Related papers: Optimal time estimation and the clock uncertainty …
A piecewise-deterministic Markov process is a stochastic process whose behavior is governed by an ordinary differential equation punctuated by random jumps occurring at random times. We focus on the nonparametric estimation problem of the…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L\'evy process. More specifically, we investigate the asymptotic theory for the conditional mean…
A general formalism is developed to construct a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are therefore internal to the system and not externally specified. For…
Measurements of any property of a microscopic system are bound to show significant deviations from the average, due to thermal fluctuations. For time-integrated currents such as heat, work or entropy production in a steady state, it is in…
We study the limit behaviour of upper and lower bounds on expected time averages in imprecise Markov chains; a generalised type of Markov chain where the local dynamics, traditionally characterised by transition probabilities, are now…
A jumping process, defined in terms of jump size distribution and waiting time distribution, is presented. The jumping rate depends on the process value. The process, which is Markovian and stationary, relaxes to an equilibrium and is…
In the last few decades, noise-induced large fluctuations and transition phenomena have garnered significant attention in a variety of scientific contexts. The concept of prehistory probability has been proposed within the framework of…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
Obtaining sharp estimates for quantities involved in a given model is an integral part of the modeling process. For dynamical systems whose orbits display a complicated, perhaps chaotic, behaviour, the aim is usually to estimate time or…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
In this study, we address the central issue of statistical inference for Markov jump processes using discrete time observations. The primary problem at hand is to accurately estimate the infinitesimal generator of a Markov jump process, a…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
This paper is concerned with the development of rigorous approximations to various expectations associated with Markov chains and processes having non-stationary transition probabilities. Such non-stationary models arise naturally in…
We study one-sided and $\alpha$-correct sequential hypothesis testing for data generated by an ergodic Markov chain. The null hypothesis is that the unknown transition matrix belongs to a prescribed set $P$ of stochastic matrices, and the…
The measure timetable plays a critical role for the accuracy of the estimator. This article deals with the optimization of the schedule of measures for observing a random process in time using a Kalman filter, when the length of the process…
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…
Safety-critical navigation applications require that estimation errors be reliably quantified and bounded. This can be challenging for linear dynamic systems if the process noise or measurement errors have uncertain time correlation. In…