Related papers: A note on R\'enyi's "record" problem and Engel's s…
Multi-state models are frequently applied for representing processes evolving through a discrete set of state. Important classes of multi-state models arise when transitions between states may depend on the time since entry into the current…
The Semi-Markov property of Continuous Time Random Walks (CTRWs) and their limit processes is utilized, and the probability distributions of the bivariate Markov process $(X(t),V(t))$ are calculated: $X(t)$ is a CTRW limit and $V(t)$ a…
We prove a law of large numbers in terms of complete convergence of independent random variables taking values in increments of monotone functions, with convergence uniform both in the initial and the final time. The result holds also for…
We analyse various properties of stochastic Markov processes with multiplicative white noise. We take a single-variable problem as a simple example, and we later extend the analysis to the Landau-Lifshitz-Gilbert equation for the stochastic…
We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper is a non-central moderate…
We present a systematic analysis of stochastic processes conditioned on an empirical measure $Q_T$ defined in a time interval $[0,T]$ for large $T$. We build our analysis starting from a discrete time Markov chain. Results for a continuous…
We are interested in the dynamic of a structured branching population where the trait of each individual moves according to a Markov process. The rate of division of each individual is a function of its trait and when a branching event…
Continuous-time event sequences, i.e., sequences consisting of continuous time stamps and associated event types ("marks"), are an important type of sequential data with many applications, e.g., in clinical medicine or user behavior…
Among the Markov chains breaking detailed-balance that have been proposed in the field of Monte-Carlo sampling in order to accelerate the convergence towards the steady state with respect to the detailed-balance dynamics, the idea of…
We consider sequences $(X_t^N)_{t\geq0}$ of Markov processes in two dimensions whose fluid limit is a stable solution of an ordinary differential equation of the form $\dot{x}_t=b(x_t)$, where $b(x)={\pmatrix{-\mu 0 0 \lambda}}x+\tau(x)$…
In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an increasingly popular concept in many branches of science. In…
In the present work we derive a Central Limit Theorem for sequences of Hilbert-valued Piecewise Deterministic Markov process models and their global fluctuations around their deterministic limit identified by the Law of Large Numbers. We…
A piecewise-deterministic Markov process, specified by random jumps and switching semi-flows, as well as the associated Markov chain given by its post-jump locations, are investigated in this paper. The existence of an exponentially…
The problem of exactly generating a general random process (target process) by using another general random process (coin process) is studied. The performance of the interval algorithm, introduced by Han and Hoshi, is analyzed from the…
Through certain appropriate constructions, we establish periodic solutions in distribution for some stochastic differential equations with infinite-dimensional Levy noise. Additionally, we obtain the corresponding periodic measures and…
Fleming-Viot type particle systems represent a classical way to approximate the distribution of a Markov process with killing, given that it is still alive at a final deterministic time. In this context, each particle evolves independently…
We derive concentration inequalities for sums of independent and identically distributed random variables that yield non-asymptotic generalizations of several strong laws of large numbers including some of those due to Kolmogorov [1930],…
Using the age-structure formalism, we definitely establish connections between semi-Markov processes and the dynamics of open quantum systems that satisfy the Markov quantum master equations. A generalized Feynman-Kac formula of the…
We consider simple exclusion processes on Z for which the underlying random walk has a finite first moment and a non-zero mean and whose initial distributions are product measures with different densities to the left and to the right of the…
Recent work in dynamic causal inference introduced a class of discrete-time stochastic processes that generalize martingale difference sequences and arrays as follows: the random variates in each sequence have expectation zero given certain…