Related papers: On the asymptotic of exit problems for controlled …
Piecewise-deterministic Markov processes (PDMPs) offer a powerful stochastic modeling framework that combines deterministic trajectories with random perturbations at random times. Estimating their local characteristics (particularly the…
We formulate and investigate a general stochastic control problem under a progressive enlargement of filtration. The global information is enlarged from a reference filtration and the knowledge of multiple random times together with…
In this note we consider a Markov chain formed by a finite system of interacting birth-and-death processes on a finite state space. We study an asymptotic behaviour of the Markov chain as its state space becomes large. In particular, we…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
A recent experiment by Minev et. al [arXiv:1803.00545] demonstrated that in a dissipative (artificial) 3-level atom with strongly intermittent dynamics it is possible to "catch and reverse" a quantum jump "mid-flight": by the conditional…
This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward-backward stochastic differential equations with jumps (FBSDEJs). A general sufficient maximum principle for…
We study the long-time dynamics of the nonlinear processes modeled by diffusion-transport partial differential equations in non-divergence form with drifts. The solutions are subject to some inhomogeneous Dirichlet boundary condition.…
We describe the full exit boundary of random walks on homogeneous trees, in particular, on the free groups. This model exhibits a phase transition, namely, the family of Markov measures under study loses ergodicity as a parameter of the…
We consider weakly interacting jump processes on time-varying random graphs with dynamically changing multi-color edges. The system consists of a large number of nodes in which the node dynamics depends on the joint empirical distribution…
A theoretical approach for characterising the influence of asymmetry of noise distribution on the escape rate of a multi-stable system is presented. This was carried out via the estimation of an action, which is defined as an exponential…
The objective of this paper is to study the filtering problem for a system of partially observable processes $(X, Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provides…
We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…
Regime-switching processes contain two components: continuous component and discrete component, which can be used to describe a continuous dynamical system in a random environment. Such processes have many different properties than general…
In this paper we investigate deterministic diffusion in systems which are spatially extended in certain directions but are restricted in size and open in other directions, consequently particles can escape. We introduce besides the…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
In this paper, we study a class of self-exciting point processes. The intensity of the point process has a nonlinear dependence on the past history and time. When a new jump occurs, the intensity increases and we expect more jumps to come.…
The L\'evy, jumping process, defined in terms of the jumping size distribution and the waiting time distribution, is considered. The jumping rate depends on the process value. The fractional diffusion equation, which contains the variable…
We derive spectral fluctuation--dissipation--response inequalities for finite-state Markov jump processes. By comparing the causal susceptibility to its passive equilibrium reference, we establish frequency-resolved and frequency-integrated…
We consider a unified framework of sequential change-point detection and hypothesis testing modeled by means of hidden Markov chains. One observes a sequence of random variables whose distributions are functionals of a hidden Markov chain.…
We consider a class of wave equations with constant damping and polynomial nonlinearities that are perturbed by small, multiplicative, space-time white noise. The equations are defined on a one-dimensional bounded interval with Dirichlet…