Related papers: Duration-dependent stochastic fluid processes and …
We introduce a stochastic traffic flow model to describe random traffic accidents on a single road. The model is a piecewise deterministic process incorporating traffic accidents and is based on a scalar conservation law with…
This paper deals with the problems of stochastic stability and sliding mode control for a class of continuous-time Markovian jump systems with mode-dependent time-varying delays and partly unknown transition probabilities. The design method…
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…
We address the reachability problem for continuous-time stochastic dynamic systems. Our objective is to present a unified framework that characterizes the reachable set of a dynamic system in the presence of both stochastic disturbances and…
A new fatigue life prediction method using the energy-based approach under uniaxial and multiaxial random loadings is proposed in this paper. One unique characteristic of the proposed method is that it uses time-derivative damage…
We consider a logistics planning problem of prepositioning relief items in preparation for an impending hurricane landfall. This problem is modeled as a multiperiod network flow problem where the objective is to minimize the logistics cost…
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equation and compute the conditional expectation using a novel…
Heteroscedastic Gaussian process regression, based on the concept of chained Gaussian processes, is used to build surrogates to predict site-specific loads on an offshore wind turbine. Stochasticity in the inflow turbulence and irregular…
We consider a renewal process that is conditioned on the number of events in a fixed time horizon. We prove that a centered and scaled version of this process converges to a Brownian bridge, as the number of events grows large, which relies…
Generative models have demonstrated remarkable success in domains such as text, image, and video synthesis. In this work, we explore the application of generative models to fluid dynamics, specifically for turbulence simulation, where…
Understanding and predicting the dynamical properties of systems involving dry friction is a major concern in physics and engineering. It abounds in many mechanical processes, from the sound produced by a violin to the screeching of chalk…
We consider two classes of irreducible Markovian arrival processes specified by the matrices $C$ and $D$. The Markov Modulated Poison Process (MMPP) and the Markovian Switched Poison Process (MSPP). The former exhibits a diagonal $D$ while…
This paper introduces a linear state-space model with time-varying dynamics. The time dependency is obtained by forming the state dynamics matrix as a time-varying linear combination of a set of matrices. The time dependency of the weights…
We propose a constructive approach to building temporal point processes that incorporate dependence on their history. The dependence is modeled through the conditional density of the duration, i.e., the interval between successive event…
In this thesis, we propose and analyze a multi-server model that captures a performance trade-off between centralized and distributed processing. In our model, a fraction $p$ of an available resource is deployed in a centralized manner…
In the paper we consider some piecewise deterministic Markov process whose continuous component evolves according to semiflows, which are switched at the jump times of a Poisson process. The associated Markov chain describes the states of…
Given a stochastic structure with a filtration $\mathbb{F}$, the class of all random times whose conditional distribution functions are differentiable with respect to some $\mathbb{F}$ adapted non decreasing processes is considered. The…
Within a Lagrangian formalism we derive the time-dependent Gutzwiller approximation for general multi-band Hubbard models. Our approach explicitly incorporates the coupling between time-dependent variational parameters and a time-dependent…
Simulating realistic wet and dry spells is central in weather generators and climate-impact studies. While finite-order Markov chains are standard, they often fail to reproduce persistent dry conditions due to their inherent subexponential…