Related papers: A note on time-dependent additive functionals
Multivariate max-stable processes are important for both theoretical investigations and various statistical applications motivated by the fact that these are limiting processes, for instance of stationary multivariate regularly varying time…
This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models are commonly employed in empirical macroeconomic research…
We introduce a Modewise Additive Factor Model (MAFM) for matrix-valued time series that captures row-specific and column-specific latent effects through an additive structure, offering greater flexibility than multiplicative frameworks such…
We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by "controlled" Markov noise. In particular, the faster and slower recursions have non-additive controlled Markov noise…
Performance analysis for linear time-invariant (LTI) systems has been closely tied to quadratic Lyapunov functions ever since it was shown that LTI system stability is equivalent to the existence of such a Lyapunov function. Some metrics…
We provide sharp error bounds for the difference between the transition densities of some multidimensional Continuous Time Markov Chains (CTMC) and the fundamental solutions of some fractional in time Partial (Integro) Differential…
In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…
Graphical models express conditional independence relationships among variables. Although methods for vector-valued data are well established, functional data graphical models remain underdeveloped. We introduce a notion of conditional…
This paper is devoted to the study of the dynamics of charged particles in a weakly inhomogeneous dilute gas. More precisely, we consider the existence of unique global in time classical solutions for the Vlasov-MaxwellBoltzmann system and…
We extend the time-dependent variational principle to the setting of dissipative dynamics. This provides a locally optimal (in time) approximation to the dynamics of any Lindblad equation within a given variational manifold of mixed states.…
We introduce multiple hidden Markov models (MHMMs) where an observed multivariate categorical time series depends on an unobservable multivariate Mar- kov chain. MHMMs provide an elegant framework for specifying various independence…
We propose an analytic approach for the steady-state dynamics of Markov processes on locally tree-like graphs. It is based on time-translation invariant probability distributions for edge trajectories, which we encode in terms of infinite…
The recent study by B. De Bruyne, S. N. Majumdar, H. Orland and G. Schehr [arXiv:2110.07573], concerning the conditioning of the Brownian motion and of random walks on global dynamical constraints over a finite time-window $T$, is…
Non-homogeneous renewal processes are not yet well established. One of the tools necessary for studying these processes is the non-homogeneous time convolution. Renewal theory has great relevance in general in economics and in particular in…
Multivariate spatio-temporal data arise more and more frequently in a wide range of applications; however, there are relatively few general statistical methods that can readily use that incorporate spatial, temporal and variable…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
We define martingales on manifolds with time-dependent connection, extending in this way the theory of stochastic processes on manifolds with time-changing geometry initiated by Arnaudon, Coulibaly and Thalmaier (2008). We show that some,…
The stochastic trajectories of molecules in living cells, as well as the dynamics in many other complex systems, often exhibit memory in their path over long periods of time. In addition, these systems can show dynamic heterogeneities due…
The stochastic frontier model with heterogeneous technical efficiency explained by exoge-nous variables is augmented with a spatial-temporal component, a generalization relaxing the panel independence assumption in a panel data. The…
Given a stochastic structure with a filtration $\mathbb{F}$, the class of all random times whose conditional distribution functions are differentiable with respect to some $\mathbb{F}$ adapted non decreasing processes is considered. The…