Related papers: The stability of conditional Markov processes and …

A statistical test is presented to decide whether data are adequately described by probabilistic functions of finite state Markov chains (''hidden Markov models'') as applied in the analysis of ion channel data. Particularly, the test can…

We study the pointwise stabilizability of a discrete-time, time-homogeneous, and stationary Markovian jump linear system. By using measure theory, ergodic theory and a splitting theorem of state space we show in a relatively simple way that…

The first aim of the present note is to quantify the speed of convergence of a conditioned process toward its Q-process under suitable assumptions on the quasi-stationary distribution of the process. Conversely, we prove that, if a…

Given a stochastic nonlinear system controlled over a possibly noisy communication channel, the paper studies the largest class of channels for which there exist coding and control policies so that the closed-loop system is stochastically…

This work is devoted to the almost sure stabilization of adaptive control systems that involve an unknown Markov chain. The control system displays continuous dynamics represented by differential equations and discrete events given by a…

When are quantum filters asymptotically independent of the initial state? We show that this is the case for absolutely continuous initial states when the quantum stochastic model satisfies an observability condition. When the initial system…

Max-stable processes are central models for spatial extremes. In this paper, we focus on some space-time max-stable models introduced in Embrechts et al. (2016). The processes considered induce discrete-time Markov chains taking values in…

We continue development of the theory of Markov systems initiated in \cite{Wer1}. In this paper, we introduce fundamental Markov systems associated with random dynamical systems and show that the proof of the uniqueness and empiricalness of…

We explore the concept of a consistent exchangeable survival process - a joint distribution of survival times in which the risk set evolves as a continuous-time Markov process with homogeneous transition rates. We show a correspondence with…

For discrete-time Markov chains on general state spaces, we establish criteria for non-ergodicity and non-strong ergodicity, and derive sufficient conditions for non-geometric ergodicity via the theory of minimal nonnegative solutions. Our…

Consider a Markov process $\{\Phi(t) : t\geq 0\}$ evolving on a Polish space ${\sf X}$. A version of the $f$-Norm Ergodic Theorem is obtained: Suppose that the process is $\psi$-irreducible and aperiodic. For a given function $f\colon{\sf…

In the simplest sequential decision problem for an ergodic stochastic process X, at each time n a decision u_n is made as a function of past observations X_0,...,X_{n-1}, and a loss l(u_n,X_n) is incurred. In this setting, it is known that…

In this short note we provide an elementary proof that a certain type of nonuniform sequential Doeblin minorization condition implies non-uniform sequential "geometric" ergodicity. Using this result several limit theorems for inhomogeneous…

Under multiplicative drift and other regularity conditions, it is established that the asymptotic variance associated with a particle filter approximation of the prediction filter is bounded uniformly in time, and the nonasymptotic,…

We introduce and study time-inhomogeneous quantum Markov chains with parameter $\zeta \ge 0$ and decoherence parameter $0 \leq p \leq 1$ on finite spaces and their large scale equilibrium properties. Here $\zeta$ resembles the inverse…

We argue that the spectral theory of non-reversible Markov chains may often be more effectively cast within the framework of the naturally associated weighted-$L_\infty$ space $L_\infty^V$, instead of the usual Hilbert space $L_2=L_2(\pi)$,…

This article discusses a partially adapted particle filter for estimating the likelihood of a nonlinear structural econometric state space models whose state transition density cannot be expressed in closed form. The filter generates the…

We establish new conditions for obtaining uniform bounds on the moments of discrete-time stochastic processes. Our results require a weak negative drift criterion along with a state-dependent restriction on the sizes of the one-step jumps…

This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…

An autoregressive process with Markov regime is an autoregressive process for which the regression function at each time point is given by a nonobservable Markov chain. In this paper we consider the asymptotic properties of the maximum…