Related papers: On free stochastic processes and their derivatives
The solution to a multivariate linear Stochastic Differential Equation (SDE) with constant initial state is well known to be a Gaussian Markov process, but its covariance kernel involves the solution to an integral equation in the general…
Maximizing the likelihood has been widely used for estimating the unknown covariance parameters of spatial Gaussian processes. However, evaluating and optimizing the likelihood function can be computationally intractable, particularly for…
We consider a sequence of fractional Ornstein-Uhlenbeck processes, that are defined as solutions of a family of stochastic Volterra equations with kernel given by the Riesz derivative kernel, and leading coefficients given by a sequence of…
We introduce a new class of nonstationary kernels, which we derive as covariance functions of a novel family of stochastic processes we refer to as string Gaussian processes (string GPs). We construct string GPs to allow for multiple types…
In this paper, a connection between bi-free probability and the theory of non-commutative stochastic processes is examined. Specifically it is demonstrated that the transition operators for non-commutative stochastic processes can be…
Situations in many fields of research, such as digital communications, nuclear physics and mathematical finance, can be modelled with random matrices. When the matrices get large, free probability theory is an invaluable tool for describing…
Stochastic processes are random variables with values in some space of paths. However, reducing a stochastic process to a path-valued random variable ignores its filtration, i.e. the flow of information carried by the process through time.…
We consider algebras of rational power series over an alphabet $\Sigma$ with coefficients in a commutative semiring $K$ and characterize them as the free algebras in various classes of algebraic structures.
Free exponential families have been previously introduced as a special case of the q-exponential family. We show that free exponential families arise also from a procedure analogous to the definition of exponential families by using the…
We present a survey of some of our recent results on Bayesian nonparametric inference for a multitude of stochastic processes. The common feature is that the prior distribution in the cases considered is on suitable sets of piecewise…
In this article we use a covariance function that arises from limit of fluctuations of the rescaled occupation time process of a branching particle system, to introduce a family of weighted long-range dependence Gaussian processes. In…
This paper is on developing stochastic analysis simultaneously under a general family of probability measures that are not dominated by a single probability measure. The interest in this question originates from the probabilistic…
The article is devoted to stochastic processes with values in finite- and infinite-dimensional vector spaces over infinite fields $\bf K$ of zero characteristics with non-trivial non-archimedean norms. For different types of stochastic…
In arXiv:0807.0677, K\"ostler and Speicher observed that de Finetti's theorem on exchangeable sequences has a free analogue if one replaces exchangeability by the stronger condition of invariance under quantum permutations. In this paper we…
This work presents the concept of kernel mean embedding and kernel probabilistic programming in the context of stochastic systems. We propose formulations to represent, compare, and propagate uncertainties for fairly general stochastic…
A recurrent theme in functional analysis is the interplay between the theory of positive definite functions, and their reproducing kernels, on the one hand, and Gaussian stochastic processes, on the other. This central theme is motivated by…
We study the notions of differentiating and non-differentiating sigma-fields in the general framework of (possibly drifted) Gaussian processes, and characterize their invariance properties under equivalent changes of probability measure. As…
We consider free multiple stochastic measures in the combinatorial framework of the lattice of all diagonals of an n-dimensional space. In this free case, one can restrict the analysis to only the noncrossing diagonals. We give definitions…
We consider rational power series over an alphabet $\Sigma$ with coefficients in a ordered commutative semiring $K$ and characterize them as the free ordered $K$-semialgebras in various classes of ordered $K$-semialgebras equipped with a…
This article demonstrates how recent developments in the theory of empirical processes allow us to construct a new family of asymptotically distribution-free smooth tests. Their distribution-free property is preserved even when the…