Related papers: Spectral Analysis of Multi-dimensional Self-simila…

We study discrete time Markov processes with periodic or open boundary conditions and with inhomogeneous rates in the bulk. The Markov matrices are given by the inhomogeneous transfer matrices introduced previously to prove the…

This paper proposes an identification algorithm for Single Input Single Output (SISO) Linear Time-Invariant (LTI) systems. In the noise-free setting, where the first $T$ Markov parameters can be precisely estimated, all Markov parameters…

In this paper we consider fractional higher-order stochastic differential equations of the form \begin{align*} \left( \mu + c_\alpha \frac{d^\alpha}{d(-t)^\alpha} \right)^\beta X(t) = \mathcal{E}(t) , \quad t\geq 0,\; \mu>0,\; \beta>0,\;…

Herein, we analyze an efficient branching particle method for asymptotic solutions to a class of continuous-discrete filtering problems. Suppose that $t\to X_t$ is a Markov process and we wish to calculate the measure-valued process…

Starting from the deformed commutation relations \ba a_q(t) \,a_q^{\dag}(s) \ - \ q\,a_q^{\dag}(s)\,a_q(t) \ = \ \Gam(t-s) {\bf 1} , \quad -1\ \le \ q\ \le\ 1\nn \ea with a covariance $\Gam(t-s)$ and a parameter $q$ varying between $-1$ and…

We study a family of stationary increment Gaussian processes, indexed by time. These processes are determined by certain measures sigma (generalized spectral measures), and our focus here is on the case when the measure sigma is a singular…

Extending the concept of multi-selfsimilar random field we study multi-scale invariant (MSI) fields which have component-wise discrete scale invariant property. Assuming scale parameters as $\lambda_i>1$, $i=1,\ldots,d$ and the parameter…

We aim at estimating in a non-parametric way the density $\pi$ of the stationary distribution of a $d$-dimensional stochastic differential equation $(X_t)_{t \in [0, T]}$, for $d \ge 2$, from the discrete observations of a finite sample…

We present a class of stochastic processes in which the large deviation functions of time-integrated observables exhibit singularities that relate to dynamical phase transitions of trajectories. These illustrative examples include Brownian…

We compute spectra of sample auto-covariance matrices of second order stationary stochastic processes. We look at a limit in which both the matrix dimension $N$ and the sample size $M$ used to define empirical averages diverge, with their…

The spectral density function describes the second-order properties of a stationary stochastic process on $\mathbb{R}^d$. This paper considers the nonparametric estimation of the spectral density of a continuous-time stochastic process…

This paper revisits the definition of linear time-invariant (LTI) stochastic process within a behavioral systems framework. Building on [Willems, 2013], we derive a canonical representation of an LTI stochastic process and a physically…

This paper considers discretization of the L\'evy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resulting approximation are established under some regularity…

The dynamic and kinetic behavior of processes occurring in fractals with spatial discrete scale invariance (DSI) is considered. Spatial DSI implies the existence of a fundamental scaling ratio (b_1). We address time-dependent physical…

Let $\mathbf{X}=(\mathbf{X}_t)_{t \geq 0}$ be a stochastic process issued from $x \in \mathbb R$ that admits a marginal stationary measure $\nu$, i.e. $\nu \mathbf{P}_t f = \nu f$ for all $t \geq 0$, where $\mathbf{P}_t f(x)=…

In the last years, many authors studied a class of continuous time semi-Markov processes obtained by time-changing Markov processes by hitting times of independent subordinators. Such processes are governed by integro-differential…

We show that any $\mathbb{R}^d\setminus\{0\}$-valued self-similar Markov process $X$, with index $\alpha>0$ can be represented as a path transformation of some Markov additive process (MAP) $(\theta,\xi)$ in $S_{d-1}\times\mathbb{R}$. This…

In this paper we present the concept of description of random processes in complex systems with the discrete time. It involves the description of kinetics of discrete processes by means of the chain of finite-difference non-Markov equations…

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…

Time-dependent density-functional theory (TDDFT) is a computationally efficient first-principles approach for calculating optical spectra in insulators and semiconductors, including excitonic effects. We show how exciton wave functions can…