Related papers: Piecewise Constant Martingales and Lazy Clocks
One clock alternating timed automata OCATA have been recently introduced as natural extension of (one clock) timed automata to express the semantics of MTL (Ouaknine, Worrell 2005). We consider the application of OCATA to problem of…
The experimental comparison of two thulium optical lattice clocks in a time interval of up to one hour has been carried out. The synchronous comparison of a clock transition in two independent atomic ensembles using a single ultrastable…
In this paper continuous time random walk models approximating fractional space-time diffusion processes are studied. Stochastic processes associated with the considered equations represent time-changed processes, where the time-change…
The main purpose of the present paper is to solve the thermodynamic inconsistencies that result when deriving equivalent micropolar models of periodic beam-lattice materials through standard continualization schemes. In fact, this technique…
An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…
Understanding and predicting the dynamical properties of systems involving dry friction is a major concern in physics and engineering. It abounds in many mechanical processes, from the sound produced by a violin to the screeching of chalk…
Continuous time (CT) and discrete time (DT) linear time invariant (LTI) systems are commonly introduced through distinct mathematical formalisms, which can obscure their underlying dynamical equivalence. This tutorial presents a unified…
Dynamics of complex systems is studied by first considering a chaotic time series generated by Lorenz equations and adding noise to it. The trend (smooth behavior) is separated from fluctuations at different scales using wavelet analysis…
It is difficult to analyze the stability of systems with time-varying delays. One approach is to construct a time-transformation that converts the system into a form with a constant delay but with a time-varying scalar appearing in the…
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as a nonanticipative functional of a solution to a stochastic differential equation. The condition states that Z is a (uniformly integrable)…
We propose a novel Bayesian methodology for analyzing nonstationary time series that exhibit oscillatory behaviour. We approximate the time series using a piecewise oscillatory model with unknown periodicities, where our goal is to estimate…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued…
We study the splitting of regular square lattices subject to stochastic intermittent flows. Various flow patterns are produced by different groupings of the nodes, based on their random alternation between two possible states. The resulting…
We consider a class of piecewise-deterministic Markov processes where the state evolves according to a linear dynamical system. This continuous time evolution is interspersed by discrete events that occur at random times and change (reset)…
We analyze the physical mechanisms leading either to synchronization or to the formation of spatio-temporal patterns in a lattice model of pulse-coupled oscillators. In order to make the system tractable from a mathematical point of view we…
Level-sensitive latches are widely used in high- performance designs. For such circuits efficient statistical timing analysis algorithms are needed to take increasing process vari- ations into account. But existing methods solving this…
In a Monte-Carlo test, the observed dataset is fixed, and several resampled or permuted versions of the dataset are generated in order to test a null hypothesis that the original dataset is exchangeable with the resampled/permuted ones.…
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…
We introduce a novel type of random perturbation for the classical Lorenz flow in order to better model phenomena slowly varying in time such as anthropogenic forcing in climatology and prove stochastic stability for the unperturbed flow.…
In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the…