Related papers: Inverting Ray-Knight identity

We analyze and partially solve system of recurrences that can be derived from the properties of martingale orthogonal polynomials that characterize quadratic harnesses (QH). We also specify conditions for the existence of moments of one…

We prove polynomial decay of the mixing field of the Vertex Reinforced Jump Process (VRJP) on $\Bbb{Z}^2$ with bounded conductances. Using [17] we deduce that the VRJP on $\Bbb{Z}^2$ with any constant conductances is almost surely…

By a theorem of Sacks, if a real $x$ is recursive relative to all elements of a set of positive Lebesgue measure, $x$ is recursive. This statement, and the analogous statement for non-meagerness instead of positive Lebesgue measure, have…

We prove Gamma conjecture I for all flag varieties by following a strategy proposed by Galkin and Iritani. The main new ingredient is showing that the totally positive part of the Rietsch mirror is mirror to the $\widehat{\Gamma}$-class and…

We prove an analytic KAM-Theorem, which is used in [1], where the differential part of KAM-theory is discussed. Related theorems on analytic KAM-theory exist in the literature (e. g., among many others, [7], [8], [13]). The aim of the…

This paper studies the model order reduction of second-order index-1 descriptor systems using a tangential interpolation projection method based on the Iterative Rational Krylov Algorithm (IRKA). Our primary focus is to reduce the system…

A birth and death process is a continuous-time Markov chain with the minimal state space $\mathbb N$, whose transition matrix is standard and whose density matrix is the given birth-death matrix. Birth and death process is unique if and…

We present an iterative method to diagonalise large matrices. The basic idea is the same as the conjugated gradient (CG) method, i.e, minimizing the Rayleigh quotient via its gradient and avoiding reintroduce errors to the directions of…

We study class of L\'{e}vy processes having distributions being indentifiable by moments. We define system of polynomial martingales \newline $\left\{ M_{n}(X_{t},t),\mathcal{F}_{\leq t}\right\} _{n\geq 1},$ where $% \mathcal{F}_{\leq t}$…

In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of…

This paper presents a new general formulation of the Radon-Nikodym theorem in the setting of abstract measure theory. We introduce the notion of weak localizability for a measure and show that this property is both necessary and sufficient…

We consider collections of SDEs indexed by a graph. Each SDE is driven by an additive Gaussian noise and each drift term interacts with all other SDEs within the graph neighbourhood. We derive the fundamental martingale for a class of…

We provide short and simple proofs of the continuous time ballot theorem for processes with cyclically interchangeable increments and Kendall's identity for spectrally positive L\'evy processes. We obtain the later result as a direct…

We prove the existence of the unique solution of a general Backward Stochastic Differential Equation with quadratic growth driven by martingales. Some kind of comparison theorem is also proved.

We study the influence of analytical regularization used in the generalized function (distribution) space to the Tikhonov regularization procedure utilized in the different versions of Moore-Penrose's inversion. By introducing a new…

We consider a Markov chain X_1, X_2, ..., X_n belonging to a class of iterated random functions, which is "one-step contracting" with respect to some distance d. If f is any separately Lipschitz function with respect to d, we use a well…

The 4-th order Runge-Kutta method in the complex plane is proposed for numerically advancing the solutions of a system of first order differential equations in one external invariant satisfied by the master integrals related to a Feynman…

We show a determinant identity which generalizes both the Chio pivotal condensation theorem and the Matrix-Tree theorem.

A step-reinforced random walk is a discrete-time non-Markovian process with long range memory. At each step, with a fixed probability p, the positively step-reinforced random walk repeats one of its preceding steps chosen uniformly at…

In this paper we obtain skew-product representations of the multidimensional Dunkl processes which generalize the skew-product decomposition in dimension 1 obtained in L. Gallardo and M. Yor. Some remarkable properties of the Dunkl…