Related papers: On Adjoint Additive Processes

Every adapted absolutely continuous process has a predictable density. The set of adapted absolutely continuous processes equals the set of time integrals of progressive or predictable pathwise locally integrable processes.

In this paper, we are concerned with centered Markov Additive Processes $\{(X_t,Y_t)\}_{t\in\T}$ where the driving Markov process $\{X_t\}_{t\in\T}$ has a finite state space. Under suitable conditions, we provide a local limit theorem for…

We deal with finitely additive measures defined on all subsets of natural numbers which extend the asymptotic density (density measures). We consider a class of density measures which are constructed from free ultrafilters on natural…

We consider the system of stochastic differential equation $dX_t = A(X_{t-}) \, dZ_t$, $ X_0 = x$, driven by cylindrical $\alpha$-stable process $Z_t$ in $\mathbb{R}^d$. We assume that $A(x) = (a_{ij}(x))$ is diagonal and $a_{ii}(x)$ are…

We consider stochastic processes arising from dynamical systems simply by evaluating an observable function along the orbits of the system and study marked point processes associated to extremal observations of such time series…

We study for a class of symmetric L\'evy processes with state space $\rn$ the transition density $p_t(x)$ in terms of two one-parameter families of metrics, $(d_t)_{t>0}$ and $(\delta_t)_{t>0}$. The first family of metrics describes the…

We study finitely additive extensions of the asymptotic density to all the subsets of natural numbers. Such measures are called density measures. We consider a class of density measures constructed from free ultrafilters on $\mathbb{N}$ and…

Adjoints are used in optimization to speed-up computations, simplify optimality conditions or compute sensitivities. Because time is reversed in adjoint equations with first order time derivatives, boundary conditions and transmission…

We study a planar random motion $\big(X(t),\,Y(t)\big)$ with orthogonal directions, where the direction switches are governed by a homogeneous Poisson process. At each Poisson event, the moving particle turns clockwise or counterclockwise…

Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and non-defective processes and all possible scenarios we identify the corresponding…

Let $A$ be a set of natural numbers. Recent work has suggested a strong link between the additive energy of $A$ (the number of solutions to $a_1 + a_2 = a_3 + a_4$ with $a_i \in A$) and the metric Poissonian property, which is a fine-scale…

Let $A$ be a set of natural numbers. A set $B$, a set of natural numbers, is said to be an additive complement of the set $A$ if all sufficiently large natural numbers can be represented in the form $x+y$, where $x\in A$ and $y\in B$. This…

This lecture notes are intended for the students taking courses in mathematical control theory. They are concerned with the attainability problem with constraints. The exposition is oriented to the linear control problems with the impulse…

We prove several necessary and sufficient conditions for the existence of (smooth) transition probability densities for L\'evy processes and isotropic L\'evy processes. Under some mild conditions on the characteristic exponent we calculate…

Let X and Y be time-homogeneous Markov processes with common state space E, and assume that the transition kernels of X and Y admit densities with respect to suitable reference measures. We show that if there is a time t>0 such that, for…

The efficient method for computing the sensitivities is the adjoint method. The cost of solving an adjoint equation is comparable to the cost of solving the governing equation. Once the adjoint solution is obtained, the sensitivities to any…

In this article, we consider additive functionals $\zeta_t = \int_0^t f(X_s)\mathrm{d} s$ of a c\`adl\`ag Markov process $(X_t)_{t\geq 0}$ on $\mathbb{R}$. Under some general conditions on the process $(X_t)_{t\geq 0}$ and on the function…

Let $X_1, X_2,\ldots$ be random elements of the Skorokhod space $D(\mathbb{R})$ and $\xi_1, \xi_2, \ldots$ positive random variables such that the pairs $(X_1,\xi_1), (X_2,\xi_2),\ldots$ are independent and identically distributed. We call…

A method is presented for calculating binding energies and other properties of extended interacting systems using the projected density of transitions (PDoT) which is the probability distribution for transitions of different energies…

We give sufficient conditions ensuring that a $\psi$-mixing property holds for the sequence of empirical CDFs associated to a conjugate process.