相关论文: Time Reversal and Last Passage Time of Diffusions …

Survival analysis, or time-to-event modelling, is a classical statistical problem that has garnered a lot of interest for its practical use in epidemiology, demographics or actuarial sciences. Recent advances on the subject from the point…

Continuous-time long-term event prediction plays an important role in many application scenarios. Most existing works rely on autoregressive frameworks to predict event sequences, which suffer from error accumulation, thus compromising…

In this paper, we consider a risk-averse control problem for diffusion processes, in which there is a partition of the admissible control strategy into two decision-making groups (namely, the {\it leader} and {\it follower}) with different…

This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…

We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for…

In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time and size then we will make use of a technique for identifying…

Many methods that build powerful variational distributions based on unadjusted Langevin transitions exist. Most of these were developed using a wide range of different approaches and techniques. Unfortunately, the lack of a unified analysis…

We consider the general problem of the first passage distribution of particles whose displacements are subject to time delays. We show that this problem gives rise to a \emph{propagation-dispersion equation} which is obtained as the…

We study the long-time convergence of a Fleming-Viot process, in the case where the underlying process is a metastable diffusion killed when it reaches some level set. Through a coupling argument, we establish the long-time convergence of…

Time-reversal symmetry allows waves to retrace their paths through complex media and refocus at their origin. However, incomplete capture and reversal of scattered waves often limits pulse recompression. We address this challenge for…

The presented explanations are provided for the one--dimensional diffusion process with constant drift by using forward Fokker--Planck technique. We are interested in the outflow probability in a finite interval, i.e. first passage time…

We study time series concerning rare events. The occurrence of a rare event is depicted as a jump of constant intensity always occurring in the same direction, thereby generating an asymmetric diffusion process. We consider the case where…

We analyze the posterior contraction rates of parameters in Bayesian models via the Langevin diffusion process, in particular by controlling moments of the stochastic process and taking limits. Analogous to the non-asymptotic analysis of…

Existing diffusion-based methods for inverse problems sample from the posterior using score functions and accept the generated random samples as solutions. In applications that posterior mean is preferred, we have to generate multiple…

We introduce and study a model of directed last-passage percolation in planar layered environment. This environment is represented by an array of random exponential clocks arranged in blocks, for each block the average waiting times depend…

Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below which the change materializes. In this paper, we study a…

We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…

Brownian diffusion subject to stochastic resetting to a fixed position has been widely studied for applications to random search processes. In an unbounded domain, the mean first-passage time at a target site can be minimized for a…

A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the financial loss of a…

We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…