Related papers: Computable Stochastic Processes
We present analytical investigations of a multiplicative stochastic process that models a simple investor dynamics in a random environment. The dynamics of the investor's budget, $x(t)$, depends on the stochasticity of the return on…
Stochastic network calculus is a newly developed theory for stochastic service guarantee analysis of computer networks. In the current stochastic network calculus literature, its fundamental models are based on the cumulative amount of…
The causal (belief) network is a well-known graphical structure for representing independencies in a joint probability distribution. The exact methods and the approximation methods, which perform probabilistic inference in causal networks,…
We propose a computational framework to quantify (measure) and to optimize the reliability of complex systems. The approach uses a graph representation of the system that is subject to random failures of its components (nodes and edges).…
The present paper aims to demonstrate the usage of Convolutional Neural Networks as a generative model for stochastic processes, enabling researchers from a wide range of fields (such as quantitative finance and physics) to develop a…
We study identification of stochastic Wiener dynamic systems using so-called indirect inference. The main idea is to first fit an auxiliary model to the observed data and then in a second step, often by simulation, fit a more structured…
In this paper, we adopt a Bayesian point of view for predicting real continuous-time processes. We give two equivalent definitions of a Bayesian predictor and study some properties: admissibility, prediction sufficiency, non-unbiasedness,…
We introduce stochastic and quantum finite-state transducers as computation-theoretic models of classical stochastic and quantum finitary processes. Formal process languages, representing the distribution over a process's behaviors, are…
A stochastic ordering approach is applied with Stein's method for approximation by the equilibrium distribution of a birth-death process. The usual stochastic order and the more general s-convex orders are discussed. Attention is focused on…
We propose a direct numerical method to calculate the statistics of the number of transitions in stochastic processes, without having to resort to Monte Carlo calculations. The method is based on a generating function method, and arbitrary…
In this article, we study a notion of the extraction rate of Turing functionals that translate between notions of randomness with respect to different underlying probability measures. We analyze several classes of extraction procedures: a…
Stochastic network calculus is a theory for stochastic service guarantee analysis of computer communication networks. In the current stochastic network calculus literature, its traffic and server models are typically based on the cumulative…
The probability distribution P from which the history of our universe is sampled represents a theory of everything or TOE. We assume P is formally describable. Since most (uncountably many) distributions are not, this imposes a strong…
A novel and efficient algorithm based on the Wiener chaos expansion is proposed for the stochastic Maxwell equations driven by Wiener process. The proposed algorithm can reduce the original stochastic system to the deterministic case and…
A succesful method to describe the asymptotic behavior of a discrete time stochastic process governed by some recursive formula is to relate it to the limit sets of a well chosen mean differential equation. Under an attainability condition,…
A new method is described for constructing a generalized solution for stochastic differential equations. The method is based on the Cameron-Martin version of the Wiener Chaos expansion and provides a unified framework for the study of…
The interactive computation paradigm is reviewed and a particular example is extended to form the stochastic analog of a computational process via a transcription of a minimal Turing Machine into an equivalent asynchronous Cellular…
We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which…
In this paper analogically as quadratic stochastic operators and processes we define cubic stochastic operator (CSO) and cubic stochastic processes (CSP). These are defined on the set of all probability measures of a measurable space. The…
This work discusses simple examples how quantum systems are obtained as subsystems of classical statistical systems. For a single qubit with arbitrary Hamiltonian and for the quantum particle in a harmonic potential we provide explicitly…