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Quantifying the impact of parametric and model-form uncertainty on the predictions of stochastic models is a key challenge in many applications. Previous work has shown that the relative entropy rate is an effective tool for deriving path-space uncertainty quantification (UQ) bounds on ergodic averages. In this work we identify appropriate information-theoretic objects for a wider range of quantities of interest on path-space, such as hitting times and exponentially discounted observables, and develop the corresponding UQ bounds. In addition, our method yields tighter UQ bounds, even in cases where previous relative-entropy-based methods also apply, e.g., for ergodic averages. We illustrate these results with examples from option pricing, non-reversible diffusion processes, stochastic control, semi-Markov queueing models, and expectations and distributions of hitting times.
Given two pairs of quantum states, a fundamental question in the resource theory of asymmetric distinguishability is to determine whether there exists a quantum channel converting one pair to the other. In this work, we reframe this question in such
In this paper we introduce a new class of state space models based on shot-noise simulation representations of non-Gaussian Levy-driven linear systems, represented as stochastic differential equations. In particular a conditionally Gaussian version o
Heisenbergs uncertainty principle has recently led to general measurement uncertainty relations for quantum systems: incompatible observables can be measured jointly or in sequence only with some unavoidable approximation, which can be quantified in
Transfer entropy (TE) was introduced by Schreiber in 2000 as a measurement of the predictive capacity of one stochastic process with respect to another. Originally stated for discrete time processes, we expand the theory in line with recent work of S
The existence of a positive log-Sobolev constant implies a bound on the mixing time of a quantum dissipative evolution under the Markov approximation. For classical spin systems, such constant was proven to exist, under the assumption of a mixing con