Related papers: Extended Conditional G-Expectations and Related St…
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows…
A definition of the thermodynamic entropy based on the time-dependent probability distribution of the macroscopic variables is developed. When a constraint in a composite system is released, the probability distribution for the new…
For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution.…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
A substantial improvement in the accuracy of G-dot tests (The dot denotes the time derivative.) would make it realistic to speak in terms of a measurement of G-dot, rather than merely a smaller upper bound on |G-dot|. We show that the…
In this paper we study the stochastic differential equations driven by $G$-Brownian motion ($G$-SDEs for short). We extend the notion of conditional $G$-expectation from deterministic time to the more general optional time situation. Then,…
We establish the existence of a full spectrum of Lyapunov exponents for memoryless random dynamical systems with absorption. To this end, we crucially embed the process conditioned to never being absorbed, the $Q$-process, into the…
We provide a new characterization of law-invariant backward stochastic differential equations (i.e. BSDEs) with quadratic growth. This answers the open question raised in Xu--Xu--Zhou (2022) on necessary conditions for law-invariance of…
The focus of the current work concerned the psychological processes that underlie prediction of an events duration. The objective was to push forward existing psychological theory on event duration prediction, something made possible by the…
Exponentially stable extended adaptive observer is proposed for a class of linear time-invariant systems with unknown parameters and overparameterization. It allows one to reconstruct unmeasured states and bounded external disturbance…
We address the stability problem for linear switching systems with mode-dependent restrictions on the switching intervals. Their lengths can be bounded as from below (the guaranteed dwell-time) as from above. The upper bounds make this…
In this paper we prove the time-domain boundedness for noise-to-state exponentially stable systems, and further make an estimation of its lower bound function, which allows to answer the question that how long the solution of a stochastic…
In this note, we formulate a "one-sided" version of Wormald's differential equation method. In the standard "two-sided" method, one is given a family of random variables which evolve over time and which satisfy some conditions including a…
We consider integer-valued random walks with independent but not identically distributed increments, and extend to this context several classical estimates, including a local limit theorem, precise small-ball estimates (both conditional on…
In this paper we consider finite conditional random quantities and conditional previsions assessments in the setting of coherence. We use a suitable representation for conditional random quantities; in particular the indicator of a…
We establish abstract limit theorems which provide sufficient conditions for a sequence $(A_{l})$ of rare events in an ergodic probability preserving dynamical system to exhibit Poisson asymptotics, and for the consecutive positions inside…
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…
Stretched exponential relaxation of a quantity n versus time t according to n = n_0 exp[-(lambda* t)^beta] is ubiquitous in many research fields, where lambda* is a characteristic relaxation rate and the stretching exponent beta is in the…
The limit of small entropy production is reached in relaxing systems long after preparation, and in stationary driven systems in the limit of small driving power. Surprisingly, for extended systems this limit is not in general the…
In this paper, we show that the conditional expectation of a random variable with finite second moment given a $\sigma$-algebra is the unique critical point of an energy functional in Hilbert space $L^2$. Then, we extend by density the…