Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userLimit behaviour of the minimal solution of a BSDE in the non Markovian setting
50
0
0.0
(
0
)
Authors
Dmytro Marushkevych
Ask ChatGPT about the research
No Arabic abstract
We use the functional It{^o} calculus to prove that the solution of a BSDE with singular terminal condition is continuous at the terminal time. Hence we extend known results for a non-Markovian terminal condition.
rate research
Read More
The aim of this paper is to characterize the Snell envelope of a given P-measurable process l as the minimal solution of some backward stochastic differential equation with lower general reflecting barriers and to prove that this minimal solution exists.
We study non-Markovian stochastic epidemic models (SIS, SIR, SIRS, and SEIR), in which the infectious (and latent/exposing, immune) periods have a general distribution. We provide a representation of the evolution dynamics using the time epochs of infection (and latency/exposure, immunity). Taking the limit as the size of the population tends to infinity, we prove both a functional law of large number (FLLN) and a functional central limit theorem (FCLT) for the processes of interest in these models. In the FLLN, the limits are a unique solution to a system of deterministic Volterra integral equations, while in the FCLT, the limit processes are multidimensional Gaussian solutions of linear Volterra stochastic integral equations. In the proof of the FCLT, we provide an important Poisson random measures representation of the diffusion-scaled processes converging to Gaussian components driving the limit process.
We consider a random walk $tilde S$ which has different increment distributions in positive and negative half-planes. In the upper half-plane the increments are mean-zero i.i.d. with finite variance. In the lower half-plane we consider two cases: increments are positive i.i.d. random variables with either a slowly varying tail or with a finite expectation. For the distributions with a slowly varying tails, we show that ${frac{1}{sqrt n} tilde S(nt)}$ has no weak limit in $De$; alternatively, the weak limit is a reflected Brownian motion.
We introduce a new model for rill erosion. We start with a network similar to that in the Discrete Web and instantiate a dynamics which makes the process highly non-Markovian. The behavior of nodes in the streams is similar to the behavior of Polya urns with time-dependent input. In this paper we use a combination of rigorous arguments and simulation results to show that the model exhibits many properties of rill erosion; in particular, nodes which are deeper in the network tend to switch less quickly.
We study the relationship between (non-)Markovian evolutions, established correlations, and the entropy production rate. We consider a system qubit in contact with a thermal bath and in addition the system is strongly coupled to an ancillary qubit. We examine the steady state properties finding that the coupling leads to effective temperatures emerging in the composite system, and show that this is related to the creation of correlations between the qubits. By establishing the conditions under which the system reaches thermal equilibrium with the bath despite undergoing a non-Markovian evolution, we examine the entropy production rate, showing that its transient negativity is a sufficient sign of non-Markovianity.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
