相关论文: Duration-dependent stochastic fluid processes and …
We systematise the study of dynamic multiscaling of time-dependent structure functions in different models of passive-scalar and fluid turbulence. We show that, by suitably normalising these structure functions, we can eliminate their…
A discrete-time Markov chain can be transformed into a new Markov chain by looking at its states along iterations of an almost surely finite stopping time. By the optional stopping theorem, any bounded harmonic function with respect to the…
We provide explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion. Our framework encompasses a large class of stochastic linear…
Wind farms can be regarded as complex systems that are, on the one hand, coupled to the nonlinear, stochastic characteristics of weather and, on the other hand, strongly influenced by supervisory control mechanisms. One crucial problem in…
This paper proposes a stochastic optimal preparation and resource allocation method for upcoming extreme weather events in distribution systems, which can assist utilities to achieve faster and more efficient post-event restoration. With…
We propose a family of models that enable predictive estimation of time-varying extreme event probabilities in heavy-tailed and nonlinearly dependent time series. The models are a white noise process with conditionally log-Laplace…
We consider a novel queuing problem where the decision-maker must choose to accept or reject randomly arriving tasks into a no buffer queue which are processed by $N$ identical servers. Each task has a price, which is a positive real…
A stochastic model for a mobile network is studied. Users enter the network, and then perform independent Markovian routes between nodes where they receive service according to the Processor-Sharing policy. Once their service requirement is…
The supply of electrical energy is being increasingly sourced from renewable generation resources. The variability and uncertainty of renewable generation, compared to a dispatch-able plant, is a significant dissimilarity of concern to the…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
The characterization of intermittency in turbulence has its roots in the K62 theory, and if no proper definition is to be found in the literature, statistical properties of intermittency were studied and models were developed in attempt to…
Hybrid Inflation is a two-field model where inflation ends by a tachyonic instability, the duration of which is determined by stochastic effects and has important observational implications. Making use of the recursive approach to the…
The increasing frequency of extreme weather events has posed significant risks to the operation of power grids. During long-duration extreme weather events, microgrid formation (MF) is an essential solution to enhance the resilience of the…
Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…
We propose a model for the liquid-liquid phase transition observed in osmotic pressure measurements of certain charged lamellae-forming amphiphiles. The model free energy combines mean-field electrostatic and phenomenological…
In this paper, we introduce an extension of a Brownian bridge with a random length by including uncertainty also in the pinning level of the bridge. The main result of this work is that unlike for deterministic pinning point, the bridge…
We present high-order variational Lagrangian finite element methods for compressible fluids using a discrete energetic variational approach. Our spatial discretization is mass/momentum/energy conserving and entropy stable. Fully implicit…
The transient behaviour of highly concentrated colloidal liquids and dynamically arrested states (glasses) under time-dependent shear is reviewed. This includes both theoretical and experimental studies and comprises the macroscopic…
We propose a novel generative model for time series based on Schr{\"o}dinger bridge (SB) approach. This consists in the entropic interpolation via optimal transport between a reference probability measure on path space and a target measure…
We consider a service system where agents are invited on-demand. Customers arrive exogenously as a Poisson process and join a customer queue upon arrival if no agent is available. Agents decide to accept or decline invitations after some…