相关论文: Hitting time for Bessel processes - walk on moving…

Many recently introduced enhanced sampling techniques are based on biasing coarse descriptors (collective variables) of a molecular system on the fly. Sometimes the calculation of such collective variables is expensive and becomes a…

We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson…

We investigate spatio-temporal event analysis using point processes. Inferring the dynamics of event sequences spatiotemporally has many practical applications including crime prediction, social media analysis, and traffic forecasting. In…

We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process…

We propose a model of random walks on weighted graphs where the weights are interval valued, and connect it to reversible imprecise Markov chains. While the theory of imprecise Markov chains is now well established, this is a first attempt…

Time scales associated with activated transitions between glassy metastable states of a free energy functional appropriate for a dense hard sphere system are calculated by using a new Monte Carlo method for the local density variables. We…

Using the technique of moving domains, and classical direct stochastic calculus, we construct the Cox-Ingersoll-Ross process, as well as its square root, with additional skew reflection on a deterministic time dependent curve.

In this paper we study the distribution of hitting and return times for observations of dynamical systems. We apply this results to get an exponential law for the distribution of hitting and return times for rapidly mixing random dynamical…

We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit…

Repulsive point processes arise in models where competition forces entities to be more spread apart than if placed independently. Simulation of these types of processes can be accomplished using dominated coupling from the past with a…

In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…

We consider a stochastic differential equation of the form $dr_t = (a - b r_t) dt + \sigma\sqrt{r_t}dW_t$, where $a$, $b$ and $\sigma$ are positive constants. The solution corresponds to the Cox-Ingersoll-Ross process. We study the…

Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable results when the barrier lies within the…

We develop an algorithm for computing bounded reachability probability for hybrid systems, i.e., the probability that the system reaches an unsafe region within a finite number of discrete transitions. In particular, we focus on hybrid…

Humans and other organisms make decisions choosing between different options, with the aim to maximize the reward and minimize the cost. The main theoretical framework for modeling the decision-making process has been based on the highly…

Scheduling with testing is a recent online problem within the framework of explorable uncertainty motivated by environments where some preliminary action can influence the duration of a task. Jobs have an unknown processing time that can be…

The majority of existing probabilistic model checking case studies are based on well understood theoretical models and distributions. However, real-life probabilistic systems usually involve distribution parameters whose values are obtained…

We revisit the non-preemptive speed-scaling problem, in which a set of jobs have to be executed on a single or a set of parallel speed-scalable processor(s) between their release dates and deadlines so that the energy consumption to be…

A well-known stochastic model for intermittent fluctuations in physical systems is investigated. The model is given by a super-position of uncorrelated exponential pulses, and the degree of pulse overlap is interpreted as an intermittency…

We prove strong invariance principle between a transient Bessel process and a certain nearest neighbor (NN) random walk that is constructed from the former by using stopping times. It is also shown that their local times are close enough to…