Related papers: On jump-diffusion processes with regime switching:…
In this paper, we consider the quenched invariance principle for random Young towers driven by an ergodic system. In particular, we obtain the Wassertein convergence rate in the quenched invariance principle. As a key ingredient, we derive…
We propose threshold diffusion processes as unique solutions to stochastic differential equations with step-function coefficients, and obtain explicit expressions for the conditional Laplace transform of the hitting times and the potential…
Dissipative quantum systems are frequently described within the framework of the so-called "system-plus-reservoir" approach. In this work we assign their description to the Maximum Entropy Formalism and compare the resulting thermodynamic…
We extend the principles of information thermodynamics to study energy and information exchanges between coupled systems composed of one part undergoing a Markov jump process and another underdamped diffusion. We derive integral fluctuation…
We prove the metastable behavior of reversible Markov processes on finite state spaces under minimal conditions on the jump rates. To illustrate the result we deduce the metastable behavior of the Ising model with a small magnetic field at…
Shot noise processes have been extensively studied due to their mathematical properties and their relevance in several applications. Here, we consider nonnegative shot noise processes and prove their weak convergence to L\'evy-driven…
Seifert derived an exact fluctuation relation for diffusion processes using the concept of "stochastic system entropy". In this note we extend his formalism to entropic transport. We introduce the notion of relative stochastic entropy, or…
In this paper we consider the convergence of the conditional entropy to the entropy rate for Markov chains. Convergence of certain statistics of long range dependent processes, such as the sample mean, is slow. It has been shown in Carpio…
We propose a method for approximating solutions to optimization problems involving the global stability properties of parameter-dependent continuous-time autonomous dynamical systems. The method relies on an approximation of the…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence…
We study the stochastic dynamics of a particle with two distinct motility states. Each one is characterized by two parameters: one represents the average speed and the other represents the persistence quantifying the tendency to maintain…
In this article, we prove the Eyring-Kramers formula for non-reversible metastable diffusion processes that have a Gibbs invariant measure. Our result indicates that non-reversible processes exhibit faster metastable transitions between…
The paper estimates the rate of convergence of the weak Euler approximation for the solutions of SDEs with Hoelder continuous coefficients driven by point and martingale measures. The equation considered has a non-degenerate main part whose…
In this paper, we consider a diffusion process with jumps whose drift and jump coefficient depend on an unknown parameter. We then give a self-contained proof of the local asymptotic mixed normality (LAMN) property when the process is…
We consider a general d-dimensional Levy-type process with killing. Combining the classical Dyson series approach with a novel polynomial expansion of the generator A(t) of the Levy-type process, we derive a family of asymptotic…
In this paper, we investigate and compare two well-developed definitions of entropy relevant for describing the dynamics of isolated quantum systems: bipartite entanglement entropy and observational entropy. In a model system of interacting…
In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric $\beta$-stable L\'evy processes, $\beta \in (0,2)$, and certain pure jump semimartingales. The main focus is on derivation of…
We develop the first exact Bayesian methodology for the problem of inference in discretely observed regime switching diffusions. Switching diffusion models extend ordinary diffusions by allowing for jumps in instantaneous drift and…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…