Related papers: Max- and min-stability under first-order stochasti…
Optimization problems with stochastic dominance constraints provide a possibility to shape risk by selecting a benchmark random outcome with a desired distribution. The comparison of the relevant random outcomes to the respective benchmarks…
Are spinodal instabilities the leading mechanism in the fragmentation of a fermionic system? Numerous experimental indications suggest such a scenario and stimulated much effort in giving a suitable description, without being finalised in a…
Here we give a necessary and sufficient condition for the convergence to a random max infinitely divisible law from that of a random maximum. We then discuss random max-stable laws, their domain of max-attraction and the associated extremal…
Multistability is an inseparable feature of many physical, chemical and biological systems which are driven far from equilibrium. In these nonequilibrium systems, stochastic dynamics often induces switching between distinct states on…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
The classical maximum principle for optimal stochastic control states that if a control $\hat{u}$ is optimal, then the corresponding Hamiltonian has a maximum at $u=\hat{u}$. The first proofs for this result assumed that the control did not…
$\Gamma$-maximin, $\Gamma$-maximax and inteval dominance are familiar decision criteria for making decisions under severe uncertainty, when probability distributions can only be partially identified. One can apply these three criteria by…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
We study Tao's finitary viewpoint of convergence in metric spaces, as captured by the notion of metastability. We adopt the perspective of continuous model theory. We show that, in essence, metastable convergence with a given rate is the…
Multidimensional persistence studies topological features of shapes by analyzing the lower level sets of vector-valued functions. The rank invariant completely determines the multidimensional analogue of persistent homology groups. We prove…
We investigate the influence of intrinsic noise on stable states of a one-dimensional dynamical system that shows in its deterministic version a saddle-node bifurcation between monostable and bistable behaviour. The system is a modified…
This paper analyzes stochastic networks consisting of a set of finite capacity sites where different classes of individuals move according to some routing policy. The associated Markov jump processes are analyzed under a thermodynamic limit…
Higher order risk measures are stochastic optimization problems by design, and for this reason they enjoy valuable properties in optimization under uncertainties. They nicely integrate with stochastic optimization problems, as has been…
We study Max-Product and Max-Plus Systems with Markovian Jumps and focus on stochastic stability problems. At first, a Lyapunov function is derived for the asymptotically stable deterministic Max-Product Systems. This Lyapunov function is…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
We derive a functional limit theorem for the partial maxima process based on a long memory stationary $\alpha$-stable process. The length of memory in the stable process is parameterized by a certain ergodic-theoretical parameter in an…
The cloud of cold atoms obtained from a magneto-optical trap is known to exhibit two types of instabilities in the regime of high atomic densities: stochastic instabilities and deterministic instabilities. In the present paper, the…
In classical and quantum information theory, operational quantities such as the amount of randomness that can be extracted from a given source or the amount of space needed to store given data are normally characterized by one of two…
We study an extended system that without noise shows a monostable dynamics, but when submitted to an adequate multiplicative noise, an effective bistable dynamics arise. The stochastic resonance between the attractors of the…
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…