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For extreme value copulas with a known upper tail dependence coefficient we find pointwise upper and lower bounds, which are used to establish upper and lower bounds of the Spearman and Kendall correlation coefficients. We shown that in all…
Extensions of Kemeny's constant, as derived for irreducible finite Markov chains in discrete time, to Markov renewal processes and Markov chains in continuous time are discussed. Three alternative Kemeny's functions and their variants are…
We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, differentiability concepts for multivalued mappings, and a…
In this paper, we study the problem of estimating the autocovariance sequence resulting from a reversible Markov chain. A motivating application for studying this problem is the estimation of the asymptotic variance in central limit…
We show that Markov couplings can be used to improve the accuracy of Markov chain Monte Carlo calculations in some situations where the steady-state probability distribution is not explicitly known. The technique generalizes the notion of…
We consider Markov processes, which describe e.g. queueing network processes, in a random environment which influences the network by determining random breakdown of nodes, and the necessity of repair thereafter. Starting from an explicit…
Quantum coherence and non-Markovianity of an atom in dissipative cavity under weak measurement are investigated in this work. We find that, the quantum coherence obviously depends on the atomic initial state, the strength of the weak…
The concept of weak invariant is introduced. Then, the weak invariants associated with time-dependent quantum dissipative systems are discussed in the context of master equations of the Lindblad type. In particular, with the help of the…
We define fully coupled forward-backward stochastic differential equations on spaces related to continuous time, finite state Markov Chains. Existence and uniqueness results of the fully coupled forward-backward stochastic differential…
Recently it was suggested that certain perturbations of integrable spin chains lead to a weak breaking of integrability in the sense that integrability is preserved at the first order in the coupling. Here we examine this claim using level…
Despite its prevalence, probabilistic bisimilarity suffers from a lack of robustness under minuscule perturbations of the transition probabilities. This can lead to discontinuities in the probabilistic bisimilarity distance function,…
We study the percolation in coupled networks with both inner-dependency and inter-dependency links, where the inner- and inter-dependency links represent the dependencies between nodes in the same or different networks, respectively. We…
We establish a simple variance inequality for U-statistics whose underlying sequence of random variables is an ergodic Markov Chain. The constants in this inequality are explicit and depend on computable bounds on the mixing rate of the…
Markov Chains with variable length are useful stochastic models for data compression that avoid the curse of dimensionality faced by that full Markov Chains. In this paper we introduce a Variable Length Markov Chain whose transition…
We investigate the application of Weak Poincar\'e Inequalities (WPI) to Markov chains to study their rates of convergence and to derive complexity bounds. At a theoretical level we investigate the necessity of the existence of WPIs to…
We studied metastability and extinction time of a finite system with a large number of interacting components in discrete time by means of analytical and numerical investigation. The system is markovian with respect to the potential profile…
We consider continuous-time Markov chain on a finite state space X. We assume X can be clustered into several subsets such that the intra-transition rates within these subsets are of order $\mathcal{O}(\frac{1}{\epsilon})$ comparing to the…
We characterize absolutely continuous symmetric copulas with square integrable densities in this paper. This characterization is used to create new copula families, that are perturbations of the independence copula. The full study of mixing…
We examine a completely positive and trace preserving evolution of finite dimensional open quantum system, coupled to large environment via periodically modulated interaction Hamiltonian. We derive a corresponding Markovian Master Equation…
The effect of perturbations of parameters for uniquely convergent imprecise Markov chains is studied. We provide the maximal distance between the distributions of original and perturbed chain and maximal degree of imprecision, given the…