Related papers: A temporal factorization at the maximum for spectr…

For any two-sided jumping $\alpha$-stable process, where $1 < \alpha < 2$, we find an explicit identity for the law of the first hitting time of the origin. This complements existing work in the symmetric case and the spectrally one-sided…

A continuous-time Markov process $X$ can be conditioned to be in a given state at a fixed time $T > 0$ using Doob's $h$-transform. This transform requires the typically intractable transition density of $X$. The effect of the $h$-transform…

In this article almost semi-continuous processes with stationary independent increments on a finite irreducible Markov chain are considered. For these processes the components of matrix factorization identity are concretely defined. On the…

We consider Markov processes in continuous time with state space $\posint^N$ and provide two sufficient conditions and one necessary condition for the existence of moments $E(\|X(t)\|^r)$ of all orders $r \in \nat$ for all $t \geq 0$. The…

The optimal zero delay coding of a finite state Markov source is considered. The existence and structure of optimal codes are studied using a stochastic control formulation. Prior results in the literature established the optimality of…

In the classical domain, it is well-known that divisibility does not imply that a stochastic process is Markovian. However, for quantum processes, divisibility is often considered to be synonymous with Markovianity. We show that completely…

The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…

Relying on the reverse-time space-time harmonic property of the ratio of two solutions of the Fokker-Plank equation, we establish an explicit formula for derivative of the \emph{varentropy} for a Markov diffusion process. The formula…

We have shown recently that a Markov process conditioned on rare events involving time-integrated random variables can be described in the long-time limit by an effective Markov process, called the driven process, which is given…

In this paper, we first give a necessary and sufficient condition for a factor code with an unambiguous symbol to admit a subshift of finite type restricted to which it is one-to-one and onto. We then give a necessary and sufficient…

Let $M$ and $\tau$ be the supremum and its time of a L\'evy process $X$ on some finite time interval. It is shown that zooming in on $X$ at its supremum, that is, considering $((X_{\tau+t\varepsilon}-M)/a_\varepsilon)_{t\in\mathbb R}$ as…

We consider a continuous-time simple symmetric random walk on the integer lattice $\mathbb{Z}^d$ in dimension $d \geq 3$, subject to a random potential given by a field of two-sided Wiener processes. In the high-temperature regime, we prove…

This paper aims to establish a central limit theorem for Markov processes conditioned not to be absorbed under a very general assumption on quasi-stationarity for the underlying process. To do so, a central limit theorem has been…

We propose a new approach to study the existence and non-existence of maximizers for the variational problems associated with Sobolev type inequalities both in the subcritical case and critical case under the equivalent constraints. The…

The strong maximum principle is a remarkable characterization of parabolic equations, which is expected to be partly inherited by fractional diffusion equations. Based on the corresponding weak maximum principle, in this paper we establish…

We investigate the connection between conditional local limit theorems and the local time of integer-valued stationary processes. We show that a conditional local limit theorem (at 0) implies the convergence of local times to Mittag-Leffler…

We study the optimization of the expected long-term reward in finite partially observable Markov decision processes over the set of stationary stochastic policies. In the case of deterministic observations, also known as state aggregation,…

For spectrally negative L\'evy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process. In particular, we find…

This paper is devoted to studying the average optimality in continuous-time Markov decision processes with fairly general state and action spaces. The criterion to be maximized is expected average rewards. The transition rates of underlying…

We consider the problem of computing the value and an optimal strategy for minimizing the expected termination time in one-counter Markov decision processes. Since the value may be irrational and an optimal strategy may be rather…