Related papers: Constraint Ornstein-Uhlenbeck bridges
We are concerned with optimal control strategies subject to uncertain demands. An Ornstein-Uhlenbeck process describes the uncertain demand. The transport within the supply system is modeled by the linear advection equation. We consider…
We consider the problem of parameter estimation for the partially observed linear stochastic differential equation. We assume that the unobserved Ornstein-Uhlenbeck process depends on some unknown parameter and estimate the unobserved…
Tight estimates of exit/containment probabilities are of particular importance in many control problems. Yet, estimating the exit/containment probabilities is non-trivial: even for linear systems (Ornstein-Uhlenbeck processes), the…
We consider particles that are conditioned to initial and final states. The trajectory of these particles is uniquely shaped by the intricate interplay of internal and external sources of randomness. The internal randomness is aptly…
Simulations of quantum systems with Hamiltonian classical stochastic noise can be challenging when the noise exhibits temporal correlations over a multitude of time scales, such as for $1/f$ noise in solid-state quantum information…
We consider the extreme value statistics of correlated random variables that arise from a Langevin equation. Recently, it was shown that the extreme values of the Ornstein-Uhlenbeck process follow a different distribution than those…
The analysis of dynamical systems is a fundamental tool in the natural sciences and engineering. It is used to understand the evolution of systems as large as entire galaxies and as small as individual molecules. With predefined conditions…
In this contribution, we introduce a general class of car-following models with an input-state-output port-Hamiltonian structure. We derive stability conditions and long-term behavior of the finite system with periodic boundaries and…
Collision prediction in a dynamic and unknown environment relies on knowledge of how the environment is changing. Many collision prediction methods rely on deterministic knowledge of how obstacles are moving in the environment. However,…
Given the observation of a high-dimensional Ornstein-Uhlenbeck (OU) process in continuous time, we proceed to the inference of the drift parameter under a row-sparsity assumption. Towards that aim, we consider the negative log-likelihood of…
The use of an Ornstein-Uhlenbeck (OU) process is ubiquitous in business, economics and finance to capture various price processes and evolution of economic indicators exhibiting mean-reverting properties. When structural changes happen,…
We present a definition of stochastic Hamiltonian process on finite graph via its corresponding density dynamics in Wasserstein manifold. We demonstrate the existence of stochastic Hamiltonian process in many classical discrete problems,…
Consider ``stochastic differential equations" driven by fractional Brownian motion with Hurst parameter H (1/4 <H< 1). Their solutions are sometimes called fractional diffusion processes. The main purpose of this paper is conditioning these…
The goal of this paper is to simplify and strengthen the Le Jan-Qian approximation scheme of studying the uniqueness of signature problem to the non-Markov setting. We establish a general framework for a class of multidimensional stochastic…
We derive the Markov-modulated generalized Ornstein-Uhlenbeck process by embedding a Markov-modulated random recurrence equation in continuous time. The obtained process turns out to be the unique solution of a certain stochastic…
I introduce a general, Bayesian method for modelling univariate time series data assumed to be drawn from a continuous, stochastic process. The method accommodates arbitrary temporal sampling, and takes into account measurement…
The time-dependent barrier passage of an anomalous system-reservoir coupling non-equilibrium open environment is studied where the heat bath is modulated by an external noise. The time-dependent barrier passing probability is obtained…
The Langevin formulation of a number of well-known stochastic processes involves multiplicative noise. In this work we present a systematic mapping of a process with multiplicative noise to a related process with additive noise, which may…
We consider a Schr\"odinger bridge problem where the Markov process is subject to parameter perturbations, forming an ensemble of systems. Our objective is to steer this ensemble from the initial distribution to the final distribution using…
We combine earlier investigations of linear systems with L\'{e}vy fluctuations [Physica {\bf 113A}, 203, (1982)] with recent discussions of L\'{e}vy flights in external force fields [Phys.Rev. {\bf E 59},2736, (1999)]. We give a complete…