We study the permutation complexity of finite-state stationary stochastic processes based on a duality between values and orderings between values. First, we establish a duality between the set of all words of a fixed length and the set of all permutations of the same length. Second, on this basis, we give an elementary alternative proof of the equality between the permutation entropy rate and ...

In this paper we deal with the numerical approximation of integro-differential equations arising in financial applications in which jump processes act as the underlying stochastic processes. Our aim is to find finite differences schemes which are high-order accurate for large time regimes. Therefore, we study the asymptotic time behavior of such equations and we define as asymptotic high-order ...

This paper presents a new stochastic finite element method for computing structural responses. The provides expansion of response and decouples the into combination series deterministic responses with random variable coefficients. A dedicated iterative algorithm is proposed to determine corresponding coefficients one by one. computes in their individual space insensitive dimensions, thus it can...

The development of surrogate models to study uncertainties in hydrologic systems requires significant effort the sampling strategies and forward model simulations. Furthermore, applications where prediction time is critical, such as hurricane storm surge, predictions system response can be required within short frames. Here, we develop an efficient stochastic shallow water address these issues....

This paper addresses the problem of finite-time H∞ filtering for one family of singular stochastic systems with parametric uncertainties and time-varying norm-bounded disturbance. Initially, the definitions of singular stochastic finite-time boundedness and singular stochastic H∞ finitetime boundedness are presented. Then, the H∞ filtering is designed for the class of singular stochastic system...

Homogeneous self-dual algorithms for stochastic semidefinite programs with finite event space has been proposed by Jin et al. in [12]. Alzalg [8], has adopted their work to derive homogeneous self-dual algorithms for stochastic second-order programs with finite event space. In this paper, we generalize these two results to derive homogeneous self-dual algorithms for stochastic programs with fin...