Related papers: Modeling and simulation with operator scaling
Stochastic process discovery is concerned with deriving a model capable of reproducing the stochastic character of observed executions of a given process, stored in a log. This leads to an optimisation problem in which the model's parameter…
The completely positive maps, a generalization of the nonnegative matrices, are a well-studied class of maps from $n\times n$ matrices to $m\times m$ matrices. The existence of the operator analogues of doubly stochastic scalings of…
Systems across different industries consist of interrelated processes and decisions in different time scales including long-time decisions and short-term decisions. To optimize such systems, the most effective approach is to formulate and…
The scale function holds significant importance within the fluctuation theory of Levy processes, particularly in addressing exit problems. However, its definition is established through the Laplace transform, thereby lacking explicit…
Scale-free dynamics, formalized by selfsimilarity, provides a versatile paradigm massively and ubiquitously used to model temporal dynamics in real-world data. However, its practical use has mostly remained univariate so far. By contrast,…
We present a novel multiscale simulation approach for modeling stochasticity in chemical reaction networks. The approach seamlessly integrates exact-stochastic and "leaping" methodologies into a single "partitioned leaping" algorithmic…
Sintering, as a thermal process at elevated temperature below the melting point, is widely used to bond contacting particles into engineering products such as ceramics, metals, polymers, and cemented carbides. Modelling and simulation as…
Using marked Dirichlet processes we characterise the law of the convex minorant of the meander for a certain class of L\'evy processes, which includes subordinated stable and symmetric L\'evy processes. We apply this characterisaiton to…
In this note, we study a class of stochastic control problems where the optimal strategies are described by two parameters. These include a subset of singular control, impulse control, and two-player stochastic games. The parameters are…
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
This article is devoted to some time-changed stochastic models based on multivariate stable processes. The considered models have several advantages in comparison with classical time-changed Brownian motions - for instance, it turns out…
We derive explicitly the coupling property for the transition semigroup of a L\'{e}vy process and gradient estimates for the associated semigroup of transition operators. This is based on the asymptotic behaviour of the symbol or the…
The recent experimental progresses in handling microscopic systems have allowed to probe them at levels where fluctuations are prominent, calling for stochastic modeling in a large number of physical, chemical and biological phenomena. This…
Large-scale simulation optimization (SO) problems encompass both large-scale ranking-and-selection problems and high-dimensional discrete or continuous SO problems, presenting significant challenges to existing SO theories and algorithms.…
We propose a computationally efficient method to solve the dynamics of operators of bosonic quantum systems coupled to their environments. The method maps the operator under interest to a set of complex-valued functions, and its adjoint…
Simulation models are widely used in practice to facilitate decision-making in a complex, dynamic and stochastic environment. But they are computationally expensive to execute and optimize, due to lack of analytical tractability. Simulation…
Computer simulations of first-order relaxation processes show that the spatial configurations of the system acquire an invariant shape once the stationary regime is attained. Inspired by them we find that, in any first-order relaxation…
We derive a Dickman approximation for the small jumps of a large class of multivariate L\'evy processes. We then apply this approximation to develop a simulation method for the class of general multivariate gamma distributions (GMGD). A…
We extend the idea of tempering stable Levy processes to tempering more general classes of Levy processes. We show that the original process can be decomposed into the sum of the tempered process and an independent point process of large…
In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…