Related papers: Explicit approximations for nonlinear switching di…
We study the limit behaviour of a generally non-linear ordinary differential equation whose solution is a superadditive generalisation of a stochastic matrix, and provide necessary and sufficient conditions for this solution to be ergodic,…
This paper studies the equivalence between differentiable and non-differentiable dynamics in Rn. Filippov's theory of discontinuous differential equations allows us to find flow solutions of dynamical systems whose vector fields undergo…
Suppose X is a multivariate diffusion process that is observed discretely in time. At each observation time, a transformation of the state of the process is observed with noise. The smoothing problem consists of recovering the path of the…
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an…
A discrete time stochastic model for a multiagent system given in terms of a large collection of interacting Markov chains is studied. The evolution of the interacting particles is described through a time inhomogeneous transition…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),\Lambda(t))$, where $\Lambda(t)$ is a component representing discrete events taking values in a countably infinite…
We consider the diffusion process and its approximation by Markov chain with nonlinear increasing trends. The usual parametrix method is not appliable because these models have unbounded trends. We describe a procedure that allows to…
In previous publications, we showed that the incremental process of the chaotic diffusion of dissipative solitons in a prototypical complex Ginzburg-Landau equation, known, e.g., from nonlinear optics, is governed by a simple Markov process…
We establish an abstract, effective, exponential large deviations type estimate for Markov systems satisfying a weaker form of mixing. We employ this result to derive such estimates, as well as a central limit theorem, for the skew product…
In this note we consider a Markov chain formed by a finite system of interacting birth-and-death processes on a finite state space. We study an asymptotic behaviour of the Markov chain as its state space becomes large. In particular, we…
This work is concerned with robust filtering of nonlinear sampled-data systems with and without exact discrete-time models. A linear matrix inequality (LMI) based approach is proposed for the design of robust $H_{\infty}$ observers for a…
We propose a nonlinear Discrete Duality Finite Volume scheme to approximate the solutions of drift diffusion equations. The scheme is built to preserve at the discrete level even on severely distorted meshes the energy / energy dissipation…
Biochemical reactions can happen on different time scales and also the abundance of species in these reactions can be very different from each other. Classical approaches, such as deterministic or stochastic approach, fail to account for or…
Markov control algorithms that perform smooth, non-greedy updates of the policy have been shown to be very general and versatile, with policy gradient and Expectation Maximisation algorithms being particularly popular. For these algorithms,…
For a nonlinear diffusion equation on graphs whose nonlinearity violates the Lipschitz condition, we prove short-time solution existence and characterize global well-posedness by establishing sufficient criteria for blow-up phenomena and…
In this paper, we study small noise asymptotics of Markov-modulated diffusion processes in the regime that the modulating Markov chain is rapidly switching. We prove the joint sample-path large deviations principle for the Markov-modulated…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
We address an original approach for the convergence analysis of a finite-volume scheme for the approximation of a stochastic diffusion-convection equation with multiplicative noise in a bounded domain of $\mathbb{R}^d$ (with $d=2$ or $3$)…
We demonstrate an approach to the numerical solution of nonlinear stochastic differential equations with Markovian switching. Such equations describe the stochastic dynamics of processes where the drift and diffusion coefficients are…