Related papers: Pathwise construction of affine processes
We study a class of stationary Markov processes with marginal distributions identifiable by moments such that every conditional moment of degree say $m$ is a polynomial of degree at most $m\;\text{.}\;$ We show that then under some…
An $\mathbb{R}^d$-valued Markov process $X^{(x)}_t=(X^{1,x_1}_t,\dots,X^{d,x_d}_t)$, $t\ge0,x\in\mathbb{R}^d$ is said to be multi-self-similar with index $(\alpha_1,\dots,\alpha_d)\in[0,\infty)^d$ if the identity in law…
Kuznetsov et al. (2011) and Kuznetsov and Pardo (2013) introduced the family of Hypergeometric L\'evy processes. They appear naturally in the study of fluctuations of stable processes when one analyses stable processes through the theory of…
Our paper illustrates how the theory of Lie systems allows recovering known results and provide new examples of piecewise deterministic processes with phase-type jumps for which the corresponding first-time passage problems may be solved…
Constrained Markov processes, such as reflecting diffusions, behave as an unconstrained process in the interior of a domain but upon reaching the boundary are controlled in some way so that they do not leave the closure of the domain. In…
Here we give a proof of the existence of c\`{a}dl\`{a}g modification of Markov Processes (on an appropriate space) with Feller semigroup.
We obtain an intertwining relation between some Riemann-Liouville operators of order a in (1,2) connecting through a certain multiplicative identity in law the one-dimensional marginals of reflected completely asymmetric a-stable L\'evy…
We propose a new classification scheme for diffusion processes for which the backward Kolmogorov equation is solvable in analytically closed form by reduction to hypergeometric equations of the Gaussian or confluent type. The construction…
In the operatorial formulation of quantum statistics, the time evolution of density matrices is governed by von Neumann's equation. Within the phase space formulation of quantum mechanics it translates into Moyal's equation, and a formal…
Let X and Y be time-homogeneous Markov processes with common state space E, and assume that the transition kernels of X and Y admit densities with respect to suitable reference measures. We show that if there is a time t>0 such that, for…
We present an investigation of stochastic evolution in which a family of evolution equations in $L^1$ are driven by continuous-time Markov processes. These are examples of so-called piecewise deterministic Markov processes (PDMP's) on the…
We construct a Hunt process that can be described as an isotropic $\alpha$-stable L\'evy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes.…
Invariant affine reflection algebras are the last and the most general known extension of affine Kac-Moody Lie algebras, introduced in recent years. We develop a method known as "affinization" to the class of invariant affine reflection…
A well-posedness result for a time-shift invariant class of evolutionary operator equations involving material laws with fractional time-integrals of order $\alpha\in]0,1[$ is considered and exemplified by an application to a Kelvin-Voigt…
We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation…
We develop a full-fledged analysis of an algorithmic decision process that, in a multialternative choice problem, produces computable choice probabilities and expected decision times.
There is a well established theory that links semi-Markov chains having Mittag-Leffler waiting times to time-fractional equations. We here go beyond the semi-Markov setting, by defining some non-Markovian chains whose waiting times,…
We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…
This thesis develops and expands upon known techniques of mathematical physics relevant to the analysis of the popular Markov model of phylogenetic trees required in biology to reconstruct the evolutionary relationships of taxonomic units…
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as…