Related papers: L^p estimates for Feynman-Kac propagators with tim…
We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, differentiability concepts for multivalued mappings, and a…
We give necessary and sufficient conditions in order that inequalities of the type $$ \| T_K f\|_{L^q(d\mu)}\leq C \|f\|_{L^p(d\sigma)}, \qquad f \in L^p(d\sigma), $$ hold for a class of integral operators $T_K f(x) = \int_{R^n} K(x, y)…
We present the idea of intertwining of two diffusions by Feynman-Kac operators. We present some variations and implications of the method and give examples of its applications. Among others, it turns out to be a very useful tool for finding…
Comparison results are given for time-inhomogeneous Markov processes with respect to function classes induced stochastic orderings. The main result states comparison of two processes, provided that the comparability of their infinitesimal…
Let $G$ be a countable discrete group with an orthogonal representation $\alpha$ on a real Hilbert space $H$. We prove $L_p$ Poincar\'e inequalities for the group measure space $L_\infty(\Omega_H,\gamma)\rtimes G$, where both the group…
In this paper we study the spectral properties of Markov-operator on $L^{2}$-spaces. Lawler and Sokal (Trans. Amer. Math. Soc., 1988, 309, pp. 557-580) used isoperimetric constants for discrete and continuous time Markov chains to obtain a…
We study a time-non-homogeneous Markov process which arose from free probability, and which also appeared in the study of stochastic processes with linear regressions and quadratic conditional variances. Our main result is the explicit…
We prove a version of the Feynman-Kac formula for Levy processes and integro-differential operators, with application to the momentum representation of suitable quantum (Euclidean) systems whose Hamiltonians involve L\'{e}vy-type…
Feynman's time-slicing construction approximates the path integral by a product, determined by a partition of a finite time interval, of approximate propagators. This paper formulates general conditions to impose on a short-time…
Performance analysis for linear time-invariant (LTI) systems has been closely tied to quadratic Lyapunov functions ever since it was shown that LTI system stability is equivalent to the existence of such a Lyapunov function. Some metrics…
We consider models of nucleotidic substitution processes where the rate of substitution at a given site depends on the state of its neighbours. For a wide class of such nonreversible models, we show how to compute consistent, mathematically…
In this paper we introduce a wide class of space-fractional and time-fractional semidiscrete Dirac operators of L\'evy-Leblond type on the semidiscrete space-time lattice $h\mathbb{Z}^n\times[0,\infty)$ ($h>0$), resembling to fractional…
In the paper, we study a new rate of convergence estimate for homogeneous discrete-time nonlinear Markov chains based on the Markov-Dobrushin condition. This result generalizes the convergence estimates for any positive number of transition…
Continuous-time Markov chains are a standard tool in phylogenetic inference. If homogeneity is assumed, the chain is formulated by specifying time-independent rates of substitutions between states in the chain. In applications, there are…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
We give background material and some details of calculations for two recent papers [1,2] where we derived a path integral representation of the transition element for supersymmetric and nonsupersymmetric nonlinear sigma models in one…
In this article, the problem of semi-parametric inference on the parameters of a multidimensional L\'{e}vy process $L_t$ with independent components based on the low-frequency observations of the corresponding time-changed L\'{e}vy process…
Building on the (Rank I) LGC-methodology introduced by the second author and on the novel perspective employed in the time-frequency discretization of the non-resonant bilinear Hilbert--Carleson operator, we develop a new, versatile method…
We consider linear elliptic and parabolic equations with measurable coefficients and prove two types of $L_{p}$-estimates for their solutions, which were recently used in the theory of fully nonlinear elliptic and parabolic second order…
Upper estimates of densities of convolution semigroups of probability measures are given under explicit assumptions on the corresponding L\'evy measure and the L\'evy--Khinchin exponent.