相关论文: Memory and Anticipation: Two main theorems for Mar…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
For a continuous-time Markov process, we characterize the law of the first jump location when started from an arbitrary initial distribution, in terms of the invariant distribution of an auxiliary Markov process. This could be of interest…
We study single-machine scheduling of jobs, each belonging to a job type that determines its duration distribution. We start by analyzing the scenario where the type characteristics are known and then move to two learning scenarios where…
In this paper we obtain a comparison theorem for backward stochastic partial differential equation (SPDEs) with jumps. We apply it to introduce space-dependent convex risk measures as a model for risk in large systems of interacting…
Many chemical reactions and molecular processes occur on timescales that are significantly longer than those accessible by direct simulation. One successful approach to estimating dynamical statistics for such processes is to use many short…
We prove a stochastic averaging theorem for stochastic differential equations in which the slow and the fast variables interact. The approximate Markov fast motion is a family of Markov process with generator ${\mathcal L}_x$ for which we…
Convergence of discrete-time Markov chains with two timescales is a powerful tool to study stochastic evolutionary games in subdivided populations. Focusing on linear games within demes, convergence to a diffusion process for the strategy…
We prove exponential decay of pair correlations for 1D stationary point processes when spacings satisfy a Markov condition, geometric ergodicity, and a condition on exponential moments. The conditions are phrased for stationary sequences of…
This paper is concerned with the development of rigorous approximations to various expectations associated with Markov chains and processes having non-stationary transition probabilities. Such non-stationary models arise naturally in…
This paper deals a continuous-time state-dependent jump linear system, a particular kind of stochastic switching system. In particular, we consider a situation when the transition rate of the random jump process depends on the state…
We consider a stochastic individual-based population model with competition, trait-structure affecting reproduction and survival, and changing environment. The changes of traits are described by jump processes, and the dynamics can be…
We consider the best-of-both-worlds problem for learning an episodic Markov Decision Process through $T$ episodes, with the goal of achieving $\widetilde{\mathcal{O}}(\sqrt{T})$ regret when the losses are adversarial and simultaneously…
Time-evolution of open, dissipative quantum system is a stochastic process that consists of a series of quantum jumps that take place at random times. Between quantum jumps quantum system idles for some time in a particular quantum state.…
Moderate deviation principles for stochastic differential equations driven by a Poisson random measure (PRM) in finite and infinite dimensions are obtained. Proofs are based on a variational representation for expected values of positive…
This paper considers differential problems with random switching, with specific applications to the motion of cells and centrally coordinated motion. Starting with a differential-equation model of cell motion that was proposed previously,…
This paper introduces Magnus-based methods for solving stochastic delay-differential equations (SDDEs). We construct Magnus--Euler--Maruyama (MEM) and Magnus--Milstein (MM) schemes by combining stochastic Magnus integrators with Taylor…
Large deviation results are given for a class of perturbed nonhomogeneous Markov chains on finite state space which formally includes some stochastic optimization algorithms. Specifically, let {P_n} be a sequence of transition matrices on a…
We establish sufficient conditions for the existence and uniqueness of mean-field backward stochastic differential equations with time delayed generator in the sense that at t, the generator may depend on previous values up to a delay…
In this paper, we consider the stability analysis of large-scale distributed networked control systems with random communication delays between linearly interconnected subsystems. The stability analysis is performed in the Markov jump…
This work studies a two-time-scale functional system given by two jump-diffusions under the scale separation by a small parameter $\varepsilon \rightarrow 0$. The coefficients of the equations that govern the dynamics of the system depend…