Related papers: Stochastic monotonicity and duality for one-dimens…
We provide a systematic study of the notion of duality of Markov processes with respect to a function. We discuss the relation of this notion with duality with respect to a measure as studied in Markov process theory and potential theory…
The paper is devoted to a systematic study of the duality of processes in the sense that $E f(X_t^x,y)=E f (x, Y_t^y)$ for a certain $f$. This classical topic has well known applications in interacting particles, intertwining,…
We show that any stochastically monotone Feller semigroup on R can be extended by a consistent family of order-preserving Feller semigroups on the successive powers of R. We exhibit a specific such family, which is uniquely characterized by…
We formalize and analyze the notions of stochastic monotonicity and realizable mono-tonicity for Markov Chains in continuous-time, taking values in a finite partially ordered set. Similarly to what happens in discrete-time, the two notions…
We start from the observation that, anytime two Markov generators share an eigenvalue, the function constructed from the product of the two eigenfunctions associated to this common eigenvalue is a duality function. We push further this…
We consider a stochastic delay differential equation driven by a general Levy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment process is…
We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…
We analyze the notions of monotonicity and complete monotonicity for Markov Chains in continuous-time, taking values in a finite partially ordered set. Similarly to what happens in discrete-time, the two notions are not equivalent. However,…
This article develops a general framework for Laplace duality between positive Markov processes in which the one-dimensional Laplace transform of one process can be represented through that of another. We show that a process admits a…
A new sufficient condition is proved for the existence of stochastic semigroups generated by the sum of two unbounded operators. It is applied to one-dimensional piecewise deterministic Markov processes, where we also discuss the existence…
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…
Strong Feller property and irreducibility are study for a class of non-linear monotone stochastic partial differential equations with multiplicative noise. H\"older continuity of the associated Markov semigroups are discussed in some…
We characterise the convergence of a certain class of discrete time Markov processes toward locally Feller processes in terms of convergence of associated operators. The theory of locally Feller processes is applied to L\'evy-type processes…
We consider a stochastic electroconvection model describing the nonlinear evolution of a surface charge density in a two-dimensional fluid with additive stochastic forcing. We prove the existence and uniqueness of solutions and we show that…
This paper studies transition probabilities from a Borel subset of a Polish space to a product of two Borel subsets of Polish spaces. For such transition probabilities it introduces and studies the property of semi-uniform Feller…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…
Necessary and sufficient conditions are given for a substochastic semigroup on $L^1$ obtained through the Kato--Voigt perturbation theorem to be either stochastic or strongly stable. We show how such semigroups are related to piecewise…
This work develops a duality theory for partially observed linear Gaussian models in discrete time. The state process evolves according to a causal but non-Markovian (or higher-order Gauss-Markov) structure, captured by a lower-triangular…
For an increasing sequence $(T_n)$ of one-parameter semigroups of sub Markovian kernel operators over a Polish space, we study the limit semigroup and prove sufficient conditions for it to be strongly Feller. In particular, we show that the…
We consider a stochastic electroconvection model describing the nonlinear evolution of a surface charge density in a two-dimensional fluid with additive stochastic forcing. We prove the existence and uniqueness of solutions, we define the…