Related papers: A Method to Calculate the Exit Time in Stochastic …
The aim of a probabilistic output analysis is to derive a probability distribution of possible output values for a program from a probability distribution of its input. We present a method for performing static output analysis, based on…
We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for…
We investigate, by numerical simulation, the path probability of non dissipative mechanical systems undergoing stochastic motion. The aim is to search for the relationship between this probability and the usual mechanical action. The model…
Stochastic dynamical systems are fundamental in state estimation, system identification and control. System models are often provided in continuous time, while a major part of the applied theory is developed for discrete-time systems.…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
We study the convergence behavior of the stochastic heavy-ball method with a small stepsize. Under a change of time scale, we approximate the discrete method by a stochastic differential equation that models small random perturbations of a…
This paper proposes an algorithm to estimate the parameters, including time delay, of continuous time systems based on instrumental variable identification methods. To overcome the multiple local minima of the cost function associated with…
Given a stochastic dynamical system modelled via stochastic differential equations (SDEs), we evaluate the safety of the system through characterizations of its exit time moments. We lift the (possibly nonlinear) dynamics into the space of…
We consider the exit problem for a one-dimensional system with random switching near an unstable equilibrium point of the averaged drift. In the infinite switching rate limit, we show that the exit time satisfies a limit theorem with a…
We consider the problem of computing the set of initial states of a dynamical system such that there exists a control strategy to ensure that the trajectories satisfy a temporal logic specification with probability 1 (almost-surely). We…
In this paper, we combine the operator splitting methodology for abstract evolution equations with that of stochastic methods for large-scale optimization problems. The combination results in a randomized splitting scheme, which in a given…
This article is about molecular simulation. However, the theoretical results apply for general overdamped Langevin dynamics simulations. Molecular simulation is often used for determining the stability of a complex (e.g., ligand-receptor).…
A stabilized finite element method is introduced for the simulation of time-periodic creeping flows, such as those found in the cardiorespiratory systems. The new technique, which is formulated in the frequency rather than time domain,…
We present a novel static analysis technique to derive higher moments for program variables for a large class of probabilistic loops with potentially uncountable state spaces. Our approach is fully automatic, meaning it does not rely on…
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…
A stochastic procedure is developed which allows one to express Pontryagin's maximum principle for dissipative quantum system solely in terms of stochastic wave functions. Time-optimal controls can be efficiently computed without computing…
The continuous time random walk model has been widely applied in various fields, including physics, biology, chemistry, finance, social phenomena, etc. In this work, we present an algorithm that utilizes a subordinate formula to generate…
In this paper we introduce a new method for the simulation of the exit time and position of a $\delta$-dimensional Brownian motion from a domain. The main interest of our method is that it avoids splitting time schemes as well as inversion…
In this paper, we introduce a mathematical apparatus that is relevant for understanding a dynamical system with small random perturbations and coupled with the so-called transmutation process -- where the latter jumps from one mode to…
Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice…