Predictable representation for time inhomogeneous Lévy processes and BSDEs
Sign Up to like & getrecommendations! Published in 2019 at "Afrika Matematika"
DOI: 10.1007/s13370-019-00677-0
Abstract: The aim of this paper is to give the predictable representation property associated with Lévy process in the non-homogeneous case. In this latter, we establish the existence and uniqueness of solution for the Backward Stochastic… read more here.
Keywords: representation; processes bsdes; inhomogeneous processes; predictable representation ... See more keywords
Global convergence of discrete-time inhomogeneous Markov processes from dynamical systems perspective
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2016.11.076
Abstract: Abstract Given the continuous real-valued objective function f and the discrete time inhomogeneous Markov process X t defined by the recursive equation of the form X t + 1 = T t ( X t… read more here.
Keywords: inhomogeneous markov; time inhomogeneous; global convergence; discrete time ... See more keywords
Some new results on relative entropy production, time reversal, and optimal control of time-inhomogeneous diffusion processes
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Mathematical Physics"
DOI: 10.1063/5.0038740
Abstract: This paper studies time-inhomogeneous diffusion processes, including both Brownian dynamics and Langevin dynamics. We derive upper bounds of the relative entropy production for a time-inhomogeneous process with respect to the transient invariant probability measures. We… read more here.
Keywords: time; time reversal; diffusion processes; time inhomogeneous ... See more keywords
Time-inhomogeneous random Markov chains
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Statistical Mechanics: Theory and Experiment"
DOI: 10.1088/1742-5468/aae028
Abstract: We consider Markov chains with random transition probabilities which, moreover, fluctuate randomly with time. We describe such a system by a product of stochastic matrices, $U(t)=M_t\cdots M_1$, with the factors $M_i$ drawn independently from an… read more here.
Keywords: markov; markov chains; random markov; random ... See more keywords
Generalized Hydrodynamics with Space-Time Inhomogeneous Interactions.
Sign Up to like & getrecommendations! Published in 2019 at "Physical review letters"
DOI: 10.1103/physrevlett.123.130602
Abstract: We provide a new hydrodynamic framework to describe out-of-equilibrium integrable systems with space-time inhomogeneous interactions. Our result builds up on the recently introduced generalized hydrodynamics (GHD). The method allows us to analytically describe the dynamics… read more here.
Keywords: time inhomogeneous; hydrodynamics; space time; inhomogeneous interactions ... See more keywords
Feature Engineering and Resampling Strategies for Fund Transfer Fraud With Limited Transaction Data and a Time-Inhomogeneous Modi Operandi
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Access"
DOI: 10.1109/access.2022.3199425
Abstract: Detecting financial fraud to profile crimes and pinpoint system vulnerabilities is an essential issue in the financial industry. Because of interpretability requirements and the lack of mass transaction data due to privacy regulations, sophisticated handcrafted… read more here.
Keywords: fraud; feature; time inhomogeneous; detection ... See more keywords