Related papers: On Backward Product of Stochastic Matrices
Questions are posed regarding the influence that the column sums of the transition probabilities of a stochastic matrix (with row sums all one) have on the stationary distribution, the mean first passage times and the Kemeny constant of the…
We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors. We fix two inputs representing the instantaneous covariance for the asset price process $X$, which depends on an additional…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
We study properties of the Laplace transforms of non-negative additive functionals of Markov chains. We are namely interested in a multiplicative ergodicity property used in [18] to study bifurcating processes with ancestral dependence. We…
In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…
We consider general linear non-degenerate weakly-coupled cooperative elliptic systems and study certain monotonicity properties of the generalized principal eigenvalue in $\mathbb{R}^d$ with respect to the potential. It is shown that…
Non-spherical particles transported by an anisotropic turbulent flow preferentially align with the mean shear and intermittently tumble when the local strain fluctuates. Such an intricate behaviour is here studied for inertialess,…
We investigate how the following properties are related to each other: i)-A manifold is "transversally" exponentially stable; ii)-The "transverse" linearization along any solution in the manifold is exponentially stable; iii)-There exists a…
It is well known that the product of two independent regularly varying random variables with the same tail index is again regularly varying with this index. In this paper, we provide sharp sufficient conditions for the regular variation…
We derive, for a bistochastic strictly contractive quantum channel on a matrix algebra, a relation between the contraction rate and the rate of entropy production. We also sketch some applications of our result to the statistical physics of…
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…
Ergodicity is a fundamental issue for a stochastic process. In this paper, we refine results on ergodicity for a general type of Markov chain to a specific type or the $GI/G/1$-type Markov chain, which has many interesting and important…
The paper provides a systematic characterization of quantum ergodic and mixing channels in finite dimensions and a discussion of their structural properties. In particular, we discuss ergodicity in the general case where the fixed point of…
We consider a general multivariate affine stochastic recursion and the associated Markov chain on $\mathbb R^{d}$. We assume a natural geometric condition which implies existence of an unbounded stationary solution and we show that the…
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…
The interplay of inertia and elasticity is shown to have a significant impact on the transport of filamentary objects, modelled by bead-spring chains, in a two-dimensional turbulent flow. We show how elastic interactions amongst inertial…
This paper is addressed to studying the exact controllability for stochastic transport equations by two controls: one is a boundary control imposed on the drift term and the other is an internal control imposed on the diffusion term. By…
Ergodic theory provides a rigorous mathematical description of chaos in classical dynamical systems, including a formal definition of the ergodic hierarchy. How ergodic dynamics is reflected in the energy levels and eigenstates of a quantum…
Markov matrices have an important role in the filed of stochastic processes. In this paper, we will show and prove a series of conclusions on Markov matrices and transformations rather than pay attention to stochastic processes although…
A piecewise-deterministic Markov process, specified by random jumps and switching semi-flows, as well as the associated Markov chain given by its post-jump locations, are investigated in this paper. The existence of an exponentially…