Related papers: Phase transition in a log-normal Markov functional…

We investigate absorption, i.e., almost sure convergence to an absorbing state, in time-varying (non-homogeneous) discrete-time Markov chains with finite state space. We consider systems that can switch among a finite set of transition…

Dynamic logit models are popular tools in economics to measure state dependence. This paper introduces a new method to derive moment restrictions in a large class of such models with strictly exogenous regressors and fixed effects. We…

Let $Y$ be an Ornstein-Uhlenbeck diffusion governed by an ergodic finite state Markov process $X$: $dY_t=-\lambda(X_t)Y_tdt+\sigma(X_t)dB_t$, $Y_0$ given. Under ergodicity condition, we get quantitative estimates for the long time behavior…

We study a system of simple random walks on graphs, known as frog model. This model can be described as follows: There are active and sleeping particles living on some graph G. Each active particle performs a simple random walk with…

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)…

We consider the mutual distribution of two linearly independent solutions y_1(x) and y_2(x) of the 1D Schroedinger equation with a random potential. Since individual distributions of $y_1$ and $y_2$ are log-normal, it is naturally to…

A system of particles is studied in which the stochastic processes are one-particle type-change (or one-particle diffusion) and multi-particle annihilation. It is shown that, if the annihilation rate tends to zero but the initial values of…

We report on a fundamental role of a non-normalized formal steady state, i.e., an infinite invariant density, in a semi-Markov process where the state is determined by the inter-event time of successive renewals. The state describes certain…

In the dynamics of the undamped Frenkel-Kontorova model with kinetic terms, we find a transition between two regimes, a floating incommensurate and a pinned incommensurate phase. This behavior is compared to the static version of the model.…

Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this…

Random walk models with log-normal outcomes fit local market observations remarkably well. Yet interconnected or recursive structures - layered derivatives, leveraged positions, iterative funding rounds - periodically produce power-law…

This paper presents a focused review of Markov random fields (MRFs)--commonly used probabilistic representations of spatial dependence in discrete spatial domains--for categorical data, with an emphasis on models for binary-valued…

Showing that the location of the zeros of the partition function can be used to study phase transitions, Yang and Lee initiated an ambitious and very fruitful approach. We give an overview of the results obtained using this approach. After…

We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…

In previous publications, we showed that the incremental process of the chaotic diffusion of dissipative solitons in a prototypical complex Ginzburg-Landau equation, known, e.g., from nonlinear optics, is governed by a simple Markov process…

In this paper, we study small noise asymptotics of Markov-modulated diffusion processes in the regime that the modulating Markov chain is rapidly switching. We prove the joint sample-path large deviations principle for the Markov-modulated…

In two phase materials, each phase having a non-local response in time, it has been found that for some driving fields the response somehow untangles at specific times, and allows one to directly infer useful information about the geometry…

Nonequilibrium behavior and dynamic phase transition properties of a kinetic Ising model under the influence of periodically oscillating random-fields have been analyzed within the framework of effective field theory (EFT) based on a…

There are some positively divisible non-Markovian processes whose transition matrices satisfy the Chapman-Kolmogorov equation. These processes should also satisfy the Kolmogorov consistency conditions, an essential requirement for a process…

For a network of discrete states with a periodically driven Markovian dynamics, we develop an inference scheme for an external observer who has access to some transitions. Based on waiting-time distributions between these transitions, the…