Related papers: Weak approximation rates for integral functionals …
The purpose of this paper is to study the approximation of vector valued mappings defined on a subset of a normed space. We investigate Korovkin-type conditions under which a given sequence of linear operators becomes a so-called…
Imprecise continuous-time Markov chains are a robust type of continuous-time Markov chains that allow for partially specified time-dependent parameters. Computing inferences for them requires the solution of a non-linear differential…
We give a number of results on approximations of Markov kernels in total variation and Wasserstein norms weighted by a Lyapunov function. The results are applied to examples from Bayesian statistics where approximations to transition…
In this paper we study the almost sure conditional central limit theorem in its functional form for a class of random variables satisfying a projective criterion. Applications to strongly mixing processes and non irreducible Markov chains…
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…
A mixed semiclassical initial value representation expression for spectroscopic calculations is derived. The formulation takes advantage of the time-averaging filtering and the hierarchical properties of different trajectory based…
We prove a version of the Feynman-Kac formula for Levy processes and integro-differential operators, with application to the momentum representation of suitable quantum (Euclidean) systems whose Hamiltonians involve L\'{e}vy-type…
In this paper, we develop a new mathematical technique which allows us to express the joint distribution of a Markov process and its running maximum (or minimum) through the marginal distribution of the process itself. This technique is an…
We provide explicit convergence rates for Chernoff-type approximations of convex monotone semigroups which have the form $S(t)f=\lim_{n\to\infty}I(\frac{t}{n})^n f$ for bounded continuous functions $f$. Under suitable conditions on the…
We establish a functional weak law of large numbers for observable macroscopic state variables of interacting particle systems (e.g., voter and contact processes) over fast time-varying sparse random networks of interactions. We show that,…
Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time…
We consider numerical approximations of stochastic Langevin equations by implicit methods. We show a weak backward error analysis result in the sense that the generator associated with the numerical solution coincides with the solution of a…
We study the asymptotic behaviour of partial sums of long range dependent random variables and that of their counting process, together with an appropriately normalized integral process of the sum of these two processes, the so-called…
Semi-Markov processes play an important role in the effective description of partially accessible systems in stochastic thermodynamics. They occur, for instance, in coarse-graining procedures such as state lumping and when analyzing waiting…
Using lattice approximations of Euclidean space, we develop a way to approximate stable processes that are represented by stochastic integrals over Euclidean space. Via a stable version of the Lindeberg-Feller Theorem we show that the…
In this paper, we construct a type of interacting particle systems to approximate a class of stochastic different equations whose coefficients depend on the conditional probability distributions of the processes given partial observations.…
In this paper we are looking for quantitative estimates for the convergene to equilibrium of non reversible Markov processes, especialy in short times. The models studied are simple enough to get an explicit expression of the L2 distance…
We provide a condition for f-ergodicity of strong Markov processes at a subgeometric rate. This condition is couched in terms of a supermartingale property for a functional of the Markov process. Equivalent formulations in terms of a drift…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
In this paper we examine the numerical approximation of the limiting invariant measure associated with Feynman-Kac formulae. These are expressed in a discrete time formulation and are associated with a Markov chain and a potential function.…