Related papers: Brownian Motion in Isabelle/HOL
We prove stochastic stability of chaotic maps for a general class of Markov random perturbations (including singular ones) satisfying some kind of mixing conditions. One of the consequences of this statement is the proof of Ulam's…
This article is devoted to study stochastic lattice dynamical systems driven by a fractional Brownian motion with Hurst parameter $H\in(1/2,1)$. First of all, we investigate the existence and uniqueness of pathwise mild solutions to such…
In this paper we present an efficient approach to implementing model checking in the Higher Order Logic (HOL) of Isabelle. This is a non-trivial task since model checking is restricted to finite state sets. By restricting our scope to…
This paper first describes a class of uncertain stochastic control systems with Markovian switching, and derives an It\^o-Liu formula for Markov-modulated processes. And we characterize an optimal control law, which satisfies the…
Verification theorems are key results to successfully employ the dynamic programming approach to optimal control problems. In this paper we introduce a new method to prove verification theorems for infinite dimensional stochastic optimal…
This paper aims to establish second order necessary conditions for optimal control in quantum stochastic systems. We employ a variational approach, analogous to methods in classical stochastic control, to analyze systems governed by quantum…
Probabilistic model checkers like PRISM only check probabilistic systems of a fixed size. To guarantee the desired properties for an arbitrary size, mathematical analysis is necessary. We show for two case studies how this can be done in…
Over the last decade, hidden Markov models (HMMs) have become increasingly popular in statistical ecology, where they constitute natural tools for studying animal behavior based on complex sensor data. Corresponding analyses sometimes…
In this paper we consider the problem of parameter inference for Markov jump process (MJP) representations of stochastic kinetic models. Since transition probabilities are intractable for most processes of interest yet forward simulation is…
We present an automated verification of the well-known modal logic cube in Isabelle/HOL, in which we prove the inclusion relations between the cube's logics using automated reasoning tools. Prior work addresses this problem but without…
We consider a robust impulse control problem in finite horizon where the underlying uncertainty stems from an impulsively and continuously controlled functional stochastic differential equation (FSDE) driven by Brownian motion. We assume…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
We construct a class of iterated stochastic integrals with respect to Brownian motion on an abstract Wiener space which allows for the definition of Brownian motions on a general class of infinite-dimensional nilpotent Lie groups based on…
In [ABM07], Abdulla et al. introduced the concept of decisiveness, an interesting tool for lifting good properties of finite Markov chains to denumerable ones. Later, this concept was extended to more general stochastic transition systems…
In this letter, we construct cusum change-point tests for the Hurst exponent and the volatility of a discretely observed fractional Brownian motion. As a statistical application of the functional Breuer-Major theorems by B\'egyn (2007) and…
This paper presents the mechanization of a process algebra for Mobile Ad hoc Networks and Wireless Mesh Networks, and the development of a compositional framework for proving invariant properties. Mechanizing the core process algebra in…
Precision control of a quantum system requires accurate determination of the effective system Hamiltonian. We develop a method for estimating the Hamiltonian parameters for some unknown two-state system and providing uncertainty bounds on…
In this work we provide a computationally tractable procedure for designing affine control policies, applied to constrained, discrete-time, partially observable, linear systems subject to set bounded disturbances, stochastic noise and…
Surprisingly the looking natural random walk leading to Brownian motion occurs to be often biased in a very subtle way: usually refers to only approximate fulfillment of thermodynamical principles like maximizing uncertainty. Recently, a…
Real-time hybrid testing is a method in which a substructure of the system is realised experimentally and the rest numerically. The two parts interact in real time to emulate the dynamics of the full system. Such experiments however are…