Related papers: Explicit approximations for nonlinear switching di…
This paper is concerned with stochastic processes that model multiple (or iterated) scattering in classical mechanical systems of billiard type, defined below. From a given (deterministic) system of billiard type, a random process with…
The identifiability of latent variable models has received increasing attention due to its relevance in interpretability and out-of-distribution generalisation. In this work, we study the identifiability of Switching Dynamical Systems,…
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffusion process on a finite time interval. For broad classes of…
We propose and study a one-dimensional model which consists of two cross-diffusion systems coupled via a moving interface. The motivation stems from the modelling of complex diffusion processes in the context of the vapor deposition of thin…
The linear response of a dynamical system refers to changes to properties of the system when small external perturbations are applied. We consider the little-studied question of selecting an optimal perturbation so as to (i) maximise the…
A system of interacting Brownian particles subject to short-range repulsive potentials is considered. A continuum description in the form of a nonlinear diffusion equation is derived systematically in the dilute limit using the method of…
We study infinite horizon control of continuous-time non-linear branching processes with almost sure extinction for general (positive or negative) discount. Our main goal is to study the link between infinite horizon control of these…
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the…
In this paper we introduce a novel method to simulate lateral diffusion of inclusions in a fluctuating membrane. The regarded systems are governed by two dynamic processes: the height fluctuations of the membrane and the diffusion of the…
In the continuity of a recent paper ([6]), dealing with finite Markov chains, this paper proposes and analyzes a recursive algorithm for the approximation of the quasi-stationary distribution of a general Markov chain living on a compact…
We develop a general theory dealing with stochastic models for dynamical systems that are governed by various nonlinear, ordinary or partial differential, equations. In particular, we address the problem how flows in the random medium…
This work is devoted to the almost sure stabilization of adaptive control systems that involve an unknown Markov chain. The control system displays continuous dynamics represented by differential equations and discrete events given by a…
We propose a finite volume scheme for convection-diffusion equations with nonlinear diffusion. Such equations arise in numerous physical contexts. We will particularly focus on the drift-diffusion system for semiconductors and the porous…
Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
The article presents a novel variational calculus to analyze the stability and the propagation of chaos properties of nonlinear and interacting diffusions. This differential methodology combines gradient flow estimates with backward…
We develop a diffusion approximation for systems subject to fast random resetting by small amplitudes. Equivalently, this describes systems with frequent but small catastrophes. We demonstrate the validity of the approximation by computing…
In this paper we establish a diffusion limit for a multivariate continuous time Markov chain whose components are indexed by vertices of a finite graph. The components take values in a common finite set of non-negative integers and evolve…
Social learning strategies enable agents to infer the underlying true state of nature in a distributed manner by receiving private environmental signals and exchanging beliefs with their neighbors. Previous studies have extensively focused…
The paper presents a generalization of the local limit theorem on the convergence of inhomogeneous Markov chains to the diffusion limit for the case where the corresponding process coefficients satisfy weak regularity conditions and…