Related papers: Jacobi processes with jumps as neuronal models: a …
This paper introduces a novel methodology for the identification of switching dynamics for switched autoregressive linear models. Switching behavior is assumed to follow a Markov model. The system's outputs are contaminated by possibly…
We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…
The Jacobi prior offers an alternative Bayesian framework, designed to achieve superior computational efficiency without compromising predictive performance. Compared to widely used methods such as Lasso, Ridge, Elastic Net, uniLasso, the…
Firing across populations of neurons in many regions of the mammalian brain maintains a temporal memory, a neural timeline of the recent past. Behavioral results demonstrate that people can both remember the past and anticipate the future…
Many systems across the sciences evolve through a combination of multiplicative growth and diffusive transport. In the presence of disorder, these systems tend to form localized structures which alternate between long periods of relative…
The spike trains are the main components of the information processing in the brain. To model spike trains several point processes have been investigated in the literature. And more macroscopic approaches have also been studied, using…
We study the transition in conductance properties of chaotic mesoscopic cavities as time-reversal symmetry is broken. We consider the Brownian motion model for transmission eigenvalues for both types of transitions, viz., orthogonal-unitary…
We consider the problem of bounding mean first passage times for a class of continuous-time Markov chains that captures stochastic interactions between groups of identical agents. The quantitative analysis of such probabilistic population…
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…
Using the crystallization transition in a Lennard-Jones fluid as example, we show that mean first-passage time based methods may underestimate the reaction rates. We trace the reason of this deficiency back to the non-Markovian character of…
The estimation of absorption time distributions of Markov jump processes is an important task in various branches of statistics and applied probability. While the time-homogeneous case is classic, the time-inhomogeneous case has recently…
The presence of temporal correlations in random movement trajectories is a widespread phenomenon across biological, chemical and physical systems. The ubiquity of persistent and anti-persistent motion in many natural and synthetic systems…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
The research work outlined in the present note highlights the essential role played by the simulation procedures implemented by us on CINECA supercomputers to complement the mathematical investigations carried within our group over the past…
Motivated by L\'{e}vy's characterization of Brownian motion on the line, we propose an analogue of Brownian motion that has as its state space an arbitrary closed subset of the line that is unbounded above and below: such a process will be…
The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two…
In this paper we introduce an iterative Jacobi algorithm for solving distributed model predictive control (DMPC) problems, with linear coupled dynamics and convex coupled constraints. The algorithm guarantees stability and persistent…
We study a one-dimensional Markov modulated random walk with jumps. It is assumed that amplitudes of jumps as well as a chosen velocity regime are random and depend on a time spent by the process at a previous state of the underlying Markov…
We study random walk on complex networks with transition probabilities which depend on the current and previously visited nodes. By using an absorbing Markov chain we derive an exact expression for the mean first passage time between pairs…
Interpreting partial information collected from systems subject to noise is a key problem across scientific disciplines. Theoretical frameworks often focus on the dynamics of variables that result from coarse-graining the internal states of…