Related papers: Stochastic ranking process with time dependent int…
We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…
We consider a fractional counting process with jumps of amplitude $1,2,\ldots,k$, with $k\in \mathbb{N}$, whose probabilities satisfy a suitable system of fractional difference-differential equations. We obtain the moment generating…
The objective of this paper is to study the filtering problem for a system of partially observable processes $(X, Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provides…
We investigate a piecewise-deterministic Markov process, evolving on a Polish metric space, whose deterministic behaviour between random jumps is governed by some semi-flow, and any state right after the jump is attained by a randomly…
We consider an infinite horizon optimal control problem for a pure jump Markov process $X$, taking values in a complete and separable metric space $I$, with noise-free partial observation. The observation process is defined as $Y_t =…
We investigate the Poisson regression method for Markov and semi-Markov jump processes from a nonparametric angle, allowing the lengths of the time and duration intervals in the partition to vary with the number of observations. Imposing no…
Construct a random set by independently selecting each finite subset of the integers with some probability depending on the set up to translations and taking the union of the selected sets. We show that when the only sets selected with…
We consider importance sampling as well as other properly weighted samples with respect to a target distribution $\pi$ from a different point of view. By considering the associated weights as sojourn times until the next jump, we define…
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…
In this paper, we aim to study a stochastic process from a macro point of view, and thus periodic solution of a stochastic process in distributional sense is introduced. We first give the definition and then establish the existence of…
This paper focuses on the performance and the robustness analysis of stochastic jump linear systems. The state trajectory under stochastic jump process becomes random variables, which brings forth the probability distributions in the system…
A validated simulation model primarily requires performing an appropriate input analysis mainly by determining the behavior of real-world processes using probability distributions. In many practical cases, probability distributions of the…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
Ranking, and inferences based on ranking of a set of entities, are important problems in numerous contexts. This is especially true in small area statistics where there may be only a limited amount of directly observed data from each entity…
We consider a large family of branching-selection particle systems. The branching rate of each particle depends on its rank and is given by a function $b$ defined on the unit interval. There is also a killing measure $D$ supported on the…
We present a review of some recent results on estimation of location parameter for several models of observations with cusp-type singularity at the change point. We suppose that the cusp-type models fit better to the real phenomena…
We consider a piecewise deterministic Markov decision process, where the expected exponential utility of total (nonnegative) cost is to be minimized. The cost rate, transition rate and post-jump distributions are under control. The state…
Representations of branching Markov processes and their measure-valued limits in terms of countable systems of particles are constructed for models with spatially varying birth and death rates. Each particle has a location and a "level,"…
An analytical study of the return time distribution of extreme events for stochastic processes with power-law correlation has been carried on. The calculation is based on an epsilon-expansion in the correlation exponent:…
We are concerned with scaling limits of the solutions to stochastic differential equations with stationary coefficients driven by Poisson random measures and Brownian motions. We state an annealed convergence theorem, in which the limit…