相关论文: Explosion by Killing and Maximum Principle in Symm…

Using time-reversal, we introduce a stochastic integral for zero-energy additive functionals of symmetric Markov processes, extending earlier work of S. Nakao. Various properties of such stochastic integrals are discussed and an It\^{o}…

We construct a model for a particle in the framework of the theory of Stueckelberg, Horwitz and Piron (SHP) as an ensemble of events subject to the laws of covariant classical equilibrium statistical mechanics. The canonical and grand…

This paper analyzes the dynamics of a level-dependent quasi-birth-death process ${\cal X}=\{(I(t),J(t)): t\geq 0\}$, i.e., a bi-variate Markov chain defined on the countable state space $\cup_{i=0}^{\infty} l(i)$ with $l(i)=\{(i,j) :…

For a Markov process the detailed balance condition is equivalent to the time-reversibility of the process. For stochastic differential equations (SDE's) time discretization numerical schemes usually destroy the property of…

In this paper, we consider a continuous-time Markov decision process (CTMDP) in Borel spaces, where the certainty equivalent with respect to the exponential utility of the total undiscounted cost is to be minimized. The cost rate is…

We provide necessary and sufficient conditions for explosion and implosion of birth-and-death (non-Markov) continuous-time random walks. In other words, we obtain conditions for $\infty$ to be accessible and for it to be an entrance point.…

Excited state decay is examined within the framework of strictly Everett-like (SEL) formulations of quantum mechanics. Even though these formulations were developed for systems of particles as part of a larger system that includes a…

We study a Dirichlet--Ferguson process $\zeta$ on a general phase space. First we reprove the chaos expansion from Peccati (2008), providing an explicit formula for the kernel functions. Then we proceed with developing a Malliavin calculus…

Inspired by Shapiro et al.~\cite{shapiro2023episodic}, we consider a stochastic optimal control (SOC) and Markov decision process (MDP) where the risks arising from epistemic and aleatoric uncertainties are assessed using Bayesian composite…

Let $f(z)=\sum_{n=1}^\infty a(n)e^{2\pi i nz}\in S_k^{new}(\Gamma_0(N))$ be a newform of even weight $k\geq2$ that does not have complex multiplication. Then $a(n)\in\mathbb{R}$ for all $n$, so for any prime $p$, there exists…

An extension of the Born rule, the {\it quantum typicality rule}, has recently been proposed [B. Galvan: Found. Phys. 37, 1540-1562 (2007)]. Roughly speaking, this rule states that if the wave function of a particle is split into…

The time at which a one-dimensional continuous strong Markov process attains a boundary point of its state space is a discontinuous path functional and it is, therefore, unclear whether the exit time can be approximated by hitting times of…

The subcritical Markov branching process X(t) starting with one particle as the initial condition has the ultimate extinction probability q = 1. The branching mechanism in consideration is defined by the mixture of logarithmic distributions…

We propose a finite-size scaling analysis of binary stochastic processes $X(t)\in \{0,1\}$ based on the second moment correlation length $\xi$ for the autocorrelation function $C(t)$. The purpose is to clarify the critical properties and…

We examine a 2-dimensional ODE which exhibits explosion in finite time. Considered as an SDE with additive white noise, it is known to be complete - in the sense that for each initial condition there is almost surely no explosion.…

The Expectation Maximization (EM) algorithm is of key importance for inference in latent variable models including mixture of regressors and experts, missing observations. This paper introduces a novel EM algorithm, called…

We consider a novel McKean--Vlasov control problem with contagion through killing of particles and common noise. Each particle is killed at an exponential rate according to an intensity process that increases whenever the particle is…

We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is defined as the integrated parameter…

Some ideas from quantum theory are just beginning to percolate back to classical probability theory. For example, there is a widely used and successful theory of "chemical reaction networks", which describes the interactions of molecules in…

We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner loop computes the risk by solving a stochastic saddle-point…