Related papers: Non-ergodic inference for stationary-increment har…

We consider the one dimensional boundary driven harmonic model and its continuous version, both introduced in \cite{FGK}. By combining duality and integrability the authors of \cite{FG} obtained the invariant measures in a combinatorial…

We prove a Nekhoroshev-type theorem for nearly integrable symplectic map. As an application of the theorem, we obtain the exponential stability symplectic algorithms. Meanwhile, we can get the bounds for the perturbation, the variation of…

In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a three-parameter family, which constitutes a natural…

We define the empiric stochastic stability of an invariant measure in the finite-time scenario, the classical definition of stochastic stability. We prove that an invariant measure of a continuous system is empirically stochastically stable…

Explicit stabilized methods are an efficient alternative to implicit schemes for the time integration of stiff systems of differential equations in large dimension. In this paper, we derive explicit stabilized integrators of orders one and…

We derive and study two different formalisms used for non-equilibrium processes: The coherent-state path integral, and an effective, coarse-grained stochastic equation of motion. We first study the coherent-state path integral and the…

In this paper we study the asymptotic theory for quadratic variation of a harmonizable fractional $\al$-stable process. We show a law of large numbers with a non-ergodic limit and obtain weak convergence towards a L\'evy-driven Rosenblatt…

In this article we investigate the controllability for neutral stochastic functional integro-differential equations with finite delay, driven by a fractional Brownian motion with Hurst parameter lesser than $1/2$ in a Hilbert space. We…

Explicit stabilized integrators are an efficient alternative to implicit or semi-implicit methods to avoid the severe timestep restriction faced by standard explicit integrators applied to stiff diffusion problems. In this paper, we provide…

We propose novel parameter estimation algorithms for a class of dynamical systems with nonlinear parametrization. The class is initially restricted to smooth monotonic functions with respect to a linear functional of the parameters. We show…

The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…

We consider countable system of harmonic oscillators on the real line with quadratic interaction potential with finite support and local external force (stationary stochastic process) acting only on one fixed particle. In the case of…

In the paper, we address parametric and non-parametric estimation for nonlinear stochastic differential equations with additive Hermite noise with possibly nonlinear scaling. We assume that a single trajectory of the solution is observed…

We generalize and extend the stochastic path integral formalism and action principle for continuous quantum measurement introduced in [A. Chantasri, J. Dressel and A. N. Jordan, Phys. Rev. A {\bf 88}, 042110 (2013)], where the optimal…

Path Integral Control methods were developed for stochastic optimal control covering a wide class of finite horizon formulations with control affine nonlinear dynamics. Characteristic for this class is that the HJB equation is linear and…

We present an embedding of stochastic optimal control problems, of the so called path integral form, into reproducing kernel Hilbert spaces. Using consistent, sample based estimates of the embedding leads to a model free, non-parametric…

This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…

Series representations consisting of spherical harmonics are obtained for characteristic exponents and probability density functions of multivariate stable distributions under various conditions. A esult potentially applicable in a…

For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…

We study a system of perfect integrate-and-fire inhibitory neurons. It is a system of stochastic processes which interact through receiving an instantaneous increase at the moments they reach certain thresholds. In the absence of…