Related papers: Hitting time for Bessel processes - walk on moving…
In this paper, we consider the problem of controlling a dynamical system such that its trajectories satisfy a temporal logic property in a given amount of time. We focus on multi-affine systems and specifications given as syntactically…
This work deals with first hitting time densities of Ito processes whose local drift can be modeled in terms of a solution to Burgers equation. In particular, we derive the densities of the first time that these processes reach a moving…
This paper studies finite-time safety and reach-avoid verification for stochastic discrete-time dynamical systems. The aim is to ascertain lower and upper bounds of the probability that, within a predefined finite-time horizon, a system…
We present a numerical method that allows a formation of communicating agents to target the boundary of a time dependent concentration by following a time dependent concentration gradient. The algorithm motivated by \cite{MB, BKM}, allows…
Hamilton-Jacobi reachability methods for safety-critical control have been well studied, but the safety guarantees derived rely on the accuracy of the numerical computation. Thus, it is crucial to understand and account for any inaccuracies…
In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on the eigenfunctions of the diffusion operator. Since a Bessel process is non-ergodic and the theory of martingale…
A novel method for computing reachable sets is proposed in this paper. In the proposed method, a Hamilton-Jacobi-Bellman equation with running cost functionis numerically solved and the reachable sets of different time horizons are…
Inverse problems arise in situations where data is available, but the underlying model is not. It can therefore be necessary to infer the parameters of the latter starting from the former. Statistical mechanics offers a toolbox of…
We study a stochastic process $X_t$ related to the Bessel and the Rayleigh processes, with various applications in physics, chemistry, biology, economics, finance and other fields. The stochastic differential equation is $dX_t = (nD/X_t) dt…
Our purpose is to study a particular class of optimal stopping problems for Markov processes. We justify the value function convexity and we deduce that there exists a boundary function such that the smallest optimal stopping time is the…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage…
We study the first detected recurrence time problem of continuous-time quantum walks on graphs. While previous works have employed projective measurements to determine the first return time, we implement a protocol based on weak…
We consider the operator associated to a random walk on finite volume surfaces with hyperbolic cusps. We study the spectral gap (upper and lower bound) associated to this operator and deduce some rate of convergence of the iterated kernel…
We propose a formulation to construct new classes of financial price processes based on the insight that the key variable driving prices $P$ is the earning-over-price ratio $\gamma \simeq 1/P$, which we refer to as the earning yield and is…
We consider the behavior of spatial point processes when subjected to a class of linear transformations indexed by a variable T. It was shown in Ellis [Adv. in Appl. Probab. 18 (1986) 646-659] that, under mild assumptions, the transformed…
We introduce a cover time problem for random walks on dynamic graphs in which the graph expands in time and the walker moves at random times. Time to cover all nodes and number of returns to original states are analyzed in resulting model.
Quantum computation using continuous-time evolution under a natural hardware Hamiltonian is a promising near- and mid-term direction toward powerful quantum computing hardware. We investigate the performance of continuous-time quantum walks…
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…
Quantum computers are susceptible to noises from the outside world. We investigate the effect of perturbation on the hitting time of a quantum walk and the stationary distribution prepared by a quantum walk based algorithm. The perturbation…