Related papers: On Time Reversal of Piecewise Deterministic Markov…

Markov jump processes are continuous-time stochastic processes with a wide range of applications in both natural and social sciences. Despite their widespread use, inference in these models is highly non-trivial and typically proceeds via…

First-passage properties are central to the kinetics of target-search processes. Theoretical approaches so far primarily focused on predicting first-passage statistics for a given process or model. In practice, however, one faces the…

We give an elementary construction of a time-invertible Markov process which is discrete except at one instance. The process is one of the quadratic harnesses studied in our previous papers and can be regarded as a random joint of two…

Designing efficient and rigorous numerical methods for sequential decision-making under uncertainty is a difficult problem that arises in many applications frameworks. In this paper we focus on the numerical solution of a subclass of…

For a periodically shaken optical lattice, effective time-reversal is investigated numerically. For interacting ultra-cold atoms, the scheme of [J. Phys. B 45, 021002 (2012)] involves a quasi-instantaneous change of both the…

Permutation entropy measures the complexity of deterministic time series via a data symbolic quantization consisting of rank vectors called ordinal patterns or just permutations. The reasons for the increasing popularity of this entropy in…

The velocity-jump model is a specific type of piecewise deterministic Markov process in which an individual's velocity is constant except at times that form the events of some point process. It represents an interpretable continuous-time…

We consider the inverse problem of reconstructing the posterior measure over the trajec- tories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive…

Using the Feynman-Kac and Cameron-Martin-Girsanov formulas, we obtain a generalized integral fluctuation theorem (GIFT) for discrete jump processes by constructing a time-invariable inner product. The existing discrete IFTs can be derived…

The quantum strategy (or quantum combs) framework is a useful tool for reasoning about interactions among entities that process and exchange quantum information over the course of multiple turns. We prove a time-reversal property for a…

Time-reversal (TR) symmetry is crucial for understanding a wide range of physical phenomena, and plays a key role in constraining fundamental particle interactions and in classifying phases of quantum matter. In this work, we introduce an…

Time-reversibility measured by the deviation of the perturbed time-reversed motion from the unperturbed one is examined for normal quantum diffusion exhibited by four classes of quantum maps with contrastive physical nature. Irrespective of…

We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensional Markov processes. We prove the convergence of the method…

In this article, we study the time-reversal properties of a generic Markovian stochastic field dynamics with Gaussian noise. We introduce a convenient functional geometric formalism that allows us to straightforwardly generalize known…

We present a numerical method to compute expectations of functionals of a piecewise-deterministic Markov process. We discuss time dependent functionals as well as deterministic time horizon problems. Our approach is based on the…

Time-reversal symmetry is a prevalent feature of microscopic physics, including operational quantum theory and classical general relativity. Previous works have studied indefinite causal structure using the language of operational quantum…

In this paper, we study the existence and uniqueness of solutions for general fractional-time parabolic equations of mixture type, and their probabilistic representations in terms of the corresponding inverse subordinators with or without…

It is well-known that the 4-rotation in the 4-dimensional space-time is equivalent to the CPT-transformation (C is the charge conjugation, P is the space inversion and T is the time-reversal). The standard definition of the T-reversal…

We consider the pricing of derivatives written on accumulated marks, such as weather derivatives or aggregate loss claims, using a self-exciting marked point process. The jump intensity mean-reverts between events and increases at jump…

The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two…