Related papers: Ergodic Markov processes and Poisson equations (le…
A stochastic representation for the solutions of the Poisson-Vlasov equation, with several charged species, is obtained. The representation involves both an exponential and a branching process and it provides an intuitive characterization…
We present the idea of intertwining of two diffusions by Feynman-Kac operators. We present some variations and implications of the method and give examples of its applications. Among others, it turns out to be a very useful tool for finding…
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…
The use of higher-order stochastic processes such as nonlinear Markov chains or vertex-reinforced random walks is significantly growing in recent years as they are much better at modeling high dimensional data and nonlinear dynamics in…
Consider the partial sums {S_t} of a real-valued functional F(Phi(t)) of a Markov chain {Phi(t)} with values in a general state space. Assuming only that the Markov chain is geometrically ergodic and that the functional F is bounded, the…
Poisson's equation is fundamental to the study of Markov chains, and arises in connection with martingale representations and central limit theorems for additive functionals, perturbation theory for stationary distributions, and average…
This paper investigates the Gaussian quasi-likelihood estimation of an exponentially ergodic multidimensional Markov process, which is expressed as a solution to a L\'{e}vy driven stochastic differential equation whose coefficients are…
These lecture notes are intended to give a modest impulse to anyone willing to start or pursue a journey into the theory of Vertex Algebras by reading one of Kac's or Lepowsky-Li's books. Therefore, the primary goal is to provide required…
Machine learning techniques not only offer efficient tools for modelling dynamical systems from data, but can also be employed as frontline investigative instruments for the underlying physics. Nontrivial information about the original…
This paper presents a comprehensive review of stochastic processes, with a particular focus on Markov chains and jump processes. The main results related to queuing systems are analyzed. Additionally, conditions that ensure the stability,…
Quasistatics is introduced so that it fits smoothly into the standard textbook presentation of electrodynamics. The usual path from statics to general electrodynamics is rather short and surprisingly simple. A closer look reveals however…
A hidden Markov process is a well known concept in information theory and is used for a vast range of applications such as speech recognition and error correction. We bridge between two disciplines, experimental physics and advanced…
We consider the fully-coupled McKean-Vlasov equation with multi-time-scale potentials, and all the coefficients depend on the distributions of both the slow component and the fast motion. By studying the smoothness of the solution of the…
Diffusive approximations of Markov jump processes often fail to accurately capture large fluctuations. This is confounding, as the rare events triggered by these large fluctuations, such as the failure of electronic memories, are often the…
This document contains the notes of a lecture I gave at the "Journ\'ees Nationales du Calcul Formel" (JNCF) on January 2017. The aim of the lecture was to discuss low-level algorithmics for p-adic numbers. It is divided into two main parts:…
Let $X:=(X_t)_{t\geq 0}$ be an ergodic Markov process on $\real^d$, and $p>0$. We derive upper bounds of the $p$-Wasserstein distance between the invariant measure and the empirical measures of the Markov process $X$. For this we assume,…
We consider adaptive maximum-likelihood-type estimators and adaptive Bayes-type ones for discretely observed ergodic diffusion processes with observation noise whose variance is constant. The quasi-likelihood functions for the diffusion and…
Generalization of the Lorden's inequality is an excellent tool for obtaining strong upper bounds for the convergence rate for various complicated stochastic models. This paper demonstrates a method for obtaining such bounds for some…
We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrained control problems we mean that controlling is allowed only…
In a recent paper `The equi-energy sampler with applications statistical inference and statistical mechanics' [Ann. Stat. 34 (2006) 1581--1619], Kou, Zhou & Wong have presented a new stochastic simulation method called the equi-energy (EE)…