Related papers: Determinantal Martingales and Noncolliding Diffusi…
The aim of this paper is threefold. Firstly, we develop the author's previous work on the dynamical relationship between determinantal point processes and CAR algebras. Secondly, we present a novel application of the theory of stochastic…
We develop and implement new probabilistic strategy for proving basic results about long time behaviour for interacting diffusion processes on unbounded lattice. The concept of the solution used is rather weak as we construct the process as…
We define the non-commutative multiple bi-orthogonal polynomial systems, which simultaneously generalize the concepts of multiple orthogonality, matrix orthogonal polynomials and of the bi-orthogonality. We present quasideterminantal…
We analyze circumstances under which the microscopic dynamics of particles which are driven by a forced, gradient-type flow can be consistently interpreted as a Markovian diffusion process. Special attention is paid to discriminating…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…
We prove uniqueness of a martingale problem with boundary conditions on a simplex associated to a differential operator with an unbounded drift. We show that the solution of the martingale problem remains absorbed at the boundary once it…
Score-based diffusion models generate new samples by learning the score function associated with a diffusion process. While the effectiveness of these models can be theoretically explained using differential equations related to the…
The derivation of determinant representations for the space-, time-, and temperature-dependent correlation functions of the impenetrable Gaudin-Yang model in the presence of a trapping potential is presented. These representations are valid…
Let $(W,H,\mu)$ be the classical Wiener space on $\R^d$. Assume that $X=(X_t)$ is a diffusion process satisfying the stochastic differential equation $dX_t=\sigma(t,X)dB_t+b(t,X)dt$, where $\sigma:[0,1]\times C([0,1],\R^n)\to \R^n\otimes…
We study multiple orthogonal polynomials exploiting their explicit determinantal representation in terms of moments. Our reasoning follows that applied to solve the Hermite-Pad\'{e} approximation and interpolation problems. We study also…
We prove the stochastic domination for determinantal processes associated with finite rank projection kernels. The result was first proved by Lyons in discrete setting. We avoid the machinery of matroids in order to obtain a proof that…
We consider systems of Brownian particles in the space of positive definite matrices, which evolve independently apart from some simple interactions. We give examples of such processes which have an integrable structure. These are related…
We analyze theoretically and experimentally how nonlinear differential-transmission spectroscopy of a lambda-system medium can provide quantitative understanding of the optical dipole moments and transition energies. We focus on the…
This paper presents an {\it ab initio} derivation of the expression given by irreversible thermodynamics for the rate of entropy production for different classes of diffusive processes. The first class are Lorentz gases, where…
As an extension of the theory of Dyson's Brownian motion models for the standard Gaussian random-matrix ensembles, we report a systematic study of hermitian matrix-valued processes and their eigenvalue processes associated with the chiral…
A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second order geometry and Ito integration on manifolds, allows us to give a natural and effective…
Let E be an unbounded open (or closed) domain in Euclidean space of dimension greater or equal to two. We present conservativeness criteria for (possibly reflected) diffusions with state space E that are associated to fairly general…
In this note we present new examples of determinantal point processes with infinitely many particles. The particles live on the half-lattice {1,2,...} or on the open half-line (0,+\infty). The main result is the computation of the…
It\^{o} processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship between two such It\^{o} processes. We are interested in the…