Related papers: Linear response and moderate deviations: hierarchi…

The incidence of rare events in fast-slow systems is investigated via analysis of the large deviation principle (LDP) that characterizes the likelihood and pathway of large fluctuations of the slow variables away from their mean behavior --…

We consider risk-sensitive Markov decision processes (MDPs), where the MDP model is influenced by a parameter which takes values in a compact metric space. We identify sufficient conditions under which small perturbations in the model…

Possibilistic and qualitative POMDPs (pi-POMDPs) are counterparts of POMDPs used to model situations where the agent's initial belief or observation probabilities are imprecise due to lack of past experiences or insufficient data…

RBM-MPC is a computationally efficient variant of Model Predictive Control (MPC) in which the Random Batch Method (RBM) is used to speed up the finite-horizon optimal control problems at each iteration. In this paper, stability and…

We investigate the large deviation principle (LDP) of the stationary solutions of stochastic functional differential equations (SFDEs) with infinite delay under small random perturbation. First, we demonstrate the existence and uniqueness…

We establish a moderate deviation principle for the maximum likelihood estimator of the four parameters of a geometrically ergodic Heston process. We also obtain moderate deviations for the maximum likelihood estimator of the couple of…

We establish the moderate deviation principle for the solutions of a class of stochastic partial differential equations with non-Lipschitz continuous coefficients. As an application, we derive the moderate deviation principle for two…

A common assumption in the fitting of unordered multinomial response models for $J$ mutually exclusive categories is that the responses arise from the same set of $J$ categories across subjects. However, when responses measure a choice made…

We establish a central limit theorem and an invariance principle for stationary random fields, with projective-type conditions. Our result is obtained via an m-dependent approximation method. As applications, we establish invariance…

Piecewise Deterministic Markov Processes (PDMPs) are studied in a general framework. First, different constructions are proven to be equivalent. Second, we introduce a coupling between two PDMPs following the same differential flow which…

The problem of the estimation of relevance to a set of histograms generated by samples of a discrete time process is discussed on the base of the variational principles proposed in the previous paper [1]. Some conditions for dimension…

We study a class of infinite-horizon average-cost Markov Decision Processes (MDPs) whose reward and transition structures are nearly separable. For the totally separable baseline (that is, with no perturbation), we derive an explicit…

In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…

We consider a collection of fully coupled weakly interacting diffusion processes moving in a two-scale environment. We study the moderate deviations principle of the empirical distribution of the particles' positions in the combined limit…

We consider a distributionally robust Partially Observable Markov Decision Process (DR-POMDP), where the distribution of the transition-observation probabilities is unknown at the beginning of each decision period, but their realizations…

Many real-world decision-making problems face the off-dynamics challenge: the agent learns a policy in a source domain and deploys it in a target domain with different state transitions. The distributionally robust Markov decision process…

Modeling of complex phenomena such as the mind presents tremendous computational complexity challenges. Modeling field theory (MFT) addresses these challenges in a non-traditional way. The main idea behind MFT is to match levels of…

This paper is concerned with the general theme of relating the Large Deviation Principle (LDP) for the invariant measures of stochastic processes to the associated sample path LDP. It is shown that if the sample path deviation function…

Markov Decision Processes (MDPs) are an effective way to formally describe many Machine Learning problems. In fact, recently MDPs have also emerged as a powerful framework to model financial trading tasks. For example, financial MDPs can…

In this paper, we consider an integrated MSP-MDP framework which captures features of Markov decision process (MDP) and multistage stochastic programming (MSP). The integrated framework allows one to study a dynamic decision-making process…