Related papers: Kolmogorov's Equations for Jump Markov Processes a…

The paper studies an improved estimate for the rate of convergence for nonlinear homogeneous discrete-time Markov chains. These processes are nonlinear in terms of the distribution law. Hence, the transition kernels are dependent on the…

In order to formally verify robotic controllers, we must tackle the inherent uncertainty of sensing and actuation in a physical environment. We can model uncertainty using stochastic hybrid systems, which combine discrete jumps with…

We consider a system of $N$ particles interacting through their empirical distribution on a finite state space in continuous time. In the formal limit as $N\to\infty$, the system takes the form of a nonlinear (McKean--Vlasov) Markov chain.…

Extended systems governed by partial differential equations can, under suitable conditions, be approximated by means of sets of ordinary differential equations for global quantities capturing the essential features of the systems dynamics.…

Consider the linear stochastic differential equation (SDE) on $\mathbb{R}^n$: \[\mathrm {d}{X}_t=AX_t\,\mathrm{d}t+B\,\mathrm{d}L_t,\] where $A$ is a real $n\times n$ matrix, $B$ is a real $n\times d$ real matrix and $L_t$ is a L\'{e}vy…

Path-wise observables--functionals of stochastic trajectories--are at the heart of time-average statistical mechanics and are central to thermodynamic inequalities such as uncertainty relations, speed limits, and correlation-bounds. They…

We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the…

"Quantum trajectories" are solutions of stochastic differential equations also called Belavkin or Stochastic Schr\"odinger Equations. They describe random phenomena in quantum measurement theory. Two types of such equations are usually…

In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…

We solve the Chapman-Kolmogorov equation and study the exact splitting probabilities of the general stochastic process which describes polymer translocation through membrane pores within the broad class of Markov chains. Transition…

Jump Markov linear models consists of a finite number of linear state space models and a discrete variable encoding the jumps (or switches) between the different linear models. Identifying jump Markov linear models makes for a challenging…

We examine nonlinear Kolmogorov partial differential equations (PDEs). Here the nonlinear part of the PDE comes from its Hamiltonian where one maximizes over all possible drift and diffusion coefficients which fall within a…

This paper constructs a solvability theory for a system of stochastic partial differential equations. On account of the Kolmogorov continuity theorem, solutions are looked for in certain H\"older-type classes in which a random field is…

The aim of this article is to construct solutions to second order in time stochastic partial differential equations and to show hypocoercivity of the corresponding transition semigroups. More generally, we analyze non-linear…

Automated synthesis of provably correct controllers for cyber-physical systems is crucial for deployment in safety-critical scenarios. However, hybrid features and stochastic or unknown behaviours make this problem challenging. We propose a…

In this paper is described the general aspect of a numerical method for piecewise determin-istic Markov processes with boundary. Under very natural hypotheses, a crucial result about uniqueness of solution of a generalized Kolmogorov…

The hierarchy of exact equations is given that relates two-spatial-point velocity structure functions of arbitrary order with other statistics. Because no assumption is used, the exact statistical equations can apply to any flow for which…

Starting from an iterative and hence numerically easily implementable representation of the thin set of jumps of a c\`{a}dl\`{a}g adapted stochastic process $X$ (including a few applications to the integration with respect to the jump…

This is lecture notes on the course "Stochastic Processes". In this format, the course was taught in the spring semesters 2017 and 2018 for third-year bachelor students of the Department of Control and Applied Mathematics, School of Applied…

In the paper, stationary measures of stochastic differential equations with jumps are considered. Under some general conditions, existence of stationary measures is proved through Markov measures and Lyapunov functions. Moreover, for two…