Related papers: Stochastic multiplicative processes with reset eve…
We analyze the asymptotic behavior of sequences of random variables defined by an initial condition, a stationary and ergodic sequence of random matrices, and an induction formula involving multiplication is the so-called max-plus algebra.…
This paper presents a Distributed Stochastic Model Predictive Control algorithm for networks of linear systems with multiplicative uncertainties and local chance constraints on the states and control inputs. The chance constraints are…
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that…
We consider motion of an overdamped Brownian particle subject to stochastic resetting in one dimension. In contrast to the usual setting where the particle is instantaneously reset to a preferred location (say, the origin), here we consider…
Although resetting has widespread applicability, applying it to the dynamics in the presence of spatial quenched disorder, which is essential in many physical problems, is challenging. In this study, we consider a well-known one-dimensional…
We consider a continuous time Markov process on $\mathbb{N}_0$ which can be interpreted as generalized alternating birth-death process in a non-autonomous random environment. Depending on the status of the environment the process either…
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of…
An ab-initio numerical study of the density-dependent, evolutionary stable dispersal strategy is presented. The simulations are based on a simple discretei generation island model with four processes: reproduction, dispersal, competition…
This work is devoted to examining qualitative properties of dynamic systems, in particular, limit cycles of stochastic differential equations with both rapid switching and small diffusion. The systems are featured by multi-scale…
In this work, multiplicative stochasticity is applied to the learning rate of stochastic optimization algorithms, giving rise to stochastic learning-rate schemes. In-expectation theoretical convergence results of Stochastic Gradient Descent…
Solar flares, email exchanges, and many natural or social systems exhibit bursty dynamics, with periods of intense activity separated by long inactivity. These patterns often follow power- law distributions in inter-event intervals or event…
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions.…
We consider a stochastic spatial point process with births and deaths on $\mathbb{R}^d$, with the hard-core property that at any time the balls of radius half of any two points do not overlap. We give explicit construction of the process.…
An encounter-based approach consists in using the boundary local time as a proxy for the number of encounters between a diffusing particle and a target to implement various surface reaction mechanisms on that target. In this paper, we…
In a general class of one dimensional random differential equation the convergence of the distribution function of the solution to stationary state distribution is studied. In particular it is proved the boundedness respectively the…
We consider a closed quantum system subject to a stochastic resetting process. The generic expression for the resulting density operator is formulated for arbitrary resetting dynamics, fully characterised by the distribution of times…
This paper presents a stochastic model predictive controller (SMPC) for linear time-invariant systems in the presence of additive disturbances. The distribution of the disturbance is unknown and is assumed to have a bounded support. A…
In this work, we consider systems that are subjected to intermittent instabilities due to external stochastic excitation. These intermittent instabilities, though rare, have a large impact on the probabilistic response of the system and…
We study a stochastic model based on a modified fragmentation of a finite interval. The mechanism consists in cutting the interval at a random location and substituting a unique fragment on the right of the cut to regenerate and preserve…
Numerical simulations of particle acceleration in magnetized turbulence have recently observed powerlaw spectra where pile-up distributions are rather expected. We interpret this as evidence for particle segregation based on acceleration…