相关论文: Hitting time for Bessel processes - walk on moving…
We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…
In a discrete-time setting, we consider an arrival process $\left\{\xi_n \, \middle| \, n = 1, 2, \ldots \right\}$, which models the occurrence of events, and a corresponding point process $\left\{H_n \, \middle| \, n = 1, 2, \ldots…
We consider Monte Carlo methods for simulating solutions to the analogue of the Dirichlet boundary-value problem in which the Laplacian is replaced by the fractional Laplacian and boundary conditions are replaced by conditions on the…
We investigate the long-time asymptotic behavior of various entropy measures associated with the Cox-Ingersoll-Ross (CIR) and squared Bessel processes. As the one-dimensional distributions of both processes follow noncentral chi-squared…
We analyze hitting times of simple random walk on realizations of the stochastic block model. We show that under some natural assumptions the hitting time averaged over the target vertex asymptotically almost surely given by $N(1+o(1))$. On…
We consider a general framework for multi-type interacting particle systems on graphs, where particles move one at a time by random walk steps, different types may have different speeds, and may interact, possibly randomly, when they meet.…
Background The development of a simulation model of full body reaching tasks that can predict endeffector trajectories and joint excursions consistent with experimental data is a non-trivial task. Because of the kinematic redundancy…
The study of animal movement is challenging because it is a process modulated by many factors acting at different spatial and temporal scales. Several models have been proposed which differ primarily in the temporal conceptualization,…
Handover (HO) management has attracted attention of research in the context of wireless cellular communication networks. One crucial problem of HO management is to deal with increasing HOs experienced by a mobile user. To address this…
In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman…
A system of non-intersecting squared Bessel processes is considered which all start from one point and they all return to another point. Under the scaling of the starting and ending points when the macroscopic boundary of the paths touches…
When a quantity reaches a value higher (or lower) than its value at any time before, it is said to have made a record. We numerically study the statistical properties of records in the time series of order parameters in different models…
We propose a new approach to compute an interval over-approximation of the finite time reachable set for a large class of nonlinear systems. This approach relies on the notions of sensitivity matrices, which are the partial derivatives…
We develop an Euler-type particle method for the simulation of a McKean--Vlasov equation arising from a mean-field model with positive feedback from hitting a boundary. Under assumptions on the parameters which ensure differentiable…
We propose a change detection method for the famous Cox--Ingersoll--Ross model. This model is widely used in financial mathematics and therefore detecting a change in its parameters is of crucial importance. We develop one- and two-sided…
We establish conditions on sequences of graphs which ensure that the mixing times of the random walks on the graphs in the sequence converge. The main assumption is that the graphs, associated measures and heat kernels converge in a…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…
Wigner-Smith (WS) time delay concepts have been used extensively in quantum mechanics to characterize delays experienced by particles interacting with a potential well. This paper formally extends WS time delay theory to Maxwell's equations…
For a scalar Gaussian process $B$ on $\mathbb{R}_{+}$ with a prescribed general variance function $\gamma^{2}\left(r\right) =\mathrm{Var}\left(B\left(r\right) \right) $ and a canonical metric $\mathrm{E}[\left(B\left(t\right)…
We present a novel algorithm to solve a non-linear system of equations, whose solution can be interpreted as a tight lower bound on the vector of expected hitting times of a Markov chain whose transition probabilities are only partially…