Related papers: Jump Processes with Deterministic and Stochastic C…
In the paper, we are concerned with degenerate stochastic differential equations with jumps. Firstly, we establish two support theorems for the solutions of the degenerate stochastic equations, under different (sufficient) conditions.…
By discretising space into compartments and letting system dynamics be governed by the reaction-diffusion master equation, it is possible to derive and simulate a stochastic model of reaction and diffusion on an arbitrary domain. However,…
Given a Brownian motion $W$ and a stationary Poisson point process $p$ with values in ${\mathbb R}^d$, we prove a Dynamic Programming Principle (DPP) in a strong formulation for a stochastic control problem involving controlled SDEs of the…
Coarse-grained models of chaotic systems neglect unresolved degrees of freedom, inducing structured model error that limits predictability and distorts long-term statistics. Typical data-driven closures are trained to minimize error over a…
Starting from a classical mechanics of a ``colloid particle'' and $N$ ``water molecules'', we study effective stochastic dynamics of the particle which jumps between deep potential wells. We prove that the effective transition probability…
Stochastic storage models based on essentially non-Gaussian noise are considered. The stochastic description of physical systems based on stochastic storage models is associated with generalized Poisson (or shot) noise, in which the jump…
The main objective of this paper is the construction of the solution of an impulsive stochastic differential equation, subject to control conditions in the pulse-times and give sufficient conditions for them to be random variables with…
This work considers state dynamics driven by Periodic Autoregressive Moving Average noise, and control of the system over time. Such processes appear frequently in applications involving the environment, such as energy and agriculture.…
Atmospheric models used for weather and climate prediction are traditionally formulated in a deterministic manner. In other words, given a particular state of the resolved scale variables, the most likely forcing from the sub-grid scale…
We study the dynamics of a deterministic walk confined in a narrow two-dimensional space randomly filled with point-like targets. At each step, the walker visits the nearest target not previously visited. Complex dynamics is observed at…
We consider a stochastic version of the point vortex system, in which the fluid velocity advects single vortices intermittently for small random times. Such system converges to the deterministic point vortex dynamics as the rate at which…
In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon $[0,T\wedge\tau]$, where $\tau$ is a given random jump time for the underlying state process and $T$ is a…
Stochastic systems characterised by a random driving in a form of the general stable noise are considered. The particle experiences long rests due to the traps the density of which is position-dependent and obeys a power-law form attributed…
In this paper, we investigate stochastic continuity (with respect to the initial value), irreducibility and non confluence property of the solutions of stochastic differential equations with jumps. The conditions we posed are weaker than…
We identify an issue in recent approaches to learning-based control that reformulate systems with uncertain dynamics using a stochastic differential equation. Specifically, we discuss the approximation that replaces a model with fixed but…
As most natural resources, fisheries are affected by random disturbances. The evolution of such resources may be modelled by a succession of deterministic process and random perturbations on biomass and/or growth rate at random times. We…
In this paper, we study a delayed forward-backward stochastic control system in which all the coefficients depend on the state and control terms, and the control domain is not necessarily convex. A global stochastic maximum principle is…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
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…