相关论文: Operator Methods, Abelian Processes and Dynamic Co…

Stochastic averaging allows for the reduction of the dimension and complexity of stochastic dynamical systems with multiple time scales, replacing fast variables with statistically equivalent stochastic processes in order to analyze…

We connect self-interacting processes, that is, stochastic processes where transitions depend on the time spent by a trajectory in each configuration, to Doob conditioning. In this way we demonstrate that Markov processes with constrained…

We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…

In this paper we show how questions about operator algebras constructed from stochastic matrices motivate new results in the study of harmonic functions on Markov chains. More precisely, we characterize coincidence of conditional…

Continuous-time stochastic processes underlie many natural and engineered systems. In healthcare, autonomous driving, and industrial control, direct interaction with the environment is often unsafe or impractical, motivating offline…

In this paper we prove that all the existing conditional event algebras embed into a three-valued extension of temporal logic of discrete past time, which the authors of this paper have proposed in anothe paper as a general model of…

This work introduces novel unconditionally stable operator splitting methods for solving the time dependent nonlinear Poisson-Boltzmann (NPB) equation for the electrostatic analysis of solvated biomolecules. In a pseudo-transient…

This paper explores stochastic modeling approaches to elucidate the intricate dynamics of stock prices and volatility in financial markets. Beginning with an overview of Brownian motion and its historical significance in finance, we delve…

This paper deals with unconstrained discounted continuous-time Markov decision processes in Borel state and action spaces. Under some conditions imposed on the primitives, allowing unbounded transition rates and unbounded (from both above…

This paper develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time mathematical finance, does not rely on stochastic integrals or other…

The paper introduces a general framework for statistical analysis of functional time series from a Bayesian perspective. The proposed approach, based on an extension of the popular dynamic linear model to Banach-space valued observations…

We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite time investment horizon…

We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat…

This paper is about operator-theoretic methods for solving nonlinear stochastic optimal control problems to global optimality. These methods leverage on the convex duality between optimally controlled diffusion processes and…

This paper presents a new prediction model for time series data by integrating a time-varying Geometric Brownian Motion model with a pricing mechanism used in financial engineering. Typical time series models such as Auto-Regressive…

Koopman analysis provides a general framework from which to analyze a nonlinear dynamical system in terms of a linear operator acting on an infinite-dimensional observable space. This theoretical framework provides a rigorous underpinning…

Markov models are widely used to describe processes of stochastic dynamics. Here, we show that Markov models are a natural consequence of the dynamical principle of Maximum Caliber. First, we show that when there are different possible…

We study the dynamic programming approach to revenue management in the context of attended home delivery. We draw on results from dynamic programming theory for Markov decision problems to show that the underlying Bellman operator has a…

Markov branching systems form a fundamental class of stochastic models that are extensively applied in biology, physics, finance, and other domains. These systems are distinguished by their continuous-time evolution and inherent branching…

In this work we provide a computationally tractable procedure for designing affine control policies, applied to constrained, discrete-time, partially observable, linear systems subject to set bounded disturbances, stochastic noise and…