相关论文: Inventory Accumulation with $k$ Products

We address the task of estimating multiple trajectories from unlabeled data. This problem arises in many settings, one could think of the construction of maps of transport networks from passive observation of travellers, or the…

We develop two statistical models for space-time abundance data based on a stochastic underlying continuous individual movement. In contrast to current models for abundance in statistical ecology, our models exploit the explicit connection…

We prove a number of results relating exit times of planar Brownian with the geometric properties of the domains in question. Included are proofs of the conformal invariance of moduli of rectangles and annuli using Brownian motion;…

Using Brownian dynamics (BD) simulations and an analytical approach we investigate the shear-induced, nonequilibrium dynamics of dense colloidal suspensions confined to a narrow slit-pore. Focusing on situations where the colloids arrange…

We begin by exploring the intuition of Brownian motion by explaining its birth through the observations of Robert Brown and later through Bachelier's work on its applications to the financial market and finally its rigorous and concretized…

We study the motion of an elastic object driven in a disordered environment in presence of both dissipation and inertia. We consider random forces with the statistics of random walks and reduce the problem to a single degree of freedom. It…

We discuss a family of time-inhomogeneous two-dimensional diffusions, defined over a finite time interval $[0,T]$, having transition density functions that are expressible in terms of the integral kernels for negative exponentials of the…

We study exclusion processes on the integer lattice in which particles change their velocities due to stickiness. Specifically, whenever two or more particles occupy adjacent sites, they stick together for an extended period of time, and…

We study the movement of the living organism in a band form towards the presence of chemical substrate based on a system of partial differential evolution equations. We incorporate the Einstein's method of Brownian motion to deduce the…

We show the existence of a stationary measure for a class of multidimensional stochastic Volterra systems of affine type. These processes are in general not Markovian, a shortcoming which hinders their large-time analysis. We circumvent…

"Quantum trajectories" are solutions of stochastic differential equations also called Belavkin or Stochastic Schr\"odinger Equations. They describe random phenomena in quantum measurement theory. Two types of such equations are usually…

We find all factorized duality functions for a class of interacting particle systems. The functions we recover are self-duality functions for interacting particle systems such as zero-range processes, symmetric inclusion and exclusion…

We propose a bivariate model for a pair of dependent unit vectors which is generated by Brownian motion. Both marginals have uniform distributions on the sphere, while the conditionals follow so-called ``exit'' distributions. Some…

We study the sum-product problem for the planar hypercomplex numbers: the dual numbers and double numbers. These number systems are similar to the complex numbers, but it turns out that they have a very different combinatorial behavior. We…

We consider fractional Brownian motion with the Hurst parameters from (1/2,1). We found that the increment of a fractional Brownian motion can be represented as the sum of a two independent Gaussian processes one of which is smooth in the…

We investigate a random integral which provides a natural example of an imaginary exponential functional of Brownian motion. This functional shows up in the study of the binary annihilation process, within the Doi-Peliti formalism for…

We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…

We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the world is unobserved and must be inferred by the manager. We also…

A microscopic model is established for financial Brownian motion from the direct observation of the dynamics of high-frequency traders (HFTs) in a foreign exchange market. Furthermore, a theoretical framework parallel to molecular kinetic…

We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of…