相关论文: Continuous-time sparse domination

We consider the discrete assignment problem in which agents express ordinal preferences over objects and these objects are allocated to the agents in a fair manner. We use the stochastic dominance relation between fractional or randomized…

For two Polish state spaces $E_X$ and $E_Y$, and an operator $G_X$, we obtain existence and uniqueness of a $G_X$-martingale problem provided there is a bounded continuous duality function $H$ on $E_X \times E_Y$ together with a dual…

Capacitated Domination generalizes the classic Dominating Set problem by specifying for each vertex a required demand and an available capacity for covering demand in its closed neighborhood. The objective is to find a minimum-sized set of…

This paper addresses identification of sparse linear and noise-driven continuous-time state-space systems, i.e., the right-hand sides in the dynamical equations depend only on a subset of the states. The key assumption in this study, is…

We present a novel extension of the SINDy framework to delay differential equations with {\it distributed delays} and {\it renewal equations}, where typically the dependence from the past manifests via integrals in which the history is…

This papers deals with the constrained discounted control of piecewise deterministic Markov process (PDMPs) in general Borel spaces. The control variable acts on the jump rate and transition measure, and the goal is to minimize the total…

We propose \textit{DeepMartingale}, a deep-learning framework for the dual formulation of discrete-monitoring optimal stopping problems under continuous-time models. Leveraging a martingale representation, our method implements a…

Motivated by the theory of domination for types, we introduce a notion of domination for Keisler measures called extension domination. We argue that this variant of domination behaves similarly to its type setting counterpart. We prove that…

We show that, under certain smoothness conditions, a Brownian martingale at a fixed time can be represented as an exponential of its value at a later time. The time-dependent generator of this exponential operator is equal to one half times…

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…

We introduce a multistable subordinator, which generalizes the stable subordinator to the case of time-varying stability index. This enables us to define a multifractional Poisson process. We study properties of these processes and…

This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…

We consider a modulated process S which, conditional on a background process X, has independent increments. Assuming that S drifts to -infinity and that its increments (jumps) are heavy-tailed (in a sense made precise in the paper), we…

In this paper we consider an SPDE where the leading term is a second order operator with periodic boundary conditions, coefficients which are measurable in $(t,\omega)$, and H\"older continuous in space. Assuming stochastic parabolicity…

We describe a new operator space structure on $L_p$ when $p$ is an even integer and compare it with the one introduced in our previous work using complex interpolation. For the new structure, the Khintchine inequalities and Burkholder's…

Maximum hands-off control aims to maximize the length of time over which zero actuator values are applied to a system when executing specified control tasks. To tackle such problems, recent literature has investigated optimal control…

It is well known that if a submartingale $X$ is bounded then the increasing predictable process $Y$ and the martingale $M$ from the Doob decomposition $% X=Y+M$ can be unbounded. In this paper for some classes of increasing convex functions…

We show the existence of superprocesses in a random medium with location dependent branching. Technically, we make use of a duality relation to establish the uniqueness of the martingale problem and to obtain the moment formulas.

Results on two different settings of asymptotic behavior of approximation characteristics of individual functions are presented. First, we discuss the following classical question for sparse approximation. Is it true that for any individual…

We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of…