Piecewise-deterministic markov process

Results 51 to 60 of about 3,888 (182)

In silico modelling of CD8 T cell immune response links genetic regulation to population dynamics

ImmunoInformatics
The CD8 T cell immune response operates at multiple temporal and spatial scales, including all the early complex biochemical and biomechanical processes, up to long term cell population behavior.In order to model this response, we devised a multiscale ...
Thi Nhu Thao Nguyen +5 more
doaj +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source

Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling

Mathematical Finance, EarlyView.
ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
wiley +1 more source

Debiasing piecewise deterministic Markov process samplers using couplings

International audienceAbstract Monte Carlo methods—such as Markov chain Monte Carlo (MCMC) and piecewise deterministic Markov process (PDMP) samplers—provide asymptotically exact estimators of expectations under a target distribution.
Chopin, Nicolas, Corenflos, Adrien, Sutton, Matthew +2 more
core +2 more sources

Viscosity solutions of two classes of coupled Hamilton-Jacobi-Bellman equations

Journal of Inequalities and Applications, 2001
This paper studies viscosity solutions of two sets of linearly coupled Hamilton-Jacobi-Bellman (HJB) equations (one for finite horizon and the other one for infinite horizon) which arise in the optimal control of nonlinear piecewise deterministic ...
Başar Tamer, Xiao Mingqing
doaj

Bayesian Inference for Multivariate Monotone Densities

Scandinavian Journal of Statistics, EarlyView.
ABSTRACT We consider a nonparametric Bayesian approach to estimation and testing for a multivariate monotone density. Instead of following the conventional Bayesian approach of imposing a prior that satisfies the monotonicity restriction, we place a prior on the step heights via binning and a Dirichlet distribution. The resulting posterior distribution
Kang Wang, Subhashis Ghosal
wiley +1 more source

Invariant Measure and Universality of the 2D Yang–Mills Langevin Dynamic

Communications on Pure and Applied Mathematics, Volume 79, Issue 8, Page 1973-2102, August 2026.
ABSTRACT We prove that the Yang–Mills (YM) measure for the trivial principal bundle over the two‐dimensional torus, with any connected, compact structure group, is invariant for the associated renormalised Langevin dynamic. Our argument relies on a combination of regularity structures, lattice gauge‐fixing and Bourgain's method for invariant measures ...
Ilya Chevyrev, Hao Shen
wiley +1 more source

Construction of Lyapunov functions for piecewise-deterministic Markov processes [PDF]

49th IEEE Conference on Decision and Control (CDC), 2010
The purpose of this contribution is twofold: 1) to present for the first time a Lyapunov function that proves exponential ergodicity of a process studied by the authors in [1], where the problem of controlling the probability density of a swarm of robotic agents was solved; 2) to introduce alongside the method used to construct this Lyapunov function ...
Alexandre Rodrigues Mesquita, João Pedro Hespanha +1 more
openaire +1 more source

Nonparametric Estimation for a Class of Piecewise-Deterministic Markov Processes [PDF]

Journal of Applied Probability, 2013
In this paper we study nonparametric estimation problems for a class of piecewise-deterministic Markov processes (PDMPs). Borovkov and Last (2008) proved a version of Rice's formula for PDMPs, which explains the relation between the stationary density and the level crossing intensity.
openaire +2 more sources

On the Optimality of State-Dependent Base-Stock Policies for an Inventory System with PH-Type Disruptions

Logistics
Background: The management of inventory under realistic supply chain disruptions, which are often non-exponential, challenges classical control theory.
Davide Castellano
doaj +1 more source

mathematics