Related papers: Duration-dependent stochastic fluid processes and …
We develop a stochastic parametrization, based on a `simple' deterministic model for the dynamics of steady longshore currents, that produces ensembles that are statistically consistent with field observations of these currents. Unlike…
We argue that magnetic flux-conservation in turbulent plasmas at high magnetic Reynolds numbers neither holds in the conventional sense nor is entirely broken, but instead is valid in a novel statistical sense associated to the "spontaneous…
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…
For a timely decarbonization of our economy, power systems need to accommodate increasing numbers of clean but stochastic resources. This requires new operational methods that internalize this stochasticity to ensure safety and efficiency.…
We consider a stochastic process with long-range dependence perturbed by multiplicative noise. The marginal distributions of both the original process and the noise have regularly-varying tails, with tail indices $\alpha,\alpha'>0$,…
Truckload procurement plays a vital role in integrated container logistics, particularly under the uncertainties of container flow and market conditions. We formulate the operational volume allocation problem in drayage procurement as a…
This paper describes a model for generating time series which exhibit the statistical phenomenon known as long-range dependence (LRD). A Markov Modulated Process based upon an infinite Markov chain is described. The work described is…
Many records in environmental sciences exhibit asymmetric trajectories and there is a need for simple and tractable models which can reproduce such features. In this paper we explore an approach based on applying both a time change and a…
In line with Pomeau's conjecture about the relevance of directed percolation (DP) to turbulence onset/decay in wall-bounded flows, we propose a minimal stochastic model dedicated to the interpretation of the spatially intermittent regimes…
The use of photovoltaic (PV) sources is becoming very popular in smart grid for their ecological benefits, with higher scalability and utilization for local generation and delivery. PV can also potentially avoid the energy losses that are…
We show that a substantial portion of stochastic calculus can be developed along similar lines to ordinary calculus, with derivative-based concepts driving the development. We define a notion of stopping derivative, which is a form of right…
A family of exponential martingales of a stochastic Laplacian growth problem is proposed. Stochastic Laplacian growth describes a regularized interface dynamics in a two-fluid system, where the viscous fluid is incompressible at a large…
A simple variational Lagrangian is proposed for the time development of an arbitrary density matrix, employing the "factorization" of the density. Only the "kinetic energy" appears in the Lagrangian. The formalism applies to pure and mixed…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
The increasing penetration of renewable energy requires greater use of storage resources to manage system intermittency. As a result, there is growing interest in evaluating the opportunity cost of stored energy, or usage values, which can…
A stochastic process $X$ becomes occupied when it is enlarged with its occupation flow $\mathcal{O}$ that tracks the time spent by the path at each level. When $X$ is Markov, the occupied process $(\mathcal{O},X)$ enjoys a Markov structure…
We propose a framework employing stochastic differential equations to facilitate the long-term stability analysis of power grids with intermittent wind power generations. This framework takes into account the discrete dynamics which play a…
Suppose you are a fund manager with \$100 million to deploy and two years to invest it. A deal comes across your desk that looks appealing but costs \$50 million -- half of your available capital. Should you take it, or wait for something…
This paper addresses the real-time energy dispatch of a hybrid system comprising cascaded hydropower plants, wind, and solar units, jointly participating in the day-ahead energy market under inflow, renewable generation, and price…
We consider an orienteering problem (OP) where an agent needs to visit a series (possibly a subset) of depots, from which the maximal accumulated profits are desired within given limited time budget. Different from most existing works where…