Related papers: Absolutely Continuous Compensators
We explore the concept of a consistent exchangeable survival process - a joint distribution of survival times in which the risk set evolves as a continuous-time Markov process with homogeneous transition rates. We show a correspondence with…
Let $\{X_n\}_{n=0}^{\infty}$ be a stationary real-valued time series with unknown distribution. Our goal is to estimate the conditional expectation of $X_{n+1}$ based on the observations $X_i$, $0\le i\le n$ in a strongly consistent way.…
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…
Invariance times are stopping times $\tau$ such that local martingales with respect to some reduced filtration and an equivalently changed probability measure, stopped before $\tau$ , are local martingales with respect to the original model…
We exploit once again the analogy between the energy-momentum tensor and the so-called ``superenergy'' tensors in order to build conserved currents in the presence of Killing vectors. First of all, we derive the divergence-free property of…
This paper shows how the theory of dynamic risk measures provides viscosity solutions to a family of second-order parabolic partial differential equations, even in the degenerate case. First, motivated by the martingale problem approach of…
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…
The notion of a successful coupling of Markov processes, based on the idea that both components of the coupled system ``intersect'' in finite time with probability one, is extended to cover situations when the coupling is unnecessarily…
We investigate the Markov property and the continuity with respect to the initial conditions (strong Feller property) for the solutions to the Navier-Stokes equations forced by an additive noise. First, we prove, by means of an abstract…
We prove that every weak solution to a certain class of infinitely degenerate quasilinear equations is continuous. An essential feature of the operators we consider is that their Fefferman-Phong associated metric may be non doubling with…
We show that for any $\gamma < \frac{1}{3}$ there exist H\"{o}lder continuous weak solutions $v \in C^{\gamma}([0,T] \times \mathbb{T}^2)$ of the two-dimensional incompressible Euler equations that strictly dissipate the total kinetic…
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…
Fractional Poisson processes, a rapidly growing area of non-Markovian stochastic processes, are useful in statistics to describe data from counting processes when waiting times are not exponentially distributed. We show that the fractional…
We show the variational convergence of an irreversible Markov jump process describing a finite stochastic particle system to the solution of a countable infinite system of deterministic time-inhomogeneous quadratic differential equations…
We consider an infinite horizon optimal control problem for a continuous-time Markov chain $X$ in a finite set $I$ with noise-free partial observation. The observation process is defined as $Y_t = h(X_t)$, $t \geq 0$, where $h$ is a given…
We consider a general set $\mathcal{X}$ of adapted nonnegative stochastic processes in infinite continuous time. $\mathcal{X}$ is assumed to satisfy mild convexity conditions, but in contrast to earlier papers need not contain a strictly…
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…
In this work we investigate and characterize linear functionals $L:\mathbb{R}[x_1,\dots,x_n]\to\mathbb{R}$ with absolutely continuous representing measures $\mu$, i.e., $\mathrm{d}\mu(x) = g(x)\,\mathrm{d} x$ for some density $g$. We focus…
In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of…
Backward stochastic differential equations extend the martingale representation theorem to the nonlinear setting. This can be seen as path-dependent counterpart of the extension from the heat equation to fully nonlinear parabolic equations…