Related papers: Stopping time convergence for processes associated…
This paper concerns the inverse source problems for the time-harmonic elastic and electromagnetic wave equations. The goal is to determine the external force and the electric current density from boundary measurements of the radiated wave…
Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…
This study presents an efficient, accurate, effective and unconditionally stable time stepping scheme for the Darcy-Brinkman equations in double-diffusive convection. The stabilization within the proposed method uses the idea of stabilizing…
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…
A standard Hilbert-space proof of Dirichlet's principle is simplified, using an observation that a certain form of min-problem has unique solution, at a specified point. This solves Dirichlet's problem, after it is recast in the required…
We establish conditions on sequences of graphs which ensure that the mixing times of the random walks on the graphs in the sequence converge. The main assumption is that the graphs, associated measures and heat kernels converge in a…
Three similar convergence notions are considered. Two of them are the long established notions of convergent dynamics and incremental stability. The other is the more recent notion of contraction analysis. All three convergence notions…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
Adapting a counterexample recently proposed by J.L. Mancilla-Aguilar and H. Haimovich, we show here that, for time-delay systems, global asymptotic stability does not ensure that solutions converge uniformly to zero over bounded sets of…
The quantitative long time behavior of absorbing, finite, irreducible Markov processes is considered. Via Doob transforms, it is shown that only the knowledge of the ratio of the values of the underlying first Dirichlet eigenvector is…
Stiff and chaotic differential equations are challenging for time-stepping numerical methods. For explicit methods, the required time step resolution significantly exceeds the resolution associated with the smoothness of the exact solution…
Temporal point processes offer a powerful framework for sampling from discrete distributions, yet they remain underutilized in existing literature. We show how to construct, for any target multivariate count distribution with…
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
We consider a general model for a network of oscillators with time delayed, circulant coupling. We use the theory of weakly coupled oscillators to reduce the system of delay differential equations to a phase model where the time delay…
In this work we study the asymptotic behavior of the solutions of a class of abstract parabolic time optimal control problems when the generators converge, in an appropriate sense, to a given strictly negative operator. Our main application…
This paper studies a class of random nonlinear systems with time-varying delay, in which the $r$-order moment ($r\geq1$) of the random disturbance is finite. Firstly, some general conditions are proposed to guarantee the existence 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,…
We elaborate a new method for constructing traces of quadratic forms in the framework of Hilbert and Dirichlet spaces. Our method relies on monotone convergence of quadratic forms and the canonical decomposition into regular and singular…
We propose a geometric approach for bounding average stopping times for stopped random walks in discrete and continuous time. We consider stopping times in the hyperspace of time indexes and stochastic processes. Our techniques relies on…
We consider a discrete-time system of n coupled random vectors, a.k.a. interacting particles. The dynamics involve a vanishing step size, some random centered perturbations, and a mean vector field which induces the coupling between the…