Related papers: Duality theory for Markov processes: Part 1

The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes which is, for continuous semimartingales, related to symmetry properties of both their ordinary as well as…

We study self-duality for interacting particle systems, where the particles move as continuous time random walkers having either exclusion interaction or inclusion interaction. We show that orthogonal self-dualities arise from unitary…

In 2019, P. Higgins formulated [1] a question about bipartite graphs (see Conjecture 1 below); this question arises in the study of regular finite semigroups. F. V. Petrov formulated [2] another combinatorial conjecture (Conjecture 3);…

A possibly time-dependent transition intensity matrix or generator $(Q(t))$ characterizes the law of a Markov jump process (MP). For a time homogeneous MP, the transition probability matrix (TPM) can be expressed as a matrix exponential of…

We consider a collection of fully coupled weakly interacting diffusion processes moving in a two-scale environment. We study the moderate deviations principle of the empirical distribution of the particles' positions in the combined limit…

In this article we extend the coupling method from classical probability theory to quantum Markov chains on atomic von Neumann algebras. In particular, we establish a coupling inequality, which allow us to estimate convergence rates by…

Let $M$ be a T-motive. We introduce the notion of duality for $M$. Main results of the paper (we consider uniformizable $M$ over $F_q[T]$ of rank $r$, dimension $n$, whose nilpotent operator $N$ is 0): 1. Algebraic duality implies analytic…

The modeling of natural phenomena via a Markov process --- a process for which the future is independent of the past, given the present--- is ubiquitous in many fields of science. Within this context, it is of foremost importance to develop…

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…

Our aim is to unify and extend the large deviation upper and lower bounds for the occupation times of a Markov process with $L_2$ semigroups under minimal conditions on the state space and the process trajectories; for example, no strong…

We propose a "decomposition method" to prove non-asymptotic bound for the convergence of empirical measures in various dual norms. The main point is to show that if one measures convergence in duality with sufficiently regular observables,…

This paper is concerned with the development and use of duality theory for a hidden Markov model (HMM) with white noise observations. The main contribution of this work is to introduce a backward stochastic differential equation (BSDE) as a…

In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predictable. To this end we develop a general theory of finite…

An extension of the conditional expectations (those under a given subalgebra of events and not the simple ones under a single event) from the classical to the quantum case is presented. In the classical case, the conditional expectations…

In this paper we develop the theory of {\it polymorphisms} of measure spaces, which is a generalization of the theory of measure-preserving transformations; we describe the main notions and discuss relations to the theory of Markov…

We prove a conjecture of Diaconis and Freedman (Ann. Probab. 1980) characterising the extreme points of the set of partially-exchangeable processes on a countable set. More concretely, we prove that the partially exchangeable sigma-algebra…

This paper is aimed to prove the strong duality theorem for continuous-time linear programming problems in which the coefficients are assumed to be piecewise continuous functions. The previous paper proved the strong duality theorem for the…

In this short note we consider semi-Markov processes satisfying the condition of direction-time independence (Markov renewal processes). We derive large deviation principles and fluctuation theorems for the empirical current and the…

We establish the Subgradient Theorem for monotone correspondences -- a monotone correspondence is equal to the subdifferential of a potential if and only if it is conservative, i.e. its integral along a closed path vanishes irrespective of…

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…