Related papers: Time-inhomogeneous jump processes and variable ord…
We consider the time-inhomogeneous Markovian jump process introduced by John S. Bell [Phys.Rep. 137, 49] for a lattice quantum field theory, which runs on the associated configuration space. Its jump rates, tailored to give the process the…
The stochastic motion of a particle with long-range correlated increments (the moving phase) which is intermittently interrupted by immobilizations (the traping phase) in a disordered medium is considered in the presence of an external…
Time homogeneous polynomial processes are Markov processes whose moments can be calculated easily through matrix exponentials. In this work, we develop a notion of time inhomogeneous polynomial processes where the coeffiecients of the…
A Brownian time process is a Markov process subordinated to the absolute value of an independent one-dimensional Brownian motion. Its transition densities solve an initial value problem involving the square of the generator of the original…
This paper presents a nonparametric method for estimating the conditional density associated to the jump rate of a piecewise-deterministic Markov process. In our framework, the estimation needs only one observation of the process within a…
We study the homogenization for a class of non-symmetric pure jump Feller processes. The jump intensity involves periodic and aperiodic constituents, as well as oscillating and non-oscillating constituents. This means that the noise can…
The paper considers a continuous-time birth-death process where the jump rate has an asymptotically polynomial dependence on the process position. We obtain a rough exponential asymptotics for the probability of excursions of a re-scaled…
In this paper, we propose a stochastic process, which is a Cox-Ingersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential…
The multiplicative Newton-like method developed by the author et al. is extended to the situation where the dynamics is restricted to the orthogonal group. A general framework is constructed without specifying the cost function. Though the…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…
A subordinate Brownian motion $X$ is a L\'evy process which can be obtained by replacing the time of the Brownian motion by an independent subordinator. In this paper, when the Laplace exponent $\phi$ of the corresponding subordinator…
In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametric estimators for the time-varying regression functions which…
We introduce the bivariate jump-diffusion process, comprising two-dimensional diffusion and two-dimensional jumps, that can be coupled to one another. We present a data-driven, non-parametric estimation procedure of higher-order (up to 8)…
We derive a moment formula for generalized fractional polynomial processes, i.e., for polynomial-preserving Markov processes time-changed by an inverse L\'evy-subordinator. If the time change is inverse $\alpha$-stable, the time-derivative…
L\'evy stable (jump-type) processes are examples of intrinsically nonlocal random motions. This property becomes a serious obstacle if one attempts to model conditions under which a particular L\'evy process may be subject to physically…
In this paper the running average of a subordinator with a tempered stable distribution is considered. We investigate a family of previously unexplored infinite-activity subordinators induced by the probability distribution of the running…
This article is devoted to some time-changed stochastic models based on multivariate stable processes. The considered models have several advantages in comparison with classical time-changed Brownian motions - for instance, it turns out…
Inspired by a duration-dependent life insurance model, we consider continuous-time semi-Markov jump processes, initially assumed to have a finite state-space. We develop approximations using jump processes that are time-homogeneous Markov,…
In the last decade the subordinated processes have become popular and found many practical applications. Therefore in this paper we examine two processes related to time-changed (subordinated) classical Brownian motion with drift (called…
It is shown that non-Markovian master equations for an open system which are local in time can be unravelled through a piecewise deterministic quantum jump process in its Hilbert space. We derive a stochastic Schr\"odinger equation that…