An important challenge in Markov decision processes is to ensure robustness with respect to unexpected or adversarial system behavior while taking advantage of well-behaving parts of the system. We consider a problem setting where some unknown parts of the state space can have arbitrary transitions while other parts are purely stochastic. We devise an algorithm that is adaptive to potentially a...

Seismic waves are filtered as they pass through soil layers, from bedrock to surface. Frequencies and amplitudes of the response wave are affected due to this filtration effect and this will result in different ground motion characteristics. Therefore, it is important to consider the impact of the soil properties on the evaluation of earthquake ground motions for the design of structures. Soil ...

We study the impact of stochastic mechanisms on a coupled hybrid system consisting of a general advection diffusion reaction partial differential equation and a spatially distributed stochastic lattice noise model. The stochastic dynamics include both spin-flip and spin-exchange type inter-particle interactions. Furthermore, we consider a new, asymmetric, single exclusion process, studied elsew...

This paper rigorously justifies the approximation of aggregate imitational behavior in large populations by the deterministic dynamics given by Bjönerstedt and Weibull. We first clarify what models fit their formulation, in which the stochastic dynamics depends only on the average frequencies of strategies in populations. Then we show that the stochastic process of each individual’s behavior co...

In this paper, we introduce and study one-dimensional models for the behavior of pedestrians in a narrow street or corridor. We begin at the microscopic level by formulating a stochastic cellular automata model with explicit rules for pedestrians moving in two opposite directions. Coarse-grained mesoscopic and macroscopic analogs are derived leading to the coupled system of PDEs for the density...

Pricing for mortgage and mortgage-backed securities is complicated due to the stochastic and interdependent nature of prepayment and default risks. This paper presents a unified economic model of the contingent claims and competing risks of mortgage termination by prepayment and default. I adopt a proportional hazard framework to analyze these competing and interdependent risks in a model with ...

introduction: studying the hydrological cycle, especially in large scales such as water catchments, is difficult and complicated despite the fact that the numbers of hydrological components are limited. this complexity rises from complex interactions between hydrological components and environment. recognition, determination and modeling of all interactive processes are needed to address this i...

Sensitivity analysis quantifies the dependence of system behavior on the parameters that affect the process dynamics. Classical sensitivity analysis, however, does not directly apply to discrete stochastic dynamical systems, which have recently gained popularity because of its relevance in the simulation of biological processes. In this work, sensitivity analysis for discrete stochastic process...

Sensitivity analysis quantifies the dependence of system “behavior” on the parameters that affect the process dynamics. Classical sensitivity analysis, however, does not directly apply to discrete stochastic dynamical systems, which have recently gained popularity because of its relevance to biological processes. In this work, the sensitivity analysis for discrete stochastic processes is develo...

An efficient handling of passengers is essential for reliable terminal processes. Since the entire progress of terminal handling depends on the individual behavior of the passengers, a valid and calibrated agent-based model allows for a detailed evaluation of system performance and for identifying optimization capabilities. Our model is based on a stochastic approach for passenger movements inc...