Related papers: Strong times and first hitting
Some notes and questions about the concept of time are exposed. Particular reference is given to the problem in quantum mechanics, in connection with the indeterminacy principle.
Reversal of the time direction in stochastic systems driven by white noise has been central throughout the development of stochastic realization theory, filtering and smoothing. Similar ideas were developed in connection with certain…
Stochastic processes with random reinforced relocations have been introduced in the physics literature to model animal foraging behaviour. Such a process evolves as a Markov process, except at random relocation times, when it chooses a time…
We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of threshold type and the optimal threshold is…
We study stability issue of reset and impulsive switched systems. We find time constraints (dwell time and flee time) on switching signals which stabilize a given reset switched system. For a given collection of matrices, we find an…
The concept of time is discussed in the context of the canonical formulation of the gravitational field. Using a hypersurface orthogonal foliation, the arbitrariness of the lapse function is eliminated and the shift vector vanishes,…
Scaled type Markov renewal processes generalize classical renewal processes: renewal times come from a one parameter family of probability laws and the sequence of the parameters is the trajectory of an ergodic Markov chain. Our primary…
In this paper we consider the field of local times of a discrete-time Markov chain on a general state space, and obtain uniform (in time) upper bounds on the total variation distance between this field and the one of a sequence of $n$…
Our aim is to unify and extend the large deviation upper and lower bounds for the occupation times of a Markov process with $L_2$ semigroups under minimal conditions on the state space and the process trajectories; for example, no strong…
In this paper, we study the existence and uniqueness of solutions for general fractional-time parabolic equations of mixture type, and their probabilistic representations in terms of the corresponding inverse subordinators with or without…
For many stochastic dynamic systems, the Mean First Passage Time (MFPT) is a useful concept, which gives expected time before a state of interest. This work is an extension of MFPT in several ways. (1) We show that for some systems the…
We consider killed Markov decision processes for countable models on a finite time-interval. Existence of a uniform $\varepsilon$-optimal policy is proven. We show the correctness of the fundamental equation. The optimal control problem is…
We consider a strong Markov process with killing and prove an approximation method for the distribution of the process conditioned not to be killed when it is observed. The method is based on a Fleming-Viot type particle system with…
We establish abstract local limit theorems for hitting times and return-times of suitable sequences (A_{l}) of asymptotically rare events in ergodic probability preserving dynamical systems, including versions for tuples of consecutive…
We study some regularity properties in locally stationary Markov models which are fundamental for controlling the bias of nonparametric kernel estimators. In particular, we provide an alternative to the standard notion of derivative process…
We show a decomposition into the sum of a martingale and a deterministic quantity for time averages of the solutions to non-autonomous SDEs and for discrete-time Markov processes. In the SDE case the martingale has an explicit…
Hitting times provide a fundamental measure of distance in random processes, quantifying the expected number of steps for a random walk starting at node $u$ to reach node $v$. They have broad applications across domains such as network…
In the absence of acceleration, the velocity formula gives "distance travelled equals speed multiplied by time". For a broad class of Markov chains such as circulant Markov chains or random walk on complete graphs, we prove a probabilistic…
We study the two-dimensional joint distribution of the first hitting time of a constant level by a continuous-state branching process with immigration and their primitive stopped at this time. We show an explicit expression of its Laplace…
Motivated by the notion of resistance distance on graph, we define a new resistance distance between two states on a given finite ergodic Markov chain based on its fundamental matrix. We prove a few equivalent formulations and discuss its…