Related papers: The continuous-time limit of quasi score-driven vo…
This paper develops a novel control-theoretic framework to analyze the non-asymptotic convergence of Q-learning. We show that the dynamics of asynchronous Q-learning with a constant step-size can be naturally formulated as a discrete-time…
Subcritical population processes are attracted to extinction and do not have non-trivial stationary distributions, which prompts the study of quasi-stationary distributions (QSDs) instead. In contrast to what generally happens for…
We study a finite-horizon covariance steering problem for discrete-time Markov jump linear systems (MJLS) with both state- and control-dependent multiplicative noise. The objective is to minimize a quadratic running cost while steering the…
Greedy-GQ with linear function approximation, originally proposed in \cite{maei2010toward}, is a value-based off-policy algorithm for optimal control in reinforcement learning, and it has a non-linear two timescale structure with the…
The aim of this paper is to represent any continuous local martingale as an almost sure limit of a nested sequence of simple, symmetric random walks, time changed by a discrete quadratic variation process. One basis of this is a similar…
Recovering properties of correlation functions is typically challenging. On one hand, experimentally, it requires measurements with a temporal resolution finer than the system's dynamics. On the other hand, analytical or numerical analysis…
For non-uniformly hyperbolic dynamical systems we consider the time series of maxima along typical orbits. Using ideas based upon quantitative recurrence time statistics we prove convergence of the maxima (under suitable normalization) to…
This paper provides a semiparametric model of estimating states of the volatility defined as the squared diffusion coefficient of a stochastic differential equation. Without assuming any functional form of the volatility function, we…
The present paper is devoted to the investigation of the long term behavior of a class of singular multi-dimensional diffusion processes that get absorbed in finite time with probability one. Our focus is on the analysis of quasi-stationary…
We propose two numerical schemes for approximating quasi-stationary distributions (QSD) of finite state Markov chains with absorbing states. Both schemes are described in terms of certain interacting chains in which the interaction is given…
We consider the problem of adaptive stabilization for discrete-time, multi-dimensional linear systems with bounded control input constraints and unbounded stochastic disturbances, where the parameters of the true system are unknown. To…
Coarse-grained models of chaotic systems neglect unresolved degrees of freedom, inducing structured model error that limits predictability and distorts long-term statistics. Typical data-driven closures are trained to minimize error over a…
We propose to experimentally test non-deterministic time evolution in quantum mechanics by consecutive measurements of non-commuting observables on the same prepared state. While in the standard theory the measurement outcomes are…
In this paper we introduce a general method for estimating the quadratic covariation of one or more spot parameters processes associated with continuous time semimartingales. This estimator is applicable to a wide range of spot parameter…
While Variational Inequality (VI) is a well-established mathematical framework that subsumes Nash equilibrium and saddle-point problems, less is known about its extension, Quasi-Variational Inequalities (QVI). QVI allows for cases where the…
We study the asymptotic behavior of estimators of a two-valued, discontinuous diffusion coefficient in a Stochastic Differential Equation, called an Oscillating Brownian Motion. Using the relation of the latter process with the Skew…
We develop a general framework to investigate fluctuations of non-commuting observables. To this end, we consider the Keldysh quasi-probability distribution (KQPD). This distribution provides a measurement-independent description of the…
In this paper we consider the controllability of certain class of non-autonomous neutral evolution stochastic functional differential equations, with time varying delays, driven by a fractional Brownian motion in a separable real Hilbert…
The non-extensive statistical mechanics has been applied to describe a variety of complex systems with inherent correlations and feedback loops. Here we present a dynamical model based on previously proposed static model exhibiting in the…
In this paper we study nonlinear $q$-voter model with stochastic driving on a complete graph. We investigate two types of stochasticity that, using the language of social sciences, can be interpreted as different kinds of nonconformity.…