相关论文: How many paths to simulate correlated Brownian mot…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
A method to compute optimal collision avoidance maneuvers for short-term encounters is presented. The maneuvers are modeled as multiple-impulses to handle impulsive cases and to approximate finite burn arcs associated either with short…
This paper develops a new technique for the path approximation of one-dimensional stochastic processes, more precisely the Brownian motion and families of stochastic differential equations sharply linked to the Brownian motion (usually…
Path integral solutions with kinetic coupling potentials $\propto p_1p_2$ are evaluated. As examples I give a Morse oscillator, i.e., a model in molecular physics, and the double pendulum in the harmonic approximation. The former is solved…
A $2\otimes 2$ unitary operation is called a perfect entangler if it can generate a maximally entangled state from some unentangled input. We study the following question: How many runs of a given two-qubit entangling unitary operation is…
Brownian dynamics of colloidal particles on complex surfaces has found important applications in diverse physical, chemical and biological processes. However, current Brownian dynamics simulation algorithms mostly work for relatively simple…
In this paper, we study how to find rational motions that move a line along a given rational ruled surface. Our goal is to find motions with the lowest possible degree using dual quaternions. While similar problems for point trajectories…
We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of…
An effective method for optimizing path planning for a specific model of a 6-degree-of-freedom (6-DOF) robot manipulator is presented as part of the motion planning of the manipulator using computer algebra. We assume that we are given a…
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact…
We consider the problem of planning a collision-free path of a robot in the presence of risk zones. The robot is allowed to travel in these zones but is penalized in a super-linear fashion for consecutive accumulative time spent there. We…
In this paper, using an algorithm based on the retrospective rejection sampling scheme, we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps,…
We investigate open quantum Brownian motions as quantum analogues of classical diffusion processes under interaction with an external enviroment. Building upon the microscopic derivation by Sinayskiy and Petruccione [20], we revisit the…
This paper presents a method for optimal motion planning of continuum robots by employing Bernstein surfaces to approximate the system's dynamics and impose complex constraints, including collision avoidance. The main contribution is the…
In this paper we present a method for automatically planning optimal paths for a group of robots that satisfy a common high level mission specification. Each robot's motion in the environment is modeled as a weighted transition system. The…
We derive asymptotics for the probability of the origin to be an extremal point of a random walk in R^n. We show that in order for the probability to be roughly 1/2, the number of steps of the random walk should be between e^{c n / log n}$…
In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under stochastic volatility models. We work on a condition on the…
For a set $A\subset C[0,\infty)$, we give new results on the growth of the number of particles in a dyadic branching Brownian motion whose paths fall within A. We show that it is possible to work without rescaling the paths. We give large…
It is known that a full description of Brownian motion in the entire course of time should incorporate both kinetic and hydrodynamic effects, but a formula accounts for both effects has been established only in three dimension and only for…
We give necessary and sufficient topological conditions for a simple closed curve on a real rational surface to be approximable by smooth rational curves. We also study approximation by smooth rational curves with given complex…