Related papers: Asymptotic behaviour of coupled random dynamical s…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
Evolutionary game theory has been successfully used to investigate the dynamics of systems, in which many entities have competitive interactions. From a physics point of view, it is interesting to study conditions under which a coordination…
We introduce a new dynamical system, at the interface between second-order dynamics with inertia and Newton's method. This system extends the class of inertial Newton-like dynamics by featuring a time-dependent parameter in front of the…
Standard dynamical systems theory is centred around the coordinate-invariant asymptotic-time properties of autonomous systems. We identify three limitations of this approach. Firstly, we discuss how the traditional approach cannot take into…
We consider stochastic dynamical systems defined by differential equations with a uniform random time delay. The latter equations are shown to be equivalent to deterministic higher-order differential equations: for an $n$-th order equation…
Chance constrained optimization problems allow to model problems where constraints involving stochastic components should only be violated with a small probability. Evolutionary algorithms have been applied to this scenario and shown to…
Let us consider a solution of the time-inhomogeneous stochastic differential equation driven by a Brownian motion with drift coefficient $b(t,x)=\rho\,{\rm sgn}(x)|x|^\alpha/t^\beta$. This process can be viewed as a distorted Brownian…
The aim of this paper is to study the dynamical behavior of non-autonomous stochastic hybrid systems with delays. By general Krylov-Bogolyubov's method, we first obtain the sufficient conditions for the existence of an evolution system of…
We study discrete-time dynamical systems that switch between different evolution rules based on thresholds that themselves adapt over time. Specifically, we analyze the coupled recursion $a_{n+1} = f(a_n)$ if $a_n \leq c_n$ and $a_{n+1} =…
The influence of multiplicative stochastic perturbations on the class of asymptotically Hamiltonian systems on the plane is investigated. It is assumed that disturbances do not preserve the equilibrium of the corresponding limiting system…
This paper studies continuous-time stochastic control problems whose controlled states are fully non-Markovian and depend on unknown model parameters. Such problems arise naturally in path-dependent stochastic differential equations,…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
This paper investigates the asymptotic behavior of stochastic recursive inclusions in the presence of non-zero, non-diminishing bias, a setting that frequently arises in zeroth-order optimization, stochastic approximation with…
This paper is concerned with the Frank--Wolfe algorithm for a special class of {\it non-compact} constrained optimization problems. The notion of asymptotic cone is used to introduce this class of problems as well as to establish that the…
This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…
The goal of the paper is to analytically examine escape probabilities for dynamical systems driven by symmetric $\alpha$-stable L\'evy motions. Since escape probabilities are solutions of a type of integro-differential equations (i.e.,…
The paper deals with the problem of long-time asymptotic behaviour of solutions for classes of ODEs and PDEs, perturbed by stationary noises. The latter are not assumed to be $\delta$-correlated in time, so that the evolution in question is…
A stochastic model for behavioral changes by imitative pair interactions of individuals is developed. `Microscopic' assumptions on the specific form of the imitative processes lead to a stochastic version of the game dynamical equations.…
This paper formulates a variational approach for treating observational uncertainty and/or computational model errors as stochastic transport in dynamical systems governed by action principles under nonholonomic constraints. For this…
Solving equilibrium problems under constraints is an important problem in optimization and optimal control. In this context an important practical challenge is the efficient incorporation of constraints. We develop a continuous-time method…