Related papers: Martingale Methods for Maximal Large Deviations an…
We prove the one-dimensional almost sure invariance principle with essentially optimal rates for slowly (polynomially) mixing deterministic dynamical systems, such as Pomeau-Manneville intermittent maps, with H\"older continuous…
A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are constructed by orthogonalizing the multidimensional L\'{e}vy…
In this paper, incremental adaptive mechanisms are presented and characterized, to provide design hints for the development of continuous-time adaptive systems. The comparison with the conventional integral adaptive systems indicates that…
Numerical studies are presented to assess error estimates for a separable (Hartree) approximation for dynamically evolving composite quantum systems which exhibit distinct scales defined by their mass and frequency ratios. The relevant…
We prove pathwise large deviation principles of slow variables in slow-fast systems in the limit of time-scale separation tending to infinity. In the limit regime we consider, the convergence of the slow variable to its deterministic limit…
We study the problem of bounding path-dependent expectations (within any finite time horizon $d$) over the class of discrete-time martingales whose marginal distributions lie within a prescribed tolerance of a given collection of benchmark…
Using changes of probability measure developed by \mbox{Grama} and Haeusler (Stochastic Process.\ Appl., 2000), we obtain two generalizations of the deviation inequalities of Lanzinger and Stadtm\"{u}ller (Stochastic Process.\ Appl., 2000)…
We present the theory of tensors with Young tableau symmetry as an efficient computational tool in dealing with the polynomial first integrals of a natural system in classical mechanics. We relate a special kind of such first integrals,…
Rigged configurations are combinatorial objects prominent in the study of solvable lattice models. Marginally large tableaux are semi-standard Young tableaux of special form that give a realization of the crystals ${\cal B}(\infty)$. We…
We obtain large deviations theorems for nonconventional sums with underlying process being a Markov process satisfying the Doeblin condition or a dynamical system such as subshift of finite type or hyperbolic or expanding transformation.
The paper concerns itself with establishing large deviation principles for a sequence of stochastic integrals and stochastic differential equations driven by general semimartingales in infinite-dimensional settings. The class of…
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…
We develop a method for systematically constructing Lagrangian functions for dissipative mechanical, electrical and, mechatronic systems. We derive the equations of motion for some typical mechatronic systems using deterministic principles…
Monte Carlo optimizations of Number Partitioning and of Diophantine approximations are microscopic realizations of `Trap Model' dynamics. This offers a fresh look at the physics behind this model, and points at other situations in which it…
Borrowing and extending the method of images we introduce a theoretical framework that greatly simplifies analytical and numerical investigations of the escape rate in open dynamical systems. As an example, we explicitly derive the exact…
While many dynamical systems of mechanical origin, in particular billiards, are strongly chaotic -- enjoy exponential mixing, the rates of mixing in many other models are slow (algebraic, or polynomial). The dynamics in the latter are…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
This note extends some results of Nishiyama [Ann. Probab. 28 (2000) 685--712]. A maximal inequality for stochastic integrals with respect to integer-valued random measures which may have infinitely many jumps on compact time intervals is…
A conceptual model for microscopic-macroscopic slow-fast stochastic systems is considered. A dynamical reduction procedure is presented in order to extract effective dynamics for this kind of systems. Under appropriate assumptions, the…
Monotone processes, just like martingales, can often be recovered from their final values. Examples include running maxima of supermartingales, as well as running maxima, local times, and various integral functionals of sticky processes…