Related papers: Jump Processes with Deterministic and Stochastic C…
This paper deals a continuous-time state-dependent jump linear system, a particular kind of stochastic switching system. In particular, we consider a situation when the transition rate of the random jump process depends on the state…
We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous…
In this article, we consider a receding horizon control of discrete-time state-dependent jump linear systems, particular kind of stochastic switching systems, subject to possibly unbounded random disturbances and probabilistic state…
Many time series are effectively generated by a combination of deterministic continuous flows along with discrete jumps sparked by stochastic events. However, we usually do not have the equation of motion describing the flows, or how they…
In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…
In this paper, we consider a stochastic process that may experience random reset events which relocate the system to its starting position. We focus our attention on a one-dimensional, monotonic continuous-time random walk with a constant…
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular controls are considered in our formula. In virtue of the…
Investigate the stochastic dynamic non-linear system with the Wiener and the Poisson perturbations. For such systems we construct the program control with probability one, which allows this system to move on the given trajectory. In this…
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
This paper investigates the dynamics of biomass in a marine ecosystem. A stochastic process is defined in which organisms undergo jumps in body size as they catch and eat smaller organisms. Using a systematic expansion of the master…
We present a model for the dynamics of a population of bacteria with a continuum of traits, who compete for resources and exchange horizontally (transfer) an otherwise vertically inherited trait with possible mutations. Competition…
Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
Motivated by the lack of a suitable constructive framework for analyzing popular stochastic models of Systems Biology, we devise conditions for existence and uniqueness of solutions to certain jump stochastic differential equations (SDEs).…
Every open-system dynamics can be associated to infinitely many stochastic pictures, called unravelings, which have proved to be extremely useful in several contexts, both from the conceptual and the practical point of view. Here, focusing…
We consider a generalization of the classical logistic growth model introducing more than one inflection point. The growth, called multi-sigmoidal, is firstly analyzed from a deterministic point of view in order to obtain the main…
In this paper we consider the one-dimensional dynamical evolution of a particle traveling at constant speed and performing, at a given rate, random reversals of the velocity direction. The particle is subject to stochastic resetting,…