Related papers: Solving Poisson's equation for birth-death chains:…
This paper explores foundational and applied aspects of survival analysis, using fall risk assessment as a case study. It revisits key time-related probability distributions and statistical methods, including logistic regression, Poisson…
The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state…
We study Poisson's equation in the context of general state space Markov chains. For chains satisfying a contraction assumption w.r.t. a Wasserstein distance, we show that a solution exists for Lipschitz functions and investigate its…
We study an approximation method of stationary characters of a two-dimensional Markov chain via the Stein method. For this purpose, innovative methods are developed to estimate the moments of the Markov chain, as well as the solution to the…
In 2019, Paulsson and collaborators conjectured that stochastic biochemical control networks have fundamental limits on how much intrinsic noise can be simultaneously suppressed across multiple components. Ripsman, Kell, and Hilfinger…
In this paper, we develop an in-depth analysis of non-reversible Markov chains on denumerable state space from a similarity orbit perspective. In particular, we study the class of Markov chains whose transition kernel is in the similarity…
Decision trees are flexible models that are well suited for many statistical regression problems. In a Bayesian framework for regression trees, Markov Chain Monte Carlo (MCMC) search algorithms are required to generate samples of tree…
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener…
We consider the problem of simultaneously inferring the heterogeneous coefficient field for a Robin boundary condition on an inaccessible part of the boundary along with the shape of the boundary for the Poisson problem. Such a problem…
This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…
This paper studies birth and death processes in interactive random environments where the birth and death rates and the dynamics of the state of the environment are dependent on each other. Two models of a random environment are considered:…
Applications of stochastic models often involve the evaluation of steady-state performance, which requires solving a set of balance equations. In most cases of interest, the number of equations is infinite or even uncountable. As a result,…
We develop a numerical strategy to solve multi-dimensional Poisson equations on dynamically adapted grids for evolutionary problems disclosing propagating fronts. The method is an extension of the multiresolution finite volume scheme used…
Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time…
Count data naturally arise in many fields, such as finance, neuroscience, and epidemiology, and discovering causal structure among count data is a crucial task in various scientific and industrial scenarios. One of the most common…
In this paper, we consider the Poisson equation on a "long" domain which is the Cartesian product of a one-dimensional long interval with a (d-1)-dimensional domain. The right-hand side is assumed to have a rank-1 tensor structure. We will…
The insurance model when the amount of claims depends on the state of the insured person (healthy, ill, or dead) and claims are connected in a Markov chain is investigated. The signed compound Poisson approximation is applied to the…
The authors consider stochastic aspects of the stabilization problem for two and three-dimensional Oseen equations with help of feedback control defined on a part of the fluid boundary. Stochastic issues arise when inevitable unpredictable…
Birth-death processes take place ubiquitously throughout the universe. In general, birth and death rates depend on the system size (corresponding to the number of products or customers undergoing the birth-death process) and thus vary every…