Related papers: Three-step master equation: class of parametric st…

Trigonometric formulas for eigenvalues of $3 \times 3$ matrices that build on Cardano's and Vi\`ete's work on algebraic solutions of the cubic are numerically unstable for matrices with repeated eigenvalues. This work presents numerically…

We study continuous-time Markov chains on the non-negative integers under mild regularity conditions (in particular, the set of jump vectors is finite and both forward and backward jumps are possible). Based on the so-called flux balance…

In this paper we present a numerical scheme for the resolution of matrix Riccati equation, usualy used in control problems. The scheme is unconditionnaly stable and the solution is definite positive at each time step of the resolution. We…

In this work, we introduce an information-theoretic approach for considering changes in dynamics of finitely dimensional open quantum systems governed by master equations. This experimentally motivated approach arises from considering how…

This paper studies the problem of stability of a parameterized delay differential equations (DDE see equation (0.1)). After discretizing the DDE (0.1), we show that the problem can be equivalently casted into a semi-definite programming…

Markov decision processes (MDPs) are a standard model for sequential decision-making problems and are widely used across many scientific areas, including formal methods and artificial intelligence (AI). MDPs do, however, come with the…

Applied to the master equation, the usual numerical integration methods, such as Runge-Kutta, become inefficient when the rates associated with various transitions differ by several orders of magnitude. We introduce an integration scheme…

We consider a bistable integral equation which governs the stationary solutions of a convolution model of solid--solid phase transitions on a circle. We study the bifurcations of the set of the stationary solutions as the diffusion…

In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with a quadratic cost functional. The coefficients in the state equation and the weighting matrices in the cost…

A right continuous Markov chain is introduced in the noise terms of the three-dimensional stochastic Navier-Stokes equation, and we call such stochastic system as stochastic Navier-Stokes equation with Markov switching. In the present…

A classical problem for Markov chains is determining their stationary (or steady-state) distribution. This problem has an equally classical solution based on eigenvectors and linear equation systems. However, this approach does not scale to…

This paper presents a class of Two-Step General Linear Methods for the numerical solution of Retarded Functional Differential Equations. Explicit methods up to order five are constructed. To avoid order reduction for mildly stiff problems…

This paper presents a class of Two-Step General Linear Methods for the numerical solution of Retarded Functional Differential Equations. Explicit methods up to order five are constructed. To avoid order reduction for mildly stiff problems…

We present some accelerated variants of fixed point iterations for computing the minimal non-negative solution of the unilateral matrix equation associated with an M/G/1-type Markov chain. These variants derive from certain staircase…

We propose a new algorithm for a broad class of periodic time-varying Stochastic Game-Theoretic Riccati Differential Equations arising in Zero-Sum Linear-Quadratic Stochastic Differential Games. The algorithm is constructed via dual-layer…

We show that the convergence of finite state space Markov chains to stationarity can often be considerably speeded up by alternating every step of the chain with a deterministic move. Under fairly general conditions, we show that not only…

Stochastic processes are proposed whose master equations coincide with classical wave, telegraph, and Klein-Gordon equations. Similar to predecessors based on the Goldstein-Kac telegraph process, the model describes the motion of particles…

For a discrete dynamical system on $\R$ generated by a quadratic function, we show, using elementary computations, that the existence, number, and stability of 3-cycles are determined by a single parameter depending on the coefficients of…

We construct a Markov family of solutions for the 3D Navier-Stokes equation perturbed by a non degenerate noise. We improve the result of [DPD-NS3D] in two directions. We see that in fact not only a transition semigroup but a Markov family…

We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include…