We consider the problem of determining an optimal strategy for electricity injection that faces an uncertain power demand stream. This demand stream is modeled via an Ornstein-Uhlenbeck process with an additional jump component, whereas the power flow is represented by the linear transport equation. We analytically determine the optimal amount of power supply for different levels of available information and compare the results to each other. For numerical purposes, we reformulate the original problem in terms of the cost function such that classical optimization solvers can be directly applied. The computational results are illustrated for different scenarios.

The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the case of globally Lipschitz continuous coefficients. However, in many situations, relevant systems do not show a smooth behavior, which results in SDE models with discontinuous drift coefficient. In this work, we will analyze the long time properties of the Euler scheme applied to SDEs with a piecewise constant drift and a constant diffusion coefficient and carry out intensive numerical tests for its convergence properties. We will emphasize on numerical convergence rates and analyze how they depend on properties of the drift coefficient and the initial value. We will also give theoretical interpretations of some of the arising phenomena. For application purposes, we will study a rank-based stock market model describing the evolution of the capital distribution within the market and provide theoretical as well as numerical results on the long time ranking behavior.

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Warning signs for tipping points (or critical transitions) have been very actively studied. Although the theory has been applied successfully in models and in experiments for many complex systems such as for tipping in climate systems, there are ongoing debates as to when warning signs can be extracted from data. In this work, we shed light on this debate by considering different types of underlying noise. Thereby, we significantly advance the general theory of warning signs for nonlinear stochastic dynamics. A key scenario deals with stochastic systems approaching a bifurcation point dynamically upon slow parameter variation. The stochastic fluctuations are generically able to probe the dynamics near a deterministic attractor to reveal critical slowing down. Using scaling laws near bifurcations, one can then anticipate the distance to a bifurcation. Previous warning signs results assume that the noise is Markovian, most often even white. Here, we study warning signs for non-Markovian systems including coloured noise and α -regular Volterra processes (of which fractional Brownian motion and the Rosenblatt process are special cases). We prove that early warning scaling laws can disappear completely or drastically change their exponent based upon the parameters controlling the noise process. This provides a clear explanation as to why applying standard warning signs results to reduced models of complex systems may not agree with data-driven studies. We demonstrate our results numerically in the context of a box model of the Atlantic Meridional Overturning Circulation.