相关论文: Ruin-dependent bivariate stochastic fluid processe…

In this paper we study the dynamics of stochastic microorganism flocculation models. Given the strong influence of environmental and seasonal fluctuations that are present in these models, we propose a stochastic model that includes…

We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process.…

Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1).$ In this contribution we derive precise approximations for cumulative Parisian ruin…

A regime-switching multivariate time series model which is closed under margins is built. The model imposes a restriction on all lower-dimensional sub-processes to follow a regime-switching process sharing the same latent regime sequence…

We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…

A new class of probabilistic models for cascading failure propagation in interconnected systems is proposed. The models take into account important characteristics of real systems that are not considered in existing generic approaches.…

In this paper, a new reliability model has been developed for a single system degrading stochastically which experiences soft and hard failure. Soft failure occurs when the physical deterioration level of the system is greater than a…

We propose a Stein variational distributionally robust controller for nonlinear dynamical systems with latent parametric uncertainty. The method is an alternative to conservative worst-case ambiguity-set optimization with a deterministic…

We identify an issue in recent approaches to learning-based control that reformulate systems with uncertain dynamics using a stochastic differential equation. Specifically, we discuss the approximation that replaces a model with fixed but…

Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…

Recent studies have demonstrated an interesting connection between the asymptotic behavior at ruin of a L\'evy insurance risk process under the Cram\'er-Lundberg and convolution equivalent conditions. For example, the limiting distributions…

For the challenging task of modeling multivariate time series, we propose a new class of models that use dependent Mat\'ern processes to capture the underlying structure of data, explain their interdependencies, and predict their unknown…

Complex, interdependent systems are necessary to the delivery of goods and services critical to societal function. Here we demonstrate how interdependent systems respond to disruptions. Specifically, we change the spatial arrangement of a…

We consider the multivariate risk model with common renewal process among the lines of business, and Brownian perturbations. Assuming that the integrated tail distribution of claims is multivariate subexponential, we establish an asymptotic…

This report proposes a novel framework for a rigorous robustness analysis of stochastic biochemical systems. The technique is based on probabilistic model checking. We adapt the general definition of robustness introduced by Kitano to the…

We introduce a new residual-bridge proposal for approximately simulating conditioned diffusions. This proposal is formed by applying the modified diffusion bridge approximation of Durham and Gallant (2002) to the difference between the true…

Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1).$ Parisian ruin is defined as a classical ruin that happens over an extended period of time,…

TCP BBR's behavior has been explained by various theoretical models, and in particular those that describe how it co-exists with other types of flows. However, as new versions of the BBR protocol have emerged, it remains unclear to what…

We present an approach for flux analysis in process algebra models of biological systems. We perceive flux as the flow of resources in stochastic simulations. We resort to an established correspondence between event structures, a broadly…

Infrastructure networks are increasingly vulnerable to natural hazards and design flaws, making resilience assessment essential. This paper presents a scenario-based framework to evaluate network vulnerability by combining local measures…