相关论文: Solutions of max-plus linear equations and large d…

Widely used closed product-form networks have emerged recently as a primary model of stochastic growth of sub-cellular structures, e.g., cellular filaments. In the baseline model, homogeneous monomers attach and detach stochastically to…

For a process governed by a linear Ito stochastic differential equation of the form dX(t)=[a(t)+b(t)X(t)]dt + \sigma(t)dW(t) we prove an existence of optimal sampling designs with strictly increasing sampling times. We derive an asymptotic…

Let $X_{i,n},n\in \mathbb{N},1\leq i\leq n$, be a triangular array of independent $\mathbb{R}^d$-valued Gaussian random vectors with correlation matrices $\Sigma_{i,n}$. We give necessary conditions under which the row-wise maxima converge…

In rare-event simulation, an importance sampling (IS) estimator is regarded as efficient if its relative error, namely the ratio between its standard deviation and mean, is sufficiently controlled. It is widely known that when a rare-event…

We develop a formalism to discuss the properties of GENERIC systems in terms of corresponding Hamiltonians that appear in the characterization of large-deviation limits. We demonstrate how the GENERIC structure naturally arises from a…

We consider Galerkin finite element methods for semilinear stochastic partial differential equations (SPDEs) with multiplicative noise and Lipschitz continuous nonlinearities. We analyze the strong error of convergence for spatially…

We present an optimization problem emerging from optimal control theory and situated at the intersection of fractional programming and linear max-min programming on polytopes. A na\"ive solution would require solving four nested, possibly…

In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…

This paper presents an intrinsic approach for addressing control problems with systems governed by linear ordinary differential equations (ODEs). We use computer algebra to constrain a Gaussian Process on solutions of ODEs. We obtain…

The standard Large Deviation Theory (LDT) is mathematically illustrated by the Boltzmann-Gibbs factor which describes the thermal equilibrium of short-range-interacting many-body Hamiltonian systems, the velocity distribution of which is…

This paper studies the large time behavior of solutions to semi-linear Cauchy problems with quadratic nonlinearity in gradients. The Cauchy problem considered has a general state space and may degenerate on the boundary of the state space.…

We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…

We develop a Galois theory for systems of linear difference equations with an action of an endomorphism {\sigma}. This provides a technique to test whether solutions of such systems satisfy {\sigma}-polynomial equations and, if yes, then…

We present a Galois theory of difference equations designed to measure the differential dependencies among solutions of linear difference equations. With this we are able to reprove Hoelder's Theorem that the Gamma function satisfies no…

Multiplicative logarithmic corrections frequently characterize critical behaviour in statistical physics. Here, a recently proposed theory relating the exponents of such terms is extended to account for circumstances which often occur when…

We derive exact matrix integral representations for different sums over partitions. The characteristic feature of all obtained matrix models is the presence of logarithmic (or, vice versa, exponential) terms in the potential. Our derivation…

We introduce the beta generalized exponential distribution that includes the beta exponential and generalized exponential distributions as special cases. We provide a comprehensive mathematical treatment of this distribution. We derive the…

We consider a class of elasticity equations in ${\mathbb R}^d$ whose elastic moduli depend on $n$ separated microscopic scales, are random and expressed as a linear expansion of a countable sequence of random variables which are…

We establish a large deviation principle for the solutions of a class of stochastic partial differential equations with non-Lipschitz continuous coefficients. As an application, the large deviation principle is derived for super-Brownian…

In this article we investigate a finite element formulation of strongly monotone quasi-linear elliptic PDEs in the context of fixed-point iterations. As opposed to Newton's method, which requires information from the previous iteration in…