Related papers: On a notion of stochastic zeroing barrier function
Regularity of solutions is studied for backward stochastic parabolic Ito equations. An analog of the second energy inequality and the related existence theorem are obtained for domains with boundary.
We present a numerical method for computing optimal transition pathways and transition rates in systems of stochastic differential equations (SDEs). In particular, we compute the most probable transition path of stochastic equations by…
In this note we define and study a Hilbert space-valued stochastic integral of operator-valued functions with respect to Hilbert space-valued measures. We show that this integral generalizes the classical Ito stochastic integral of adapted…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
We use Yosida approximation to find an It\^o formula for mild solutions $\left\{X^x(t), t\geq 0\right\}$ of SPDEs with Gaussian and non-Gaussian coloured noise, the non Gaussian noise being defined through compensated Poisson random measure…
The dynamics of interacting quantum systems in the presence of disorder is studied and an exact representation for disorder-averaged quantities via Ito stochastic calculus is obtained. The stochastic integral representation affords many…
The matching problem plays a basic role in combinatorial optimization and in statistical mechanics. In its stochastic variants, optimization decisions have to be taken given only some probabilistic information about the instance. While the…
We address the problem of safety verification for nonlinear stochastic systems, specifically the task of certifying that system trajectories remain within a safe set with high probability. To tackle this challenge, we adopt a set-erosion…
This paper studies the existence and uniqueness of solution of It\^o type stochastic differential equation $dx(t)=b(t, x(t), \om)dt+\si(t,x(t), \om) d B(t)$, where $B(t)$ is a fractional Brownian motion of Hurst parameter $H>1/2$ and…
The aim of this work is to use systematically the symmetries of the (one dimensional) bacward heat equation with potentiel in order to solve certain one dimensional It\^o's stochastic differential equations. The special form of the drift…
In this work we are interested in effectively solving the quasi-static, linear Biot model for poromechanics. We consider the fixed-stress splitting scheme, which is a popular method for iteratively solving Biot's equations. It is well-known…
We propose a novel zero-order control barrier function (ZOCBF) for sampled-data systems to ensure system safety. Our formulation generalizes conventional control barrier functions and straightforwardly handles safety constraints with…
The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method is studied. When the parameter theta takes different values, the requirements on the drift and diffusion…
Stochastic differential equations (SDE) are widely used in modeling stochastic dynamics in literature. However, SDE alone is not enough to determine a unique process. A specified interpretation for stochastic integration is needed.…
An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…
Ambiguities in the functional-integral solution of the stochastic differential equation (SDE) arising due to the definition on the functional Jacobi determinant and the white-in-time limit in the noise are analyzed and two forms of the de…
An important tool for proving safety of dynamical systems is the notion of a barrier certificate. In this paper we prove that every robustly safe ordinary differential equation has a barrier certificate. Moreover, we show a construction of…
Safety control of dynamical systems using barrier functions relies on knowing the full state information. This paper introduces a novel approach for safety control in uncertain MIMO systems with partial state information. The proposed…
A barrier certificate, defined over the states of a dynamical system, is a real-valued function whose zero level set characterizes an inductively verifiable state invariant separating reachable states from unsafe ones. When combined with…
We give an infinitesimal meaning to the symbol $dX_t$ for a continuous semimartingale $X$ at an instant in time $t$. We define a vector space structure on the space of differentials at time $t$ and deduce key properties consistent with the…