相关论文: The disorder problem for compound Poisson processe…
For three natural classes of dynamic decision problems; 1. additively separable problems, 2. discounted problems, and 3. discounted problems for a fixed discount factor; we provide necessary and sufficient conditions for one sequential…
In this paper, we study the existence and pathwise uniqueness of strong solutions for jump-type McKean-Vlasov SDEs with irregular coefficients but uniform linear growth assumption. Moreover, the propagation of chaos and the convergence rate…
Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…
In this paper, we study the existence and uniqueness of solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our work is established in infinite dimensional separable…
An information-theoretic development is given for the problem of compound Poisson approximation, which parallels earlier treatments for Gaussian and Poisson approximation. Let $P_{S_n}$ be the distribution of a sum $S_n=\Sumn Y_i$ of…
We consider stopping criteria that balance algebraic and discretization errors for the conjugate gradient algorithm applied to high-order finite element discretizations of Poisson problems. Firstly, we introduce a new stopping criterion…
Given a sample from a discretely observed compound Poisson process, we consider non-parametric estimation of the density $f_0$ of its jump sizes, as well as of its intensity $\lambda_0.$ We take a Bayesian approach to the problem and…
The problem on identification of a limit of an ordinary differential equation with discontinuous drift that perturbed by a zero-noise is considered in multidimensional case. This problem is a classical subject of stochastic analysis.…
Probabilistic model checking for systems with large or unbounded state space is a challenging computational problem in formal modelling and its applications. Numerical algorithms require an explicit representation of the state space, while…
This paper considers the Poisson equation for general state-space Markov chains in continuous time. The main purpose of this paper is to present specific bounds for the solutions of the Poisson equation for general state-space Markov…
We seek the possibility of a disorder driven transition in a tight-binding lattice with a flat band using complexity parameter approach. Our results indicate the existence of a localized to extended states transition with increasing…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
We study the asymptotics of the point process induced by an interacting particle system with mean-field drift interaction. Under suitable assumptions, we establish propagation of chaos for this point process: it has the same weak limit as…
We study the sequential testing problem of two alternative hypotheses regarding an unknown parameter in an exponential family when observations are costly. In a Bayesian setting, the problem can be embedded in a Markovian framework. Using…
In this paper we present multivariate space-time fractional Poisson processes by considering common random time-changes of a (finite-dimensional) vector of independent classical (non-fractional) Poisson processes. In some cases we also…
We consider the problem of adaptive stabilization for discrete-time, multi-dimensional linear systems with bounded control input constraints and unbounded stochastic disturbances, where the parameters of the true system are unknown. To…
We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…
A finite-horizon variant of the quickest change detection problem is investigated, which is motivated by a change detection problem that arises in piecewise stationary bandits. The goal is to minimize the \emph{latency}, which is smallest…
We construct a sequence that converges to a solution of the Cauchy problem for a singularly perturbed linear inhomogeneous differential equation of an arbitrary order. This sequence is also an asymptotic sequence in the following sense: the…
We study a class of nonlinear elliptic problems driven by a double-phase operator with variable exponents, arising in the modeling of heterogeneous materials undergoing phase transitions. The associated Poisson problem features a…