Related papers: Persistence exponents in Markov chains

Generally the convergence rate in exponential ergodicity $\lambda$ is an upper bound for the convergence rate $\kappa$ in uniform ergodicity for a Markov process, that is $\lambda\geqslant\kappa$. In this paper, we prove that…

We prove that the Lyapunov exponents of random products in a (real or complex) matrix group depends continuously on the matrix coefficients and probability weights. More generally, the Lyapunov exponents of the random product defined by any…

Continuous-time Mallows processes are processes of random permutations of the set $\{1, \ldots, n\}$ whose marginal at time $t$ is the Mallows distribution with parameter $t$. Recently Corsini showed that there exists a unique Markov…

With $\{\xi_i\}_{i\ge 0}$ being a centered stationary Gaussian sequence with non-negative correlation function $\rho(i):=\mathbb{E}[ \xi_0\xi_i]$ and $\{\sigma(i)\}_{i\ge 1}$ a sequence of positive reals, we study the asymptotics of the…

We consider the recurrence and transience problem for a time-homogeneous Markov chain on the real line with transition kernel $p(x,\mathrm{d}y)=f_x(y-x)\,\mathrm{d}y$, where the density functions $f_x(y)$, for large $|y|$, have a power-law…

Inference in hidden Markov model has been challenging in terms of scalability due to dependencies in the observation data. In this paper, we utilize the inherent memory decay in hidden Markov models, such that the forward and backward…

Let $(X,\p_x)$ be a continuous time Markov chain with finite or countable state space $S$ and let $T$ be its first passage time in a subset $D$ of $S$. It is well known that if $\mu$ is a quasi-stationary distribution relatively to $T$,…

In this paper, we establish a version of the central limit theorem for Markov-Feller continuous time processes (with a Polish state space) that are exponentially ergodic in the bounded-Lipschitz distance and enjoy a continuous form of the…

Let $\mathcal{M}(\mathbb{R}^n)$ be the class of functions $p:\mathbb{R}^n\to[1,\infty]$ bounded away from one and infinity and such that the Hardy-Littlewood maximal function is bounded on the variable Lebesgue space…

We revisit here a famous result by Sparre Andersen on persistence probabilities $\mathbf{P}(S_k>0 \;\forall\, 0\leq k\leq n)$ for symmetric random walks $(S_n)_{n\geq 0}$. We give a short proof of this result when considering sums of random…

We study stochastic monotonicity and propagation of order for Markov processes with respect to stochastic integral orders characterized by cones of functions satisfying $\Phi f \geq 0$ for some linear operator $\Phi$. We introduce a new…

The persistence of a stochastic variable is the probability that it does not cross a given level during a fixed time interval. Although persistence is a simple concept to understand, it is in general hard to calculate. Here we consider zero…

In this paper, we establish the law of the iterated logarithm for a wide class of non-stationary, continuous-time Markov processes evolving on Polish spaces. Specifically, our result applies to certain additive functionals of processes…

We consider a Markov chain $\{X_n\}_{n=0}^\8$ on $\R^d$ defined by the stochastic recursion $X_{n}=M_n X_{n-1}+Q_n$, where $(Q_n,M_n)$ are i.i.d. random variables taking values in the affine group $H=\R^d\rtimes {\rm GL}(\R^d)$. Assume that…

The dynamics of interacting structured populations can be modeled by $\frac{dx_i}{dt}= A_i (x)x_i$ where $x_i\in \R^{n_i}$, $x=(x_1,\dots,x_k)$, and $A_i(x)$ are matrices with non-negative off-diagonal entries. These models are permanent if…

Let {X_n,n\geq0} be a Markov chain on a general state space X with transition probability P and stationary probability \pi. Suppose an additive component S_n takes values in the real line R and is adjoined to the chain such that…

This paper investigates the mean stability of a class of discrete-time stochastic switched linear systems using the $L^p$-norm joint spectral radius of the probability distributions governing the switched systems. First we prove a converse…

For near-critical, transient Markov chains on the non-negative integers in the Lamperti regime, where the mean drift at $x$ decays as $1/x$ as $x \to \infty$, we quantify degree of transience via existence of moments for conditional return…

Consider a strong Markov process in continuous time, taking values in some Polish state space. Recently, Douc, Fort and Guillin (2009) introduced verifiable conditions in terms of a supermartingale property implying an explicit control of…

The theory of persistence modules on the commutative ladders $CL_n(\tau)$ provides an extension of persistent homology. However, an efficient algorithm to compute the generalized persistence diagrams is still lacking. In this work, we view…