Related papers: On Markov processes with polynomials conditional m…

Using the language of Riordan arrays, we study a one-parameter family of orthogonal polynomials that we call the restricted Chebyshev-Boubaker polynomials. We characterize these polynomials in terms of the three term recurrences that they…

Starting from a Markov chain with a finite alphabet, we consider the chain obtained when all but one symbol are undistinguishable for the practitioner. We study necessary and sufficient conditions for this chain to have continuous…

A Markov Additive Process is a bi-variate Markov process $(\xi,J)=\big((\xi_t,J_t),t\geq0\big)$ which should be thought of as a multi-type L\'evy process: the second component $J$ is a Markov chain on a finite space $\{1,\ldots,K\}$, and…

Exceptional orthogonal Laguerre polynomials can be viewed as an extension of the classical Laguerre polynomials per excluding polynomials of certain order(s) from being eigenfunctions for the corresponding exceptional differential operator.…

We study two types of crank moments and two types of rank moments for overpartitions. We show that the crank moments and their derivatives, along with certain linear combinations of the rank moments and their derivatives, can be written in…

This paper extends characterizations of Sobolev spaces by Bourgain, Br\'{e}zis, and Mironescu to the higher order case. As a byproduct, we obtain an integral condition for the Taylor remainder term, which implies that the function is a…

Scattering moments provide nonparametric models of random processes with stationary increments. They are expected values of random variables computed with a nonexpansive operator, obtained by iteratively applying wavelet transforms and…

In this article, we explore a class of tractable interest rate models that have the property that the price of a zero-coupon bond can be expressed as a polynomial of a state diffusion process. Our results include a classification of all…

In this paper, we study one dimensional Markov processes with spatial delay. Since the seminal work of Feller, we know that virtually any one dimensional, strong, homogeneous, continuous Markov process can be uniquely characterized via its…

This paper provides full classification of dynamics for continuous time Markov chains (CTMCs) on the non-negative integers with polynomial transition rate functions. Such stochastic processes are abundant in applications, in particular in…

In the last years, many authors studied a class of continuous time semi-Markov processes obtained by time-changing Markov processes by hitting times of independent subordinators. Such processes are governed by integro-differential…

This paper contributes to the study of stochastic processes of the class $(\Sigma)$. First, we extend the notion of the above-mentioned class to c\`adl\`ag semi-martingales, whose finite variational part is considered c\`adl\`ag instead of…

Let us consider a signed measure $\Qv$ and a probability measure $\Pv$ such that $\Qv<<\Pv$. Let $D$ be the density of $\Qv$ with respect to $\Pv$. $H$ represents the set of zeros of $D$, $\bar{g}=0\vee\sup{H}$. In this paper, we shall…

We discuss the equivalence of definitions for conditional Poisson processes, Cox processes, and stochastic intensities of point processes on the real line. We show that Watanabe's characterisation of conditional Poisson processes in terms…

We study the evolution of a particle system whose genealogy is given by a supercritical continuous time Galton--Watson tree. The particles move independently according to a Markov process and when a branching event occurs, the offspring…

Processes having the same bridges as a given reference Markov process constitute its {\it reciprocal class}. In this paper we study the reciprocal class of compound Poisson processes whose jumps belong to a finite set $\mathcal{A} \subset…

It has been shown by Bertoin and Yor (2002) that the law of positive self-similar Markov processes (pssMps) that only jump downwards and do not hit zero in finite time are uniquely determined by their entire moments for which explicit…

Many random combinatorial objects have a component structure whose joint distribution is equal to that of a process of mutually independent random variables, conditioned on the value of a weighted sum of the variables. It is interesting to…

Let $\mathfrak{z}$ be a stochastic exponential, i.e., $\mathfrak{z}_t=1+\int_0^t\mathfrak{z}_{s-}dM_s$, of a local martingale $M$ with jumps $\triangle M_t>-1$. Then $\mathfrak{z}$ is a nonnegative local martingale with $\E\mathfrak{z}_t\le…

A multiplicative cascade can be thought of as a randomization of a measure on the boundary of a tree, constructed from an iid collection of random variables attached to the tree vertices. Given an initial measure with certain regularity…