Related papers: Computing hitting times via fluid approximation: a…
Motivated by applications in telecommunications, computer scienceand physics, we consider a discrete-time Markov process withrestart. At each step the process eitherwith a positive probability restarts from a given distribution, orwith the…
The solution to Poisson's equation arise in many Markov chain and Markov jump process settings, including that of the central limit theorem, value functions for average reward Markov decision processes, and within the gradient formula for…
The stochastic growth-fragmentation model describes the temporal evolution of a structured cell population through a discrete-time and continuous-state Markov chain. The simulations of this stochastic process and its invariant measure are…
In this paper, we consider the Markov-Chain Monte Carlo (MCMC) approach for random sampling of combinatorial objects. The running time of such an algorithm depends on the total mixing time of the underlying Markov chain and is unknown in…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
The rigorous linking of exact stochastic models to mean-field approximations is studied. Starting from the differential equation point of view the stochastic model is identified by its Kolmogorov equations, which is a system of linear ODEs…
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensional Markov processes. We prove the convergence of the method…
In moldable job scheduling, we are provided $m$ identical machines and $n$ jobs that can be executed on a variable number of machines. The execution time of each job depends on the number of machines assigned to execute that job. For the…
Fluctuations in stochastic systems are usually characterized by the full counting statistics, which analyzes the distribution of the number of events taking place in the fixed time interval. In an alternative approach, the distribution of…
We revisit the classic #Knapsack problem, which asks to count the Boolean points $(x_1,\dots,x_n)\in\{0,1\}^n$ in a given half-space $\sum_{i=1}^nW_ix_i\le T$. This #P-complete problem admits $(1\pm\epsilon)$-approximation. Before this…
We give a mathematical framework for Exact Milestoning, a recently introduced algorithm for mapping a continuous time stochastic process into a Markov chain or semi-Markov process that can be efficiently simulated and analyzed. We…
We discuss a Monte Carlo Markov Chain (MCMC) procedure for the random sampling of some one-dimensional lattice paths with constraints, for various constraints. We show that an approach inspired by optimal transport allows us to bound…
This paper develops a new technique for the path approximation of one-dimensional stochastic processes, more precisely the Brownian motion and families of stochastic differential equations sharply linked to the Brownian motion (usually…
In this short paper, we consider discrete-time Markov chains on lattices as approximations to continuous-time diffusion processes. The approximations can be interpreted as finite difference schemes for the generator of the process. We…
We study continuous time Markov processes on graphs. The notion of frequency is introduced, which serves well as a scaling factor between any Markov time of a continuous time Markov process and that of its jump chain. As an application, we…
I show how to run an N-time-step Markov chain simulation in a circular fashion, so that the state at time 0 follows the state at time N-1 in the same way as states at times t follow those at times t-1 for 0<t<N. This wrap-around of the…
Consider a system of \(n\) players in which each initially starts on a different team. At each time step, we select an individual winner and an individual loser randomly and the loser joins the winner's team. The resulting Markov chain and…
Assume that a stochastic processes can be approximated, when some scale parameter gets large, by a fluid limit (also called "mean field limit", or "hydrodynamic limit"). A common practice, often called the "fixed point approximation"…
Inter-channel mis-synchronisation can be a limiting factor to the time resolution of high performance timing detectors with multiple readout channels and independent electronics units. In these systems, time calibration methods employed…
In this paper, we study the Maximum Profit Pick-up Problem with Time Windows and Capacity Constraint (MP-PPTWC). Our main results are 3 polynomial time algorithms, all having constant approximation factors. The first algorithm has an…