Related papers: Exponential ergodicity of the jump-diffusion CIR p…

We introduce a stochastic SIR-type partial differential equation model incorporating random diffusion, reinfection, vital dynamics, and a randomly varying transmission rate. For the associated random dynamical system, we prove the existence…

A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217…

Complex physical dynamics can often be modeled as a Markov jump process between mesoscopic configurations. When jumps between mesoscopic states are mediated by thermodynamic reservoirs, the time-irreversibility of the jump process is a…

In this note, we consider the necessary and sufficient condition for viability property of diffusion processes with jumps on closed submanifolds of $R^{m}$ with some concrete examples.

In this paper we consider an ergodic diffusion process with jumps whose drift coefficient depends on an unknown parameter $\theta$. We suppose that the process is discretely observed at the instants (t n i)i=0,...,n with $\Delta$n = sup…

Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…

In this paper, we study the asymptotic of exit problem for controlled Markov diffusion processes with random jumps and vanishing diffusion terms, where the random jumps are introduced in order to modify the evolution of the controlled…

Diffusive approximations of Markov jump processes often fail to accurately capture large fluctuations. This is confounding, as the rare events triggered by these large fluctuations, such as the failure of electronic memories, are often the…

We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…

Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…

We give upper and lower estimates of densities of convolution semigroups of probability measures under explicit assumptions on the corresponding Levy measure and the Levy--Khinchin exponent. We obtain also estimates of derivatives of…

On the example of a lattice-gas model, a convincing confirmation is obtained for the direct relationship between the condensation phenomenon and divergent behavior of the virial expansions for pressure and density in powers of activity. The…

In a first part, we prove a Lyapunov-type criterion for the $\xi\_1$-positive recurrence of absorbed birth and death processes and provide new results on the domain of attraction of the minimal quasi-stationary distribution. In a second…

In this paper, we consider a stochastic model based on the Cox- Ingersoll- Ross model (CIR). The stochastic model is parameterized analytically by applying It\^o's calculus and the trend functions of the proposed process is calculated. The…

Conditions sufficient for the transience of the process have been established for the Markov diffusion model with switching and two modes, transient and ergodic, with intensities bounded away from zero. This paper shows limitations on the…

We study the distributional properties of jumps of multi-type continuous state and continuous time branching processes with immigration (multi-type CBI processes). We derive an expression for the distribution function of the first jump time…

We consider the parametric estimation of the volatility and jump activity in a stable Cox-Ingersoll-Ross ($\alpha$-stable CIR) model driven by a standard Brownian Motion and a non-symmetric stable L\'evy process with jump activity $\alpha…

We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…

This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the…

The purpose of this paper is to investigate the long time behaviour for a self-interacting diffusion and a self-interacting velocity jump process. While the diffusion case has already been studied for some particular potential function, the…