Feller property of regime-switching jump diffusion processes with hybrid jumps

The transition kernel of an ℝ ⁿ-valued diffusion or jump diffusion process {X _t} is known to satisfy the Feller property if {X _t} is the solution of an SDE whose coefficients are Lipschitz continuous. This Lipschitz route to Feller falls short if {X _t} is the solution of an SDE whose coefficients...

Random Assignment Versus Fixed Assignment in Multilevel Importance Splitting for Estimating Stochastic Reach Probabilities

This paper focuses on estimating reach probability of a closed unsafe set by a stochastic process. A well-developed approach is to make use of multi-level MC simulation, which consists of encapsulating the unsafe set by a sequence of increasing closed sets and conducting a sequence of MC simulations to estimate the reach probability of each...

Co-creating Responsible Energy Systems

Energy system projects in countries like India are often failing. Not only because of technical or economical barriers, but mainly institutional and social issues are at the base of these failures. A co-creation, or participatory, process to align all demands and requirements of the different stakeholders is required. This paper takes...

Bayesian estimation for decision-directed stochastic control

Stochastic processes with a decision-directed control are considered as controlled Markov processes, the state space of which is hybrid; i.e. a product of a discrete set and a Euclidean space. This approach yields a mathematical model for many problems of decision-directed stochastic control. In general, the observations made from the "past" and...

Comparison of a jump-diffusion tracker with a Kalman tracker: an evaluation with emphasis on air traffic control

A sophisticated starting point for a probabilistic approach to the radar tracking problem is a Markov jump-diffusion model for the aircraft dynamics, its control and the radar measurements. From nonlinear filtering theory, a closed form description of the evolution of the conditional distribution of this Markov process can be obtained. This jump...

Detection-filter representations for Markov jump diffusions

The problem considered is filtering for Gaussian observations of linear differential systems that are driven by both Wiener processes and marked Poisson point processes. Well-known representations of the MMSE-filter for such a Markov jump-diffusion are a differential for the evolution of its conditional density or differentials for all its...