Related papers: A temporal factorization at the maximum for spectr…
Completely positive factorization (CPF) is a critical task with applications in many fields. This paper proposes a novel method for the CPF. Based on the idea of exterior point iteration, an optimization model is given, which aims to…
The continuous time Markov process considered in this paper belongs to a class of population models with linear growth and catastrophes. There, the catastrophes happen at the arrival times of a Poisson process, and at each catastrophe time,…
We consider an absorbing Markov decision process with Borel state and action spaces. We study conditions under which the MDP is uniformly absorbing and the set of occupation measures of the MDP is compact in the usual weak topology. These…
For a strictly stationary sequence of $\mathbb{R}_{+}^{d}$--valued random vectors we derive functional convergence of partial maxima stochastic processes under joint regular variation and weak dependence conditions. The limit process is an…
When $2N/(N+1)<p<2$ and $0<q<p/2$, non-negative solutions to the singular diffusion equation with gradient absorption $$\partial\_tu-\Delta\_p u + |\nabla u|^q=0 \ \text{ in }\ (0,\infty)\times\mathbb{R}^N$$ vanish after a finite time. This…
In this article, we consider the diffusion equation with multi-term time-fractional derivatives. We first derive that the solution is positive when the source term is nonpositive by a subordination principle for the solution. As an…
We analyze some solvable models of a quantum mechanical system in interaction with a reservoir when the initial state is not factorized. We apply Nakajima-Zwanzig's projection method by choosing a reference state of the reservoir endowed…
We study the asymptotic behaviour of a properly normalized time changed Wiener processes. The time change reflects the fact that we consider the Laplace operator (which generates a Wiener process) multiplied by a possibly degenerate…
We consider a branching system consisting of particles moving according to a Markov family in $\Rd$ and undergoing subcritical branching with a constant rate $V>0$. New particles immigrate to the system according to homogeneous space-time…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
The subcritical Markov branching process X(t) starting with one particle as the initial condition has the ultimate extinction probability q = 1. The branching mechanism in consideration is defined by the mixture of logarithmic distributions…
The paper addresses two variants of the stochastic shortest path problem ('optimize the accumulated weight until reaching a goal state') in Markov decision processes (MDPs) with integer weights. The first variant optimizes partial expected…
Let $Z=(Z_t)_{t\geq0}$ be an additive process with a bounded triplet $(0,0,\Lambda_t)_{t\geq0}$. Suppose that for any Schwartz function $\varphi$ on $\mathbb{R}^d$ whose Fourier transform is in $C_c^{\infty}(B_{c_s} \setminus B_{c_s^{-1}}…
Absorbing boundary conditions are presented for three-dimensional time-dependent Schr\"odinger-type of equations as a means to reduce the cost of the quantum-mechanical calculations. The boundary condition is first derived from a…
The cutoff phenomenon is an abrupt transition from out of equilibrium to equilibrium undergone by certain Markov processes in the limit where the size of the state space tends to infinity: instead of decaying gradually over time, their…
Given a spectrally negative L\'evy process $X$ drifting to infinity, (inspired on the early ideas of Shiryaev (2002)) we are interested in finding a stopping time that minimises the $L^p$ distance ($p>1$) with $g$, the last time $X$ is…
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous…
Generators of Markov processes on a countable state space can be represented as finite or infinite matrices. One key property is that the off-diagonal entries corresponding to jump rates of the Markov process are non-negative. Here we…
Given an energy potential on the Euclidian space, a piecewise deterministic Markov process is designed to sample the corresponding Gibbs measure. In dimension one an Eyring-Kramers formula is obtained for the exit time of the domain of a…
Scattering of time-harmonic plane wave by two parallel semi-infinite rows, but with staggered edges, is considered on square lattice. The condition imposed on the semi-infinite rows is a discrete analogue of Neumann boundary condition. A…