Related papers: On Backward Product of Stochastic Matrices

We study the limit behaviour of a generally non-linear ordinary differential equation whose solution is a superadditive generalisation of a stochastic matrix, and provide necessary and sufficient conditions for this solution to be ergodic,…

In this article we provide a proof of the so called absolute continuity theorem for random dynamical systems on $R^d$ which have an invariant probability measure. First we present the construction of local stable manifolds in this case.…

We prove that many, but not all injective factors arise as crossed products by nonsingular Bernoulli actions of the group $\mathbb{Z}$. We obtain this result by proving a completely general result on the ergodicity, type and Krieger's…

Since seminal work of Bowen, it has been known that the specification property implies various useful properties about a topological dynamical system, among them uniqueness of the measure of maximal entropy (often referred to as intrinsic…

Normalising flows offer a flexible way of modelling continuous probability distributions. We consider expressiveness, fast inversion and exact Jacobian determinant as three desirable properties a normalising flow should possess. However,…

Irreversible drift-diffusion processes are very common in biochemical reactions. They have a non-equilibrium stationary state (invariant measure) which does not satisfy detailed balance. For the corresponding Fokker-Planck equation on a…

A probabilistic approach of computing geometric rate of convergence of stochastic processes is introduced in this paper. The goal is to quantitatively compute both upper and lower bounds of the exponential rate of convergence to the…

Let $(X_t)_{t = 0 }^{\infty}$ be an irreducible reversible discrete time Markov chain on a finite state space $\Omega $. Denote its transition matrix by $P$. To avoid periodicity issues (and thus ensuring convergence to equilibrium) one…

Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this well-known phenomenon we study robust growth-optimization…

This paper is a survey of various proofs of the so called {\em fundamental theorem of Markov chains}: every ergodic Markov chain has a unique positive stationary distribution and the chain attains this distribution in the limit independent…

We look at spaces of infinite-by-infinite matrices, and consider closed subsets that are stable under simultaneous row and column operations. We prove that up to symmetry, any of these closed subsets is defined by finitely many equations.

We consider a stochastic flow driven by a finite dimensional Brownian motion. We show that almost every realization of such a flow exhibits strong statistical properties such as the exponential convergence of an initial measure to the…

Let $\{A_{i,n}\}$ be a triangular array of elements in a Banach algebra, whose norms do not grow too fast, and whose row averages converge to $A$. Let $\sigma \in S(n)$ be a permutation drawn uniformly at random. If the array only contains…

This paper presents existence and uniqueness results for reflected backward doubly stochastic differential equations (in short RBDDSEs) in a convex domain D. Moreover, using a stochastic flow approach a probabilistic interpretation for a…

We prove the convergence at an exponential rate towards the invariant probability measure for a class of solutions of stochastic differential equations with finite delay. This is done, in this non-Markovian setting, using the cluster…

Consider an ergodic Markov chain on a countable state space for which the return times have exponential tails. We show that the stationary version of any such chain is a finitary factor of an i.i.d. process. A key step is to show that any…

Exponential stochastic compression is the process when every second cell of an infinite chain may increase its weight merging randomly with left, right, or both neighboring cells. The total mass conservation is assumed. After that, merged…

We formulate a criterion for the existence and uniqueness of an invariant measure for a Markov process taking values in a Polish phase space. In addition, weak-$^*$ ergodicity, that is, the weak convergence of the ergodic averages of the…

The rate of entropy production by a stochastic process quantifies how far it is from thermodynamic equilibrium. Equivalently, entropy production captures the degree to which detailed balance and time-reversal symmetry are broken. Despite…

This article establishes the foundation for a new theory of invariant/integral manifolds for non-autonomous dynamical systems. Current rigorous support for dimensional reduction modelling of slow-fast systems is limited by the rare events…