Related papers: A note on time-dependent additive functionals
In this paper we study time-inhomogeneous versions of one-dimensional Stochastic Differential Equations (SDE) involving the Local Time of the unknown process on curves. After proving existence and uniqueness for these SDE under mild…
We derive explicit solutions for time-fractional anomalous diffusion equations with diffusivity coefficients that depend on both space and time variables. These solutions are expressed in Fox-H and generalized Wright functions, which are…
We give a necessary and sufficient condition for a homogeneous Markov process taking values in $\R^n$ to enjoy the time-inversion property of degree $\alpha$. The condition sets the shape for the semigroup densities of the process and…
The conventional historical functional linear model relates the current value of the functional response at time t to all past values of the functional covariate up to time t. Motivated by situations where it is more reasonable to assume…
Multivariate data sources with components of different information value seem to appear frequently in practice. Models in which the components change their homogeneity at different times are of significant importance. The fact whether any…
In this paper, a method to solve functionally commutative time- dependent linear homogeneous differential equation is discussed. We apply this technique to solve some dynamical quantum problems.
A novel expansion -- which generalizes Magnus expansion -- of the evolution operator associated with a (in general, time-dependent) perturbed Hamiltonian is introduced. It is shown that it has a wide range of possible solutions that can be…
This article studies the solutions of time-dependent differential inclusions which is motivated by their utility in the modeling of certain physical systems. The differential inclusion is described by a time-dependent set-valued mapping…
Lying between traditional parabolic and hyperbolic equations, time-fractional wave equations of order $\alpha\in(1,2)$ in time inherit both decaying and oscillating properties. In this article, we establish a long-time asymptotic estimate…
This paper is devoted to solving a time-inconsistent risk-sensitive control problem with parameter $\e$ and its limit case ($\e\rightarrow0^+$) for countable-stated Markov decision processes (MDPs for short). Since the cost functional is…
We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation…
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…
Using the renewal approach we prove exponential inequalities for additive functionals and empirical processes of ergodic Markov chains, thus obtaining counterparts of inequalities for sums of independent random variables. The inequalities…
Some classes of increment martingales, and the corresponding localized classes, are studied. An increment martingale is indexed by the real line and its increment processes are martingales. We focus primarily on the behavior as time goes to…
In this work we study the classical electrodynamics in homogeneous conducting and nonconducting time-dependent linear media in the absence of charge sources. Surprisingly, we find that the time dependence of the permittivity gives rise to…
In modeling multivariate time series, it is important to allow time-varying smoothness in the mean and covariance process. In particular, there may be certain time intervals exhibiting rapid changes and others in which changes are slow. If…
We evaluate the ability of temporal difference learning to track the reward function of a policy as it changes over time. Our results apply a new adiabatic theorem that bounds the mixing time of time-inhomogeneous Markov chains. We derive…
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…
We study indeterminacies in realization of ornaments and how they can be incorporated in a stochastic performance model applicable for music information processing such as score-performance matching. We point out the importance of temporal…
We develop a new family of marked point processes by focusing the characteristic properties of marked Hawkes processes exclusively to the space of marks, providing the freedom to specify a different model for the occurrence times. This is…