can be vital for showing properties about the underlying systems. For example in biological systems, bistability of a chemical reaction network can hint at its…
We study the ergodic property of a continuous-state branching process with immigration and competition. The exponential ergodicity in a weighted total variation distance is proved under natural assumptions. The main theorem applies to…
Perturbation theory for Markov chains addresses the question how small differences in the transitions of Markov chains are reflected in differences between their distributions. We prove powerful and flexible bounds on the distance of the…
Several recent publications investigated Markov-chain modelling of linear optimization by a $(1,\lambda)$-ES, considering both unconstrained and linearly constrained optimization, and both constant and varying step size. All of them assume…
The mode stability of the Kerr black hole in four dimensions was demonstrated by Whiting in 1989, by separating the Teukolsky equation that describes gravitational perturbations and then transforming the radial and angular equations in such…