Related papers: Ergodic Backward Stochastic Difference Equations
This work develops a rigorous framework for analysing ergodicity and mixing in time-inhomogeneous quantum dynamics. It considers quantum evolutions generated by sequences of quantum channels and examines in detail the relationship between…
We study a new class of ergodic backward stochastic differential equations (EBSDEs for short) which is linked with semi-linear Neumann type boundary value problems related to ergodic phenomenas. The particularity of these problems is that…
In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an…
This paper is concerned with the exact controllability of discrete-time stochastic system which is one of the basic problems of modern control theory. Though the exact controllability of continuous-time system governed by Ito stochastic…
We develop a theory of ergodicity for a class of random dynamical systems where the driving noise is not white. The two main tools of our analysis are the strong Feller property and topological irreducibility, introduced in this work for a…
The authors consider stochastic aspects of the stabilization problem for two and three-dimensional Oseen equations with help of feedback control defined on a part of the fluid boundary. Stochastic issues arise when inevitable unpredictable…
Comparison and converse comparison theorems are important parts of the research on backward stochastic differential equations. In this paper, we obtain comparison results for one dimensional backward stochastic differential equations with…
We study ergodic properties of some Markov chains models in random environments when the random Markov kernels that define the dynamic satisfy some usual drift and small set conditions but with random coefficients. In particular, we adapt a…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…
Imprecise continuous-time Markov chains are a robust type of continuous-time Markov chains that allow for partially specified time-dependent parameters. Computing inferences for them requires the solution of a non-linear differential…
We consider the 2D stochastic Navier-Stokes equations driven by noise that has the regularity of space-time white noise but doesn't exactly coincide with it. We show that, provided that the intensity of the noise is sufficiently weak at…
In this paper we introduce a new kind of Backward Stochastic Differential Equations, called ergodic BSDEs, which arise naturally in the study of optimal ergodic control. We study the existence, uniqueness and regularity of solution to…
We show how to map the states of an ergodic Markov chain to Euclidean space so that the squared distance between states is the expected commuting time. We find a minimax characterization of commuting times, and from this we get monotonicity…
We consider a discrete time hidden Markov model where the signal is a stationary Markov chain. When conditioned on the observations, the signal is a Markov chain in a random environment under the conditional measure. It is shown that this…
We study irreducible time-homogenous Markov chains with finite state space in discrete time. We obtain results on the sensitivity of the stationary distribution and other statistical quantities with respect to perturbations of the…
This work aims to investigate the existence of ergodic invariant measures and its uniqueness, associated with obstacle problems governed by a T-monotone operator defined on Sobolev spaces and driven by a multiplicative noise in a bounded…
The first motivation of this paper is to study stationarity and ergodic properties for a general class of time series models defined conditional on an exogenous covariates process. The dynamic of these models is given by an autoregressive…
This paper is a survey of various proofs of the so called {\em fundamental theorem of Markov chains}: every ergodic Markov chain has a unique positive stationary distribution and the chain attains this distribution in the limit independent…
We study perturbation theory and uniform ergodicity for discrete-time Markov chains on general state spaces in terms of the uniform moments of the first hitting times on some set. The methods we adopt are different from previous ones. For…