Search results for " Markov processes"
showing 5 items of 5 documents
First passage time distribution of stationary Markovian processes
2010
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time issues are a classical topic in stochastic processes research. They also have relevant applications, for example, in many fields of finance such as the assessment of the default risk for firms' assets. By using some explicit examples, in this paper we will show that the tail of the First Passage Time distribution crucially depends on the correlation properties of the process and it is independent from its stationary distribution. When the process includes an infinite set of time-scales bounded from above, the FPT…
Stationary and Initial-Terminal Value Problem for Collective Decision Making via Mean-Field Games
2017
Given a large number of homogeneous players that are distributed across three possible states, we consider the problem in which these players have to control their transition rates, following some optimality criteria. The optimal transition rates are based on the players' knowledge of their current state and of the distribution of all the other players, thus introducing mean-field terms in the running and the terminal cost. The first contribution is a mean-field model that takes into account the macroscopic and the microscopic dynamics. The second contribution is the study of the mean-field equilibrium resulting from solving the initial-terminal value problem, involving the Kolmogorov equat…
Dynamics of correlations due to a phase noisy laser
2012
We analyze the dynamics of various kinds of correlations present between two initially entangled independent qubits, each one subject to a local phase noisy laser. We give explicit expressions of the relevant quantifiers of correlations for the general case of single-qubit unital evolution, which includes the case of a phase noisy laser. Although the light field is treated as classical, we find that this model can describe revivals of quantum correlations. Two different dynamical regimes of decay of correlations occur, a Markovian one (exponential decay) and a non-Markovian one (oscillatory decay with revivals) depending on the values of system parameters. In particular, in the non-Markovia…
Persistent random walks, variable length Markov chains and piecewise deterministic Markov processes *
2013
A classical random walk $(S_t, t\in\mathbb{N})$ is defined by $S_t:=\displaystyle\sum_{n=0}^t X_n$, where $(X_n)$ are i.i.d. When the increments $(X_n)_{n\in\mathbb{N}}$ are a one-order Markov chain, a short memory is introduced in the dynamics of $(S_t)$. This so-called "persistent" random walk is nolonger Markovian and, under suitable conditions, the rescaled process converges towards the integrated telegraph noise (ITN) as the time-scale and space-scale parameters tend to zero (see Herrmann and Vallois, 2010; Tapiero-Vallois, Tapiero-Vallois2}). The ITN process is effectively non-Markovian too. The aim is to consider persistent random walks $(S_t)$ whose increments are Markov chains with…
Robust delay-dependent H∞ control of uncertain time-delay systems with mixed neutral, discrete, and distributed time-delays and Markovian switching p…
2011
Author's version of an article published in the journal: IEEE Transactions on Circuits and Systems I: Regular Papers. Also available from the publisher at: http://dx.doi.org/10.1109/tcsi.2011.2106090 The problem of robust mode-dependent delayed state feedback H ∞ control is investigated for a class of uncertain time-delay systems with Markovian switching parameters and mixed discrete, neutral, and distributed delays. Based on the LyapunovKrasovskii functional theory, new required sufficient conditions are established in terms of delay-dependent linear matrix inequalities for the stochastic stability and stabilization of the considered system using some free matrices. The desired control is …