Related papers: Nonlinear L\'evy and nonlinear Feller processes: a…
This chapter presents an introduction to Markovian modeling for the analysis of sequence data. Contrary to the deterministic approach seen in the previous sequence analysis chapters, Markovian models are probabilistic models, focusing on…
A nonlinear response theory is provided by use of the transient linearization method in the spatially one-dimensional Vlasov systems. The theory inclusively gives responses to external fields and to perturbations for initial stationary…
In this paper, we study the asymptotic behavior for multi-scale stochastic differential equations driven by L\'evy processes. The optimal strong convergence order 1/2 is obtained by studying the regularity estimates for the solution of…
In this paper, the weak convergence of impulsive recurrent process with Markov switching in the scheme of Levy approximation is proved. For the relative compactness, a method proposed by R. Liptser for semimartingales is used with a…
We associate a coupled nonlinear Fokker-Planck equation on $\R^d$, i.e. with solution paths in $\scr P$, to a linear Fokker-Planck equation for probability measures on the product space $\R^d\times \scr P$, i.e. with solution paths in $\scr…
In this note, we present few examples of Piecewise Deterministic Markov Processes and their long time behavior. They share two important features: they are related to concrete models (in biology, networks, chemistry,. . .) and they are…
This paper introduces Switching Processes, called SP. Their constructions are inspired by the PDMP's ones (PDMP stands for Piecewise Deterministic Markov Process). A Markov process, called the intrinsic process, replaces the PDMP's flow.…
The aim of this note is to give a straightforward proof of a general version of the Ciesielski-Taylor identity for positive self-similar Markov processes of the spectrally negative type which umbrellas all previously known Ciesielski-Taylor…
In this paper, we derive comparison results for terminal values of $d$-dimensional special semimartingales and also for finite-dimensional distributions of multivariate L\'{e}vy processes. The comparison is with respect to nondecreasing,…
The construction of a generalized (higher-order) nonlinear thermo-hydrodynamics, based on a nonequilibrium ensemble formalism has been presented in the preceding article. The working of such theory is illustrated in the present one. We…
An analysis of discrete systems is important for understanding of various physical processes, such as excitations in crystal lattices and molecular chains, the light propagation in waveguide arrays, and the dynamics of Bose-condensate…
Motivated by a recent paper of Budd, where a new family of positive self-similar Markov processes associated to stable processes appears, we introduce a new family of L\'evy processes, called the double hypergeometric class, whose…
Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available, especially for…
We derive a general scheme to construct infinitely many probabilistic counterparts for solutions to nonlinear PDEs by recasting the latter as different nonlinear Fokker--Planck equations and by constructing, for each of these equations, a…
The ``Painlev\'e analysis'' is quite often perceived as a collection of tricks reserved to experts. The aim of this course is to demonstrate the contrary and to unveil the simplicity and the beauty of a subject which is in fact the theory…
This article deals with adaptive nonparametric estimation for L\'evy processes observed at low frequency. For general linear functionals of the L\'evy measure, we construct kernel estimators, provide upper risk bounds and derive rates of…
What is the analogue of L\'evy processes for random surfaces? Motivated by scaling limits of random planar maps in random geometry, we introduce and study L\'evy looptrees and L\'evy maps. They are defined using excursions of general L\'evy…
The accurate determination of transport coefficients in numerical simulations is becoming increasingly important in a wide range of applications. Here we consider the linear response in systems driven away from thermal equilibrium into a…
We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of…
The article contains an overview over locally stationary processes. At the beginning time varying autoregressive processes are discussed in detail - both as as a deep example and an important class of locally stationary processes. In the…