Related papers: Pathwise construction of affine processes
Linear fractional Galton-Watson branching processes in i.i.d.~random environment are, on the quenched level, intimately connected to random difference equations by the evolution of the random parameters of their linear fractional marginals.…
We show the existence of a stationary measure for a class of multidimensional stochastic Volterra systems of affine type. These processes are in general not Markovian, a shortcoming which hinders their large-time analysis. We circumvent…
We investigate the cutoff phenomenon for Markov processes under information divergences such as $f$-divergences and R\'enyi divergences. We classify most common divergences into four types, namely $L^2$-type, $\mathrm{TV}$-type,…
We study a decomposition of a general Markov process in a manifold invariant under a Lie group action into a radial part (transversal to orbits) and an angular part (along an orbit). We show that given a radial path, the conditioned angular…
We introduce a modified Galton-Watson process using the framework of an infinite system of particles labeled by $(x,t)$, where $x$ is the rank of the particle born at time $t$. The key assumption concerning the offspring numbers of…
In this paper we propose an alternative construction of the self-similar entrance laws for positive self-similar Markov processes. The study of entrance laws has been carried out in previous papers using different techniques, depending on…
Quantum transition amplitudes are formulated for a model system with local internal time, using path integrals. The amplitudes are shown to be more regular near a turning point of internal time than could be expected based on existing…
The multi-variable affine index polynomial was defined by the author in previous work. The aim of this short note is to update the definition so it is generalizable to virtual tangles and to show it is compatible with tangle decomposition.…
We investigate the existence of affine realizations for term structure models driven by L\'evy processes. It turns out that we obtain more severe restrictions on the volatility than in the classical diffusion case without jumps. As special…
In this paper, we study the existence and uniqueness of solutions for general fractional-time parabolic equations of mixture type, and their probabilistic representations in terms of the corresponding inverse subordinators with or without…
Recent fluctuation identities for $\alpha$-stable L\'evy processes have decomposed paths using generalised spherical polar coordinates revealing an underlying Markov Additive Process (MAP) for which a more advanced form of excursion theory…
The characteristic functions of multivariate Feller processes with generator of affine type, and with smooth symbol functions have an explicit representation in terms of power series with rational number coefficients and with monmoms…
For spectrally negative L\'evy processes, adapting an approach from \cite{BoLi:sub1} we identify joint Laplace transforms involving local times evaluated at either the first passage times, or independent exponential times, or inverse local…
Markov branching systems form a fundamental class of stochastic models that are extensively applied in biology, physics, finance, and other domains. These systems are distinguished by their continuous-time evolution and inherent branching…
We present and demonstrate a version of Levinson's theorem especially dedicated to the asymptotic behavior of form factor phases. Indeed, as required by analyticity, form factors are multi-valued complex functions of a square four-momentum…
Kalman Filter (KF) is an optimal linear state prediction algorithm, with applications in fields as diverse as engineering, economics, robotics, and space exploration. Here, we develop an extension of the KF, called a Pathspace Kalman Filter…
We put forward a complete theory on moment explosion for fairly general state-spaces. This includes a characterization of the validity of the affine transform formula in terms of minimal solutions of a system of generalized Riccati…
This paper establishes explicit solutions for fractional diffusion problems on bounded domains. It also gives stochastic solutions, in terms of Markov processes time-changed by an inverse stable subordinator whose index equals the order of…
An affine model of computation is defined as a subset of iterated immediate-snapshot runs, capturing a wide variety of shared-memory systems, such as wait-freedom, t-resilience, k-concurrency, and fair shared-memory adversaries. The…
By affine arithmetic is meant the set of affine consequences of Peano arithmetic. This is a continuous theory which is studied in the framework of affine logic, a sublogic of continuous logic. Affine arithmetic is undecidable. Also, its…