Related papers: On jump-diffusion processes with regime switching:…
Problems of probabilistic inference and decision making under uncertainty commonly involve continuous random variables. Often these are discretized to a few points, to simplify assessments and computations. An alternative approximation is…
A jump process for the positions of interacting quantum particles on a lattice, with time-dependent transition rates governed by the state vector, was first considered by J.S. Bell. We review this process and its continuum variants…
Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus existing approaches invariably resort to time-discretisations which inevitably lead to…
We compute the Hamiltonian and Lagrangian associated to the large deviations of the trajectory of the empirical distribution for independent Markov processes, and of the empirical measure for translation invariant interacting Markov…
In the works on Statistical Mechanics and Statistical Physics, when deriving the distribution of particles of ideal gases, one uses the method of Lagrange multipliers in a formal way. In this paper we treat rigorously this problem for…
Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…
The aim of this paper is to deepen the analysis of the asymptotic behavior of the so-called minimal random walk (MRW) using a new martingale approach. The MRW is a discrete-time random walk with infinite memory that has three regimes…
We establish the existence of solutions to a class of non-linear stochastic differential equation of reaction-diffusion type in an infinite-dimensional space, with diffusion corresponding to a given transition kernel. The solution obtained…
In this paper, a modification of the conventional approximations to the quasi-maximum likelihood method is introduced for the parameter estimation of diffusion processes from discrete observations. This is based on a convergent…
Two aspects of noncolliding diffusion processes have been extensively studied. One of them is the fact that they are realized as harmonic Doob transforms of absorbing particle systems in the Weyl chambers. Another aspect is integrability in…
There is a natural connection between the class of diffusions, and a certain class of solutions to the Skorokhod Embedding Problem (SEP). We show that the important concept of minimality in the SEP leads to the new and useful concept of a…
A novel principle is presented which allows for the proof of bounded weak solutions to a class of physically relevant, strongly coupled parabolic systems exhibiting a formal gradient-flow structure. The main feature of these systems is that…
The rigorous asymptotics from reaction-cross-diffusion systems for three species with known entropy to cross-diffusion systems for two variables is investigated. The equations are studied in a bounded domain with no-flux boundary…
The limits of scaled relative entropies between probability distributions associated with N-particle weakly interacting Markov processes are considered. The convergence of such scaled relative entropies is established in various settings.…
We develop a theory of optimal transport for stationary random measures with a focus on stationary point processes and construct a family of distances on the set of stationary random measures. These induce a natural notion of interpolation…
Two classical stochastic processes are considered, the Ehrenfest process, introduced in 1907 in the kinetic theory of gases to describe the heat exchange between two bodies and the Engset process, one of the early (1918) stochastic models…
We consider the rate of transition for a particle between two metastable states coupled to a thermal environment for various magnitudes of the coupling strength, using the recently proposed infrequent metadynamics approach (Tiwary and…
The time variation of entropy, as an alternative to the variance, is proposed as a measure of the diffusion rate. It is shown that for linear and time-translationally invariant systems having a large-time limit for the density, at large…
In this paper, we investigate the parameter estimation for threshold Ornstein$\mathit{-}$Uhlenbeck processes. Least squares method is used to obtain continuous-type and discrete-type estimators for the drift parameters based on continuous…
We analyze F\"urth's 1933 classical uncertainty relations in the modern language of stochastic differential equations. Our interest is motivated by applications to non-equilibrium classical statistical mechanics. We show that F\"urth's…