Related papers: Markov processes with free Meixner laws

This paper deals with ergodic theorems for particular time-inhomogeneous Markov processes, whose the time-inhomogeneity is asymptotically periodic. Under a Lyapunov/minorization condition, it is shown that, for any measurable bounded…

Beyond the conventional quantum regression theorem, a general formula for non-Markovian correlation functions of arbitrary system operators both in the time- and frequency-domain is given. We approach the problem by transforming the…

We consider a class of piecewise-deterministic Markov processes where the state evolves according to a linear dynamical system. This continuous time evolution is interspersed by discrete events that occur at random times and change (reset)…

Virtually all questions that one can ask about the behavioral and structural complexity of a stochastic process reduce to a linear algebraic framing of a time evolution governed by an appropriate hidden-Markov process generator. Each type…

We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are created from affine processes by allowing some of their coefficients to be a function of an exogenous Markov process. MMAPs allow for…

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…

In this paper, we study the existence and uniqueness of solutions for general fractional-time parabolic equations of mixture type, and their probabilistic representations in terms of the corresponding inverse subordinators with or without…

We seek to infer the parameters of an ergodic Markov process from samples taken independently from the steady state. Our focus is on non-equilibrium processes, where the steady state is not described by the Boltzmann measure, but is…

We introduce and study renewal processes defined by means of extensions of the standard relaxation equation through ``stretched" non-local operators (of order $\alpha$ and with parameter $\gamma$). In a first case we obtain a generalization…

We present a short introduction into the framework of piecewise deterministic Markov processes. We illustrate the abstract mathematical setting with a series of examples related to dispersal of biological systems, cell cycle models, gene…

In this paper, we establish a version of the central limit theorem for Markov-Feller continuous time processes (with a Polish state space) that are exponentially ergodic in the bounded-Lipschitz distance and enjoy a continuous form of the…

Nonlinear time series models with exogenous regressors are essential in econometrics, queuing theory, and machine learning, though their statistical analysis remains incomplete. Key results, such as the law of large numbers and the…

We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates in discrete time. The model is shown to have two distinct limiting states, corresponding to small and asymptotically…

We study Markov processes conditioned so that their local time must grow slower than a prescribed function. Building upon recent work on Brownian motion with constrained local time in [5] and [33], we study transience and recurrence for a…

We present a method to sample Markov-chain trajectories constrained to both the initial and final conditions, which we term Markov bridges. The trajectories are conditioned to end in a specific state at a given time. We derive the master…

Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate…

The paper studies a class of critical Markov branching processes with infinite variance of the offspring distribution. The processes admit also an immigration component at the jump-points of a non-homogeneous Poisson process, assuming that…

We propose an analytic approach for the steady-state dynamics of Markov processes on locally tree-like graphs. It is based on time-translation invariant probability distributions for edge trajectories, which we encode in terms of infinite…

Graphical models express conditional independence relationships among variables. Although methods for vector-valued data are well established, functional data graphical models remain underdeveloped. We introduce a notion of conditional…

We study the decomposition of free random variables in terms of their orthogonal replicas from a new perspective. First, we show that the mixed moments of orthogonal replicas with respect to the normalized linear functional $\Phi$ are…