相关论文: Sensitivity to switching rates in stochastically s…

We propose a transfer principle to study the adapted 2-Wasserstein distance between stochastic processes. First, we obtain an explicit formula for the distance between real-valued mean-square continuous Gaussian processes by introducing the…

In this article we study a small random perturbation of a linear recurrence equation. If all the roots of its corresponding characteristic equation have modulus strictly less than one, the random linear recurrence goes exponentially fast to…

To deal with stochastic hybrid systems with general state-dependent switching, we propose an approximation method by a sequence of stochastic hybrid systems with piecewise constant type switching. The convergence rate in the Wasserstein…

The large N limit of a one-dimensional infinite chain of random matrices is investigated. It is found that in addition to the expected Kosterlitz--Thouless phase transition this model exhibits an infinite series of phase transitions at…

We consider ergodic backward stochastic differential equations, in a setting where noise is generated by a countable state uniformly ergodic Markov chain. We show that for Lipschitz drivers such that a comparison theorem holds, these…

This paper studies the differentiability of the value function of switched linear systems under arbitrary switching and controlled switching, referred to as worst-case and optimal value functions respectively. First, we show that the value…

A quantum finite multi-barrier system, with a periodic potential, is considered and exact expressions for its plane wave amplitudes are obtained using the Transfer Matrix method [10]. This quantum model is then associated with a stochastic…

The ODE method has been a workhorse for algorithm design and analysis since the introduction of the stochastic approximation. It is now understood that convergence theory amounts to establishing robustness of Euler approximations for ODEs,…

We generalise the construction of multivariate Hawkes processes to a possibly infinite network of counting processes on a directed graph $\mathbb G$. The process is constructed as the solution to a system of Poisson driven stochastic…

We study the convergence rate to stationarity for a class of exchangeable partition-valued Markov chains called cut-and-paste chains. The law governing the transitions of a cut-and-paste chain are determined by products of i.i.d. stochastic…

The switch process alternates independently between 1 and -1, with the first switch to 1 occurring at the origin. The expected value function of this process is defined uniquely by the distribution of switching times. The relation between…

We study discrete time Markov processes with periodic or open boundary conditions and with inhomogeneous rates in the bulk. The Markov matrices are given by the inhomogeneous transfer matrices introduced previously to prove the…

We study an open-boundary version of the on-off zero-range process introduced in Hirschberg et al. [Phys. Rev. Lett. 103, 090602 (2009)]. This model includes temporal correlations which can promote the condensation of particles, a situation…

An explicit first-order drift-randomized Milstein scheme for a regime switching stochastic differential equation is proposed and its bi-stability and rate of strong convergence are investigated for a non-differentiable drift coefficient.…

In our pursuit of finding a zero for a monotone and Lipschitz continuous operator $M : \R^n \rightarrow \R^n$ amidst noisy evaluations, we explore an associated differential equation within a stochastic framework, incorporating a correction…

If the number of lattice sites is odd, a quantum particle hopping on a bipartite lattice with random hopping between the two sublattices only is guaranteed to have an eigenstate at zero energy. We show that the localization length of this…

We introduce an elementary method for proving the absolute continuity of the time marginals of one-dimensional processes. It is based on a comparison between the Fourier transform of such time marginals with those of the one-step Euler…

Recently, Lipowski [cond-mat/0002378] investigated a stochastic lattice model which exhibits a discontinuous transition from an active phase into infinitely many absorbing states. Since the transition is accompanied by an apparent power-law…

We study finite-time mixing in time-periodic open flow systems. We describe the transport of densities in terms of a transfer operator, which is represented by the transition matrix of a finite-state Markov chain. The transport processes in…

Countably infinite systems of linear ODEs arise as forward equations for many continuous-time Markov processes. The standard recipe -- truncate to a finite cap N and exponentiate -- pays cubic cost in N and a time-growing boundary-feedback…