Related papers: Phase transition in a log-normal Markov functional…
In two-dimensional Yang-Mills and generalized Yang-Mills theories for large gauge groups, there is a dominant representation determining the thermodynamic limit of the system. This representation is characterized by a density the value of…
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…
Consider the continuous-time Markov Branching Process. In critical case we consider a situation when the generating function of intensity of transformation of particles has the infinite second moment, but its tail regularly varies in sense…
In this paper we characterize the distribution of the first exit time from an arbitrary open set for a class of semi-Markov processes obtained as time-changed Markov processes. We estimate the asymptotic behaviour of the survival function…
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a…
We describe classical stochastic processes by using dynamical Lee-Yang zeros. The system is in contact with external leads and the time evolution is described by the two-state classical master equation. The cumulant generating function is…
The large time dynamics of a periodically driven Fokker-Planck process possessing several metastable states is investigated. At weak noise transitions between the metastable states are rare. Their dynamics then represent a discrete…
We study a class of Markov chains that describe reversible stochastic dynamics of a large class of disordered mean field models at low temperatures. Our main purpose is to give a precise relation between the metastable time scales in the…
We study an ideal-gas-like model where the particles exchange energy stochastically, through energy conserving scattering processes, which take place if and only if at least one of the two particles has energy below a certain energy…
Recently, a class of stochastic processes known as piecewise deterministic Markov processes has been used to define continuous-time Markov chain Monte Carlo algorithms with a number of attractive properties, including compatibility with…
A relativistic mean-field model of nuclear matter with arbitrary proton fraction is studied at finite temperature. An analysis is performed of the liquid-gas phase transition in a system with two conserved charges (baryon number and…
We study singularities in the large deviation function of the time-averaged current of diffusive systems connected to two reservoirs. A set of conditions for the occurrence of phase transitions, both first and second order, are obtained by…
The hot nucleus $^{162}\mathrm{Dy}$ is investigated using covariant density functional theory, where the shell-model-like approach treats the pairing correlation. Lee-Yang's theorem is applied to classify the pairing phase transition by…
In this paper we explore the functional correlation approach to operational risk. We consider networks with heterogeneous a-priori conditional and unconditional failure probability. In the limit of sparse connectivity, self-consistent…
We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain.…
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The instantaneous volatility mean reverts…
We prove a limit theorem for an integral functional of a Markov process. The Markovian dynamics is characterized by a linear Boltzmann equation modeling a one-dimensional test particle of mass $\lambda^{-1}\gg 1$ in an external periodic…
Determining the phase diagram of interacting quantum many-body systems is an important task for a wide range of problems such as the understanding and design of quantum materials. For classical equilibrium systems, the Lee-Yang formalism…
We use finite--size scaling of Lee--Yang partition function zeroes to study the critical behaviour of the two dimensional step or sgn $O(2)$ model. We present evidence that, like the closely related $XY$--model, this has a phase transition…
We consider Markov jump processes on a graph described by a rate matrix that depends on various control parameters. We derive explicit expressions for the static responses of edge currents and steady-state probabilities. We show that they…