相关论文: Approximate solutions of a general stochastic velo…

In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient algorithm based on the Euler scheme is constructed for…

We consider stochastic differential systems driven by a Brownian motion and a Poisson point measure where the intensity measure of jumps depends on the solution. This behavior is natural for several physical models (such as Boltzmann…

This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…

In this paper, we study the dynamics of a linear control system with given state feedback control law in the presence of fast periodic sampling at temporal frequency $1/\delta$ ($0 < \delta \ll 1$), together with small white noise…

The dynamics of populations is frequently subject to intrinsic noise. At the same time unknown interaction networks or rate constants can present quenched uncertainty. Existing approaches often involve repeated sampling of the quenched…

We study finite particle systems on the one-dimensional integer lattice, where each particle performs a continuous-time nearest-neighbour random walk, with jump rates intrinsic to each particle, subject to an exclusion interaction which…

Stochastic evolution equations with compensated Poisson noise are considered in the variational approach with monotone and coercive coefficients. Here the Poisson noise is assumed to be time-homogeneous with $\sigma$-finite intensity…

Direct simulation of biomolecular dynamics in thermal equilibrium is challenging due to the metastable nature of conformation dynamics and the computational cost of molecular dynamics. Biased or enhanced sampling methods may improve the…

To improve the routing decisions of individual drivers and the management policies designed by traffic operators, one needs reliable estimates of travel time distributions. Since congestion caused by both recurrent patterns (e.g., rush…

This paper studies the problem of finding the median of N distinct numbers distributed across networked agents. Each agent updates its estimate for the median from noisy local observations of one of the N numbers and information from…

This paper studies the numerical methods to approximate the solutions for a sort of McKean-Vlasov neutral stochastic differential delay equations (MV-NSDDEs) that the growth of the drift coefficients is super-linear. First, We obtain that…

This paper deals with the problems of stochastic stability and sliding mode control for a class of continuous-time Markovian jump systems with mode-dependent time-varying delays and partly unknown transition probabilities. The design method…

Multi-state models are commonly used for intermittent observations of a state over time, but these are generally based on the Markov assumption, that transition rates are independent of the time spent in current and previous states. In a…

This paper aims to develop the stability theory for singular stochastic Markov jump systems with state-dependent noise, including both continuous- and discrete-time cases. The sufficient conditions for the existence and uniqueness of a…

This paper considers the theoretical, computational, and econometric properties of continuous time dynamic discrete choice games with stochastically sequential moves, introduced by Arcidiacono, Bayer, Blevins, and Ellickson (2016). We…

With the rapid increase of valuable observational, experimental and simulating data for complex systems, great efforts are being devoted to discovering governing laws underlying the evolution of these systems. However, the existing…

A continuously measured quantum system with multiple jump channels gives rise to a stochastic process described by random jump times and random emitted symbols, representing each jump channel. While much is known about the waiting time…

We study a decentralized variant of stochastic approximation, a data-driven approach for finding the root of an operator under noisy measurements. A network of agents, each with its own operator and data observations, cooperatively find the…

We demonstrate an approach to the numerical solution of nonlinear stochastic differential equations with Markovian switching. Such equations describe the stochastic dynamics of processes where the drift and diffusion coefficients are…

Collective motion in active matter is usually modelled through instantaneous local alignment, where each agent updates its heading from the current configuration of its neighbours. Many biological and engineered agents, however, possess…