Related papers: Markov processes with free Meixner laws

The probabilistic symbol is defined as the right-hand side derivative at time zero of the characteristic functions corresponding to the one-dimensional marginals of a time-homogeneous stochastic process. As described in various…

In this study, we analytically formulated the path integral representation of the conditional probabilities for non-Markovian kinetic processes in terms of the free energy of the thermodynamic system. We carry out analytically the…

We propose Markov two-components processes (M2CP) as a probabilistic model of asynchronous systems based on the trace semantics for concurrency. Considering an asynchronous system distributed over two sites, we introduce concepts and tools…

In order to give quantitative estimates for approximating the ergodic limit, we investigate probabilistic limit behaviors of time-averaging estimators of numerical discretizations for a class of time-homogeneous Markov processes, by…

In most sampling algorithms, including Hamiltonian Monte Carlo, transition rates between states correspond to the probability of making a transition in a single time step, and are constrained to be less than or equal to 1. We derive a…

Let $T$ be an underlying space with a non-atomic measure $\sigma$ on it (e.g. $T=\mathbb R^d$ and $\sigma$ is the Lebesgue measure). We introduce and study a class of non-commutative generalized stochastic processes, indexed by points of…

In this paper we study coupled fully non-local equations, where a linear non-local operator jointly acts on the time and space variables. We establish existence and uniqueness of the solution. A maximum principle is proved and used to…

Semi-Markov processes are Markovian processes in which the firing time of the transitions is modelled by probabilistic distributions over positive reals interpreted as the probability of firing a transition at a certain moment in time. In…

We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…

In this paper, we consider a continuous-time Markov process and prove a local limit theorem for the integral of a time-inhomogeneous function of the process. One application is in the study of the fast-oscillating perturbations of linear…

In the paper we consider some piecewise deterministic Markov process whose continuous component evolves according to semiflows, which are switched at the jump times of a Poisson process. The associated Markov chain describes the states of…

Continuity equations associated to continuous-time Markov processes can be considered as Euclidean Schr\"odinger equations, where the non-hermitian quantum Hamiltonian $\bold{H}={\bold{div}}{\bold J}$ is naturally factorized into the…

We define the concept of an `open' Markov process, a continuous-time Markov chain equipped with specified boundary states through which probability can flow in and out of the system. External couplings which fix the probabilities of…

Let $R$ be a continuous-time Markov process on the time interval $[0,1]$ with values in some state space $X$. We transform this reference process $R$ into $P:=f(X_0)\exp (-\int_0^1 V_t(X_t) dt) g(X_1)\,R$ where $f,g$ are nonnegative…

Stochastic processes on topological vector spaces over non-Archimedean fields and with transition measures having values in non-Archimedean fields are defined and investigated. For this the non-Archimedean analog of the Kolmogorov theorem…

The fractional non-homogeneous Poisson process was introduced by a time-change of the non-homogeneous Poisson process with the inverse $\alpha$-stable subordinator. We propose a similar definition for the (non-homogeneous) fractional…

Hawkes processes are a class of point processes that have the ability to model the self- and mutual-exciting phenomena. Although the classic Hawkes processes cover a wide range of applications, their expressive ability is limited due to…

The paper considers a Cox process where the stochastic intensity function for the Poisson data model is itself a non-homogeneous Poisson process. We show that it is possible to obtain the marginal data process, namely a non-homogeneous…

We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…

We give a necessary and sufficient condition for a homogeneous Markov process taking values in $\R^n$ to enjoy the time-inversion property of degree $\alpha$. The condition sets the shape for the semigroup densities of the process and…