Related papers: On optimal stationary couplings between stationary…
In this paper, we consider a class of optimal control problems governed by 1D parabolic state-systems of KWC types with dynamic boundary conditions. The state-systems are based on a phase-field model of grain boundary motion, proposed in…
We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…
Connections between the principle of stationary action and optimal control, and between established notions of minimax and viscosity solutions, are combined to describe trajectories of energy conserving systems as solutions of corresponding…
Many contemporary applications in signal processing and machine learning give rise to structured non-convex non-smooth optimization problems that can often be tackled by simple iterative methods quite effectively. One of the keys to…
Drawing from the theory of optimal transport we propose a rigorous notion of a causal relation for Borel probability measures on a given spacetime. To prepare the ground, we explore the borderland between causality, topology and measure…
We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on…
This paper studies best finitely supported approximations of one-dimensional probability measures with respect to the $L^r$-Kantorovich (or transport) distance, where either the locations or the weights of the approximations' atoms are…
We are studying stationary random processes with conditional polynomial moments that allow a continuous path modification. Processes with continuous path modification, are important because they are relatively easy to simulate. One does not…
A finite ergodic Markov chain is said to exhibit cutoff if its distance to stationarity remains close to 1 over a certain number of iterations and then abruptly drops to near 0 on a much shorter time scale. Discovered in the context of card…
We consider infinite-horizon stationary $\gamma$-discounted Markov Decision Processes, for which it is known that there exists a stationary optimal policy. Using Value and Policy Iteration with some error $\epsilon$ at each iteration, it is…
The development of efficient artificial nanodevices poses challenges which are of fundamental and technological nature. Recent progress has been made in the context of finite-time thermodynamics. A central question in finite-time…
A curious connection exists between the theory of optimal stopping for independent random variables, and branching processes. In particular, for the branching process $Z_n$ with offspring distribution $Y$, there exists a random variable $X$…
We present a method for determining optimal modes of operation for autonomously oscillating systems with uncertain parameters. In a typical application of the method, a nonlinear dynamical system is optimized with respect to an economic…
With $M(t):=\sup_{s\in[0,t]}A(s)-s$ denoting the running maximum of a fractional Brownian motion $A(\cdot)$ with negative drift, this paper studies the rate of convergence of $\mathbb {P}(M(t)>x)$ to $\mathbb{P}(M>x)$. We define two metrics…
The optimal quantum measurements for estimating different unknown parameters in a parameterized quantum state are usually incompatible with each other. Traditional approaches to addressing the measurement incompatibility issue, such as the…
Consider a Brownian motion on the circumference of the unit circle, which jumps to the opposite point of the circumference at incident times of an independent Poisson process of rate $\lambda$. We examine the problem of coupling two copies…
In 2012, Pflug and Pichler proved, under regularity assumptions, that the value function in Multistage Stochastic Programming (MSP) is Lipschitz continuous w.r.t. the Nested Distance, which is a distance between scenario trees (or discrete…
Let $G=(V,E)$ be a finite, combinatorial graph. We define a notion of curvature on the vertices $V$ via the inverse of the resistance distance matrix. We prove that this notion of curvature has a number of desirable properties. Graphs with…
Consider two independent Poisson point processes of unit intensity in the Euclidean space of dimension $d$ at least 3. We construct a perfect matching between the two point sets that is a factor (i.e., an equivariant measurable function of…
We analyse the stochastic comparison of interacting particle systems allowing for multiple arrivals, departures and non-conservative jumps of individuals between sites. That is, if $k$ individuals leave site $x$ for site $y$, a possibly…