Related papers: Self-Similar Markov Processes on Cantor Set
We characterize all multi-dimensional real self-similar Gaussian Markov processes. Three types of covariance matrix functions occur: white-noise type functions, covariances that can be expressed by continuous matrix semigroups, and…
We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…
In this paper, we study darning of general symmetric Markov processes by shorting some parts of the state space into singletons. A natural way to construct such processes is via Dirichlet forms restricted to the function space whose members…
Monotone L\'evy processes with additive increments are defined and studied. It is shown that these processes have a natural Markov structure and their Markov transition semigroups are characterized using the monotone L\'evy-Khintchine…
We consider a discrete time semi-Markov process where the characteristics defining the process depend on a small perturbation parameter. It is assumed that the state space consists of one finite communicating class of states and, in…
We start by remarking a one-to-one correspondence between self-similar Markov processes (ssMps) on a Banach space and Markov additive processes (MAPs) that is analogous to the well-known one between positive ssMps and L\'evy processes…
A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional…
In this paper, we study mixed power-exponential moment functionals of nonlinearly perturbed semi-Markov processes in discrete time. Conditions under which the moment functionals of interest can be expanded in asymptotic power series with…
We study the asymptotic properties, in the weak sense, of regenerative processes and Markov renewal processes. For the latter, we derive both renewal-type results, also concerning the related counting process, and ergodic-type ones,…
We construct a family of self-similar Markov martingales with given marginal distributions. This construction uses the self-similarity and Markov property of a reference process to produce a family of Markov processes that possess the same…
We prove a boundary Harnack inequality for jump-type Markov processes on metric measure state spaces, under comparability estimates of the jump kernel and Urysohn-type property of the domain of the generator of the process. The result holds…
We analyse various properties of stochastic Markov processes with multiplicative white noise. We take a single-variable problem as a simple example, and we later extend the analysis to the Landau-Lifshitz-Gilbert equation for the stochastic…
By using the algebraic construction outlined in \cite{CGRS}, we introduce several Markov processes related to the ${\mathcal{U}}_q(\mathfrak{su}(1,1))$ quantum Lie algebra. These processes serve as asymmetric transport models and their…
Local perturbations of a Brownian motion are considered. As a limit we obtain a non-Markov process that behaves as a reflected Brownian motion on the positive half line until its local time at zero reaches some exponential level, then…
Semi-Markov processes generalize Markov processes by adding temporal memory effects as expressed by a semi-Markov kernel. We recall the path weight for a semi-Markov trajectory and the fact that thermodynamic consistency in equilibrium…
The deterministic analog of the Markov property of a time-homogeneous Markov process is the semigroup property of solutions of an autonomous differential equation. The semigroup property arises naturally when the solutions of a differential…
Under continuity and recurrence assumptions, we prove that the iteration of successive partial symmetrizations that form a time-homogeneous Markov process, converges to a symmetrization. We cover several settings, including the…
In a paper of Jason Swanson, a CLT for the sample median of independent Brownian motions with value 0 at 0 was proved. Here we extend this result in two ways. We prove such a result for a collection of self-similar processes which include…
We prove limit theorems for the weighted quadratic variation of trifractional Brownian motion and $n$-th order fractional Brownian motion. Furthermore, a sufficient condition for the $L^P$-convergence of the weighted quadratic variation for…
Given a (conservative) symmetric Markov process on a metric space we consider related bilinear forms that generalize the energy form for a particle in an electromagnetic field. We obtain one bilinear form by semigroup approximation and…