Related papers: Optimal Coupling of Jumpy Brownian Motion on the C…
In this paper, we consider pursuit-evasion and probabilistic consequences of some geometric notions for bounded and suitably regular domains in Euclidean space that are CAT(kappa) for some kappa > 0. These geometric notions are useful for…
In this paper we provide a thorough, rigorous theoretical framework to assess optimality guarantees of sampling-based algorithms for drift control systems: systems that, loosely speaking, can not stop instantaneously due to momentum. We…
Markov jump processes are widely used to model natural and engineered processes. In the context of biological or chemical applications one typically refers to the chemical master equation (CME), which models the evolution of the probability…
We study a finite-horizon stochastic control criterion for non-convex optimization in which Brownian exploration is balanced against a quadratic control cost. Rather than emphasizing the classical Hopf--Cole representation, we isolate the…
Consider the first exit time of one-dimensional Brownian motion $\{B_s\}_{s\geq 0}$ from a random passageway. We discuss a Brownian motion with two time-dependent random boundaries in quenched sense. Let $\{W_s\}_{s\geq 0}$ be an other…
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional…
Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Breaking the general assumption that the knowledge of the holder is restricted to the price history of the…
We consider an infinite system of Brownian motions which interact through a given Brownian motion being reflected from its left neighbor. Earlier we studied this system for deterministic periodic initial configurations. In this contribution…
This paper investigates large-population stochastic control problems in which agents share their state information and cooperate to minimize a convex cost functional. The latter is decomposed into individual and coupling costs, with the…
We consider the motion of a particle in a two-dimensional spatially homogeneous mixing potential and show that its momentum converges to the Brownian motion on a circle. This complements the limit theorem of Kesten and Papanicolaou…
We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate can never decrease. We solve the resulting two-dimensional…
This work explores a synchronization-like phenomenon induced by common noise for continuous-time Markov jump processes given by chemical reaction networks. A corresponding random dynamical system is formulated in a two-step procedure, at…
Dynamical decoupling is a technique aimed at suppressing the interaction between a quantum system and its environment by applying frequent unitary operations on the system alone. In the present paper, we analytically study the dynamical…
We consider the bias arising from time discretization when estimating the threshold crossing probability $w(b) := \mathbb{P}(\sup_{t\in[0,1]} B_t > b)$, with $(B_t)_{t\in[0,1]}$ a standard Brownian Motion. We prove that if the…
We present an exact, time-resolved theory for a two-dimensional chiral active Brownian particle (cABP) with translational inertia. Using a Laplace-transform moment hierarchy, we derive closed-form expressions for the mean velocity,…
This is a case study concerning the rate at which probabilistic coupling occurs for nilpotent diffusions. We focus on the simplest case of Kolmogorov diffusion (Brownian motion together with its time integral, or, slightly more generally,…
The validity of optimized dynamical decoupling (DD) is extended to analytically time dependent Hamiltonians. As long as an expansion in time is possible the time dependence of the initial Hamiltonian does not affect the efficiency of…
We analyze the simultaneous time-optimal control of two-spin systems. The two non coupled spins which differ in the value of their chemical offsets are controlled by the same magnetic fields. Using an appropriate rotating frame, we restrict…
We present an exact solution for one-dimensional overdamped dynamics near a hard wall, allowing us to connect steady-state distributions under confinement with the extreme value statistics of unconfined stochastic processes. This mapping…
We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. We give series expansions…