Related papers: Pathwise construction of affine processes
For a stochastic process $(X_t)_{t\geq 0}$ we establish conditions under which the inverse first-passage time problem has a solution for any random variable $\xi >0$. For Markov processes we give additional conditions under which the…
In this work we consider time series with a finite number of discrete point changes. We assume that the data in each segment follows a different probability density functions (pdf). We focus on the case where the data in all segments are…
The 2-dimensional inverse problem for first-order systems is analysed and a method to construct an affine Lagrangian for such systems is developed. The determination of such Lagrangians is based on the theory of the Jacobi multiplier for…
Although the notion of diagnostic problem has been extensively investigated in the context of static systems, in most practical applications the behavior of the modeled system is significantly variable during time. The goal of the paper is…
Good parametrisations of affine transformations are essential to interpolation, deformation, and analysis of shape, motion, and animation. It has been one of the central research topics in computer graphics. However, there is no single…
We consider elliptic partial differential equations with diffusion coefficients that depend affinely on countably many parameters. We study the summability properties of polynomial expansions of the function mapping parameter values to…
State-space models can be used to incorporate subject knowledge on the underlying dynamics of a time series by the introduction of a latent Markov state-process. A user can specify the dynamics of this process together with how the state…
The evolution of a continuous time Markov process with a finite number of states is usually calculated by the Master equation - a linear differential equations with a singular generator matrix. We derive a general method for reducing the…
The goal of this paper is to introduce a new constructive geometric proof of the affine version of Chevalley's Theorem. This proof is algorithmic and a verbatim implementation resulted in an efficient code for computing the constructible…
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are neither…
This paper surveys the analysis of parametric Markov models whose transitions are labelled with functions over a finite set of parameters. These models are symbolic representations of uncountable many concrete probabilistic models, each…
A family of continuous-state branching processes with immigration are constructed as the solution flow of a stochastic equation system driven by time-space noises. The family can be regarded as an inhomogeneous increasing path-valued…
Multivariate time series analysis is becoming an integral part of data analysis pipelines. Understanding the individual time point connections between covariates as well as how these connections change in time is non-trivial. To this aim,…
Nonlinear conservation laws driven by L\'evy processes have solutions which, in the case of supercritical nonlinearities, have an asymptotic behavior dictated by the solutions of the linearized equations. Thus the explicit representation of…
We prove a Hitchin-Kobayashi correspondence for affine vortices generalizing a result of Jaffe-Taubes for the action of the circle on the affine line. Namely, suppose a compact Lie group K has a Hamiltonian action on a Kaehler manifold X…
We derive an explicit representation for the transition law of a $p$-tempered $\alpha$-stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our results apply in both the univariate and multivariate…
In this paper, sufficient conditions are given for the existence of limiting distribution of a conservative affine process on the canonical state space $\mathbb{R}_{\geqslant0}^{m}\times\mathbb{R}^{n}$, where $m,\thinspace…
We determine those maps between affine or projective spaces that are linear in the abstract sense of transforming collinear points into collinear points and whose restriction to any line is constant or injective. Our results are extensions…
Given two labelled Markov decision processes (MDPs), the trace-refinement problem asks whether for all strategies of the first MDP there exists a strategy of the second MDP such that the induced labelled Markov chains are trace-equivalent.…
Predictive constructions are a powerful way of characterizing the probability law of stochastic processes with certain forms of invariance, such as exchangeability or Markov exchangeability. When de Finetti-like representation theorems are…