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Tunneling and Metastability of continuous time Markov chains II, the nonreversible case
Metastability Tunneling Markov processes
2012/5/25
We proposed in \cite{bl2} a new approach to prove the metastable behavior of reversible dynamics based on potential theory and local ergodicity. In this article we extend this theory to nonreversible ...
On the Comparison and Uniqueness for Solutions of BSDEs with Continuous Coefficients
Backward stochastic differential equation comparison theorem uniqueness
2011/11/5
As we known that there may be more than one solution for backward stochastic differential equation with continuous coefficients and the comparison theorem for any solutions of two BSDEs does not hold ...
Necessary and Sufficient Conditions for Positive and Negative Solutions of BSDEs with Continuous Coefficients
Backward stochastic differential equation positive solution continuous coefficients
2011/11/5
As we know that, in stochastic finance, each pricing mechanism corresponds to a well-defined BSDE. The behaviors of g exert an influence to this mechanism. In some circumstances, to regulate or to des...
Stability of nonlinear stochastic Volterra difference equations with continuous time
Nonlinear stochastic difference equations Stability Lyapunov functional construction Continuous time
2011/11/4
In recent years, many authors investigated the systems of stochastic difference equations with discrete time or the systems of numerical solution for stochastic difference equations with continue time...
Large deviations for cluster size distributions in a continuous classical many-body system
Classical particle system canonical ensemble equilibrium statistical mechanics dilute system large deviations
2011/9/14
Abstract: An interesting problem in statistical physics is the condensation of classical particles in droplets or clusters when the pair-interaction is given by a stable Lennard-Jones-type potential. ...
Abstract: In this paper, we want to investigate some kind of Dynkin's game under ambiguity which is represented by Backward Stochastic Differential Equation (shortly BSDE) with standard generator func...
A Lamperti type representation of Continuous-State Branching Processes with Immigration
Levy processes Continuous branching processes with immigration time-change
2011/1/20
Guided by the relationship between the breadth- rst walk of a rooted tree and its sequence of generation sizes, we extend the Lamperti representation of continuous-state branching processes to allow i...
The local quantization behaviour of absolutely continuous probabilities
Vector quantization probability of Voronoi cells inertia of Voronoi cells
2010/12/13
For a large class of absolutely continuous probabilities P it is shown that, for r > 0, for n-optimal Lr(P)-codebooks n, and any Voronoi partition Vn,a with respect to n the local probabilities P(Vn...
Filtering of continuous-time Markov chains with noise-free observation and applications
Filtering of continuous-time Markov chains noise-free observation applications
2010/11/30
Let X be a continuous-time Markov chain in a finite set I, let h be a mapping of I onto another set, and let Y be defined by Yt = h(Xt), (t ≥ 0). We address the filtering problem
for X in terms of th...