Related papers: Systems with distributions and viability theorem
We study a class of distribution-steering problems from a variational point of view. Under some differentiability assumptions, we derive necessary conditions for optimal Markov policies in the spirit of the Lagrange multiplier approach. We…
We report a new analytical method for solution of a wide class of second-order differential equations with eigenvalues replaced by arbitrary functions. Such classes of problems occur frequently in Quantum Mechanics and Optics. This approach…
An initial-value problem for an ordinary differential equation of the first order, is considered. It is supposed that the right-hand side of the equation is a continuous function defined on a set consisting of an open set and a part of its…
We study the problem of constructing a probability density in 2N-dimensional phase space which reproduces a given collection of $n$ joint probability distributions as marginals. Only distributions authorized by quantum mechanics, i.e.…
We study a novel class of affine invariant and consistent tests for normality in any dimension. The tests are based on a characterization of the standard $d$-variate normal distribution as the unique solution of an initial value problem of…
In this paper we study a criterion for the viability of stochastic semilinear control systems on a real, separable Hilbert space. The necessary and sufficient conditions are given using the notion of stochastic quasi-tangency. As a…
The existence of stationary distributions to distribution dependent stochastic differential equations are investigated by using the ergodicity of the associated decoupled equation and the Schauder fixed point theorem. By using Zvonkin's…
We consider smooth random dynamical systems defined by a distribution with a finite moment of the norm of the differential, and prove that under suitable non-degeneracy conditions any stationary measure must be H\"older continuous. The…
How can we monitor, in real time, whether one uncertain prospect has any upside over another? To answer this question, we develop a novel family of sequential, anytime-valid tests for stochastic dominance (SD; also known as stochastic…
This paper introduces the formalism required to analyze a certain class of stochastic control problems that involve a super diffusion as the underlying controlled system. To establish the existence of these processes, we show that they are…
The explicit form for the characteristic function of a stable distribution on the line is derived analytically by solving the associated functional equation and applying theory of regular variation, without appeal to the general…
In this paper we address the regularity issues of drift-diffusion equation with nonlocal diffusion, where the diffusion operator is in the realm of stable-type L\'evy operator and the velocity field is defined from the considered quantity…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
We provide explicit classical solutions and stochastic analogues for distributed-order space-time fractional diffusion equations on bounded domains with zero exterior boundary conditions. We also show that our results still hold when the…
Decisions are often based on imprecise, uncertain or vague information. Likewise, the consequences of an action are often equally unpredictable, thus putting the decision maker into a twofold jeopardy. Assuming that the effects of an action…
In this article we investigate the existence and regularity of 1-d steady state fractional order diffusion equations. Two models are investigated:the Riemann-Liouville fractional diffusion equation, and the Riemann-Liouville-Caputo…
In this paper, we obtain sufficient and necessary conditions of some classical convex sets as positively invariant sets for a continuous dynamical system, namely positive invariance conditions. The approach is based on Nagumo Theorem by…
The Nagumo lattice differential equation admits stationary solutions with arbitrary spatial period for sufficiently small diffusion rate. The continuation from the stationary solutions of the decoupled system (a system of isolated nodes) is…
We consider the general problem of the first passage distribution of particles whose displacements are subject to time delays. We show that this problem gives rise to a \emph{propagation-dispersion equation} which is obtained as the…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…