Related papers: On Time Reversal of Piecewise Deterministic Markov…
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…
The main goal of this paper is to derive sufficient conditions for the existence of an optimal control strategy for the long run average continuous control problem of piecewise deterministic Markov processes (PDMP's) taking values in a…
Piecewise Deterministic Markov Processes (PDMPs) such as the Bouncy Particle Sampler and the Zig-Zag Sampler, have gained attention as continuous-time counterparts of classical Markov chain Monte Carlo. We study their transient regime under…
Time irreversibility, defined as the lack of invariance of the statistical properties of a system or time series under the operation of time reversal, has received an increasing attention during the last decades, thanks to the information…
A possibly time-dependent transition intensity matrix or generator $(Q(t))$ characterizes the law of a Markov jump process (MP). For a time homogeneous MP, the transition probability matrix (TPM) can be expressed as a matrix exponential of…
We introduce a unified operator-theoretic framework for analyzing mixing times of finite-state ergodic Markov chains that applies to both reversible and non-reversible dynamics. The central object in our analysis is the projected transition…
For controlled discrete-time stochastic processes we introduce a new class of dynamic risk measures, which we call process-based. Their main features are that they measure risk of processes that are functions of the history of a base…
We consider a time inhomogeneous jump Markov process $X = (X_t)_t$ with state dependent jump intensity, taking values in $R^d . $ Its infinitesimal generator is given by \begin{multline*} L_t f (x) = \sum_{i=1}^d \frac{\partial f}{\partial…
Thermo- and photo- acoustic tomography require reconstructing initial acoustic pressure in a body from time series of pressure measured on a surface surrounding the body. For the classical case of free space wave propagation, various…
The utilization of time reversal symmetry in designing and implementing (quantum) optical experiments has become more and more frequent over the past years. We review the basic idea underlying time reversal methods, illustrate it with…
In a time-reversal non-invariant system the entropy production, dS/dt, may be negative. Close to the critical point of medium it is positive: larger or smaller as compared with one above critical point depending on whether the transitions…
Biomarker measurements obtained by blood sampling are often used as a non-invasive means of monitoring tumour progression in cancer patients. Diseases evolve dynamically over time, and studying longitudinal observations of specific…
We propose a new approach concerning the introduction of time-irreversibility in statistical mechanics. It is based on a transition function defined in terms of path integral and verifying a time-irreversible equation. We show first how…
In this paper, we investigate a nonparametric approach to provide a recursive estimator of the transition density of a non-stationary piecewise-deterministic Markov process, from only one observation of the path within a long time. In this…
Let $X:=(X_t)_{t\geq 0}$ be an ergodic Markov process on $\real^d$, and $p>0$. We derive upper bounds of the $p$-Wasserstein distance between the invariant measure and the empirical measures of the Markov process $X$. For this we assume,…
Parity-time-reversal symmetry ($\mathcal{PT}$ symmetry), a symmetry for the combined operations of space inversion ($\mathcal{P}$) and time reversal ($\mathcal{T}$), is a fundamental concept of physics and characterizes the functionality of…
In [20], the authors addressed the question of the averaging of a slow-fast Piecewise Deterministic Markov Process (PDMP) in infinite dimension. In the present paper, we carry on and complete this work by the mathematical analysis of the…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
Piecewise Diffusion Markov Processes (PDifMPs) are valuable for modelling systems where continuous dynamics are interrupted by sudden shifts and/or changes in drift and diffusion. The first-passage time (FPT) in such models plays a central…
This paper investigates the random horizon optimal stopping problem for measure-valued piecewise deterministic Markov processes (PDMPs). This is motivated by population dynamics applications, when one wants to monitor some characteristics…