Related papers: Stochastic Duality and Orthogonal Polynomials
This paper is a continuation of our previous research on quadratic harnesses, that is, processes with linear regressions and quadratic conditional variances. Our main result is a construction of a Markov process from given orthogonal and…
A new class of distributional transformations is introduced, characterized by equations relating function weighted expectations of test functions on a given distribution to expectations of the transformed distribution on the test function's…
A new method of composition orthogonality is introduced. It is applied to generate new sequences of orthogonal polynomials and functions. In particular, classical orthogonal polynomials are interpreted in the sense of composition…
We study a class of stationary Markov processes with marginal distributions identifiable by moments such that every conditional moment of degree say $m$ is a polynomial of degree at most $m\;\text{.}\;$ We show that then under some…
The theory of ``Markov-up'' processes is being developed. This is a new class of stochastic processes with ``partial'' markovian features; it could also be called ``one-sided Markov''. Such a behavior may be found in the real world and in…
The theory of monotonicity and duality is developed for general one-dimensional Feller processes. Moreover it is shown that local monotonicity conditions (conditions on the L\'evy kernel) are sufficient to prove the well-posedness of the…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
We obtain an asymptotic H\"older estimate for expectations of a quite general class of discrete stochastic processes. Such expectations can also be described as solutions to a dynamic programming principle or as solutions to discretized…
We use orthogonality measures of Askey--Wilson polynomials to construct Markov processes with linear regressions and quadratic conditional variances. Askey--Wilson polynomials are orthogonal martingale polynomials for these processes.
We are studying here the classical operator creating secondary polynomials associated with an orthogonal system for a continuous probability density function on a real interval. We know it is possible with the coupling of Stietjes…
We study fluctuation fields of orthogonal polynomials in the context of particle systems with duality. We thereby obtain a systematic orthogonal decomposition of the fluctuation fields of local functions, where the order of every term can…
The statistical distribution of eigenvalues of pairs of coupled random matrices can be expressed in terms of integral kernels having a generalized Christoffel--Darboux form constructed from sequences of biorthogonal polynomials. For…
In this paper we introduce a model which provides a new approach to the phenomenon of stochastic resonance. It is based on the study of the properties of the stationary distribution of the underlying stochastic process. We derive the…
Multivariate orthogonal polynomials can be introduced by using a moment functional defined on the linear space of polynomials in several variables with real coefficients. We study the so-called Uvarov and Christoffel modifications obtained…
Stochastic processes are proposed whose master equations coincide with classical wave, telegraph, and Klein-Gordon equations. Similar to predecessors based on the Goldstein-Kac telegraph process, the model describes the motion of particles…
Predicting the evolution of a large system of units using its structure of interaction is a fundamental problem in complex system theory. And so is the problem of reconstructing the structure of interaction from temporal observations. Here,…
We present an application of the theory of stochastic processes to model and categorize non-equilibrium physical phenomena. The concepts of uniformly continuous probability measures and modular evolution lead to a systematic hierarchical…
In the article random functions in modules over the octonion algebra and Cayley-Dickson algebras are investigated. For their study transition measures with values in the octonion algebra and Cayley-Dickson algebras are used. Stochastic…
Comparison results are given for time-inhomogeneous Markov processes with respect to function classes induced stochastic orderings. The main result states comparison of two processes, provided that the comparability of their infinitesimal…
Random processes with stationary increments and intrinsic random processes are two concepts commonly used to deal with non-stationary random processes. They are broader classes than stationary random processes and conceptually closely…