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math.PR updates on arXiv.org

Visibility in the Boolean Model on Harmonic Manifolds Global estimates on the Brenier map Geodesics and Wandering Exponents in Brochette First-Passage Percolation State-dependent inverse-subordinator time changes of regenerative processes: Excursion structure and multiscale occupation-time limits Randomly twisted transfer operators and singular values statistics Generalized Bessel-Dunkl diffusions An almost sure invariance principle for the Takagi-van der Waerden class functions Central limit theorems for high dimensional lattice polytopes: cosmological polytopes Convergence rate estimates for semigroups and heat kernels associated with resistance forms Second-order Poincaré inequalities and localization on the Poisson space Maximum Probability of Independence in Transitive Matroids On global solutions to the semidiscrete stochastic heat equation The Poisson Tail Conjecture for primes in short intervals A Complete Spectral Analysis of the CEV Operator with Applications to Arbitrage Holographic functions and neural networks From Betting to Empirical Bernstein LIL Concentration of General Stochastic Approximation Under Heavy-Tailed Markovian Noise Pointwise Generalization in Deep Neural Networks Bayesian Latent Space Models for Graphs Are Misspecified: Toward Robust Inference via Generalized Posteriors Wasserstein bounds for denoising diffusion probabilistic models via the Föllmer process A note on connections between the Föllmer process and the denoising diffusion probabilistic model Simple Approximation and Derivative Free Inference-Time Scaling for Diffusion Models via Sequential Monte Carlo on Path Measures Diffusion-Based Stochastic Operator Networks for Uncertainty Quantification in Stochastic Partial Differential Equations A Fourier perspective on the learning dynamics of neural networks: from sample complexities to mechanistic insights Propagation of Chaos in Contextual Flow Maps Dimension-Uniform Discretization Analysis of Preconditioned Annealed Langevin Dynamics for Multimodal Gaussian Mixtures $α$-TCAV: A Unified Framework for Testing with Concept Activation Vectors Scaling Laws from Sequential Feature Recovery: A Solvable Hierarchical Model On the Limits of Latent Reuse in Diffusion Models State-of-art minibatches via novel DPP kernels: discretization, wavelets, and rough objectives
Unified Systems of FB-SPDEs/FB-SDEs with Jumps/Skew Refle...
Wanyang Dai · 2015-06-15 · via math.PR updates on arXiv.org

We study four systems and their interactions. First, we formulate a unified system of coupled forward-backward stochastic partial differential equations (FB-SPDEs) with Levy jumps, whose drift, diffusion, and jump coefficients may involve partial differential operators. A solution to the FB-SPDEs is defined by a 4-tuple general dimensional random vector-field process evolving in time together with position parameters over a domain (e.g., a hyperbox or a manifold). Under an infinite sequence of generalized local linear growth and Lipschitz conditions, the well-posedness of an adapted 4-tuple strong solution is proved over a suitably constructed topological space. Second, we consider a unified system of FB-SDEs, a special form of the FB-SPDEs, however, with skew boundary reflections. Under randomized linear growth and Lipschitz conditions together with a general completely-S condition on reflections, we prove the well-posedness of an adapted 6-tuple weak solution with boundary regulators to the FB-SDEs by the Skorohod problem and an oscillation inequality. Particularly, if the spectral radii in some sense for reflection matrices are strictly less than the unity, an adapted 6-tuple strong solution is concerned. Third, we formulate a stochastic differential game (SDG) with general number of players based on the FB-SDEs. By a solution to the FB-SPDEs, we get a solution to the FB-SDEs under a given control rule and then obtain a Pareto optimal Nash equilibrium policy process to the SDG. Fourth, we study the applications of the FB-SPDEs/FB-SDEs in queueing systems and quantum statistics while we use them to motivate the SDG.