Related papers: Exponential ergodicity and convergence for general…
We obtain explicit criteria for both exponential ergodicity and strong ergodicity for one-dimensional time-changed symmetric stable processes with $\alpha\in(1,2)$. Explicit lower bounds for ergodic convergence rates are given.
A generalized Einstein relation is studied for Brownian motion in a tilted potential. The exact form of the diffusion constant of the Brownian motion is compared with the generalized Einstein relation. The generalized Einstein relation is a…
The density distribution function of the integral of the exponential Brownian motion is determined explicitly in the form of a rapidly convergent series.
It is known that in a stationary Brownian queue with both arrival and service processes equal in law to Brownian motion, the departure process is a Brownian motion, that is, Burke's theorem in this context. In this short note we prove…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
In this paper, we introduce a new class of processes which are diffusions with jumps driven by a multivariate nonlinear Hawkes process. Our goal is to study their long-time behavior. In the case of exponential memory kernels for the…
We study the ergodic properties of a class of multidimensional piecewise Ornstein-Uhlenbeck processes with jumps, which contains the limit of the queueing processes arising in multiclass many-server queues with heavy-tailed arrivals and/or…
Consider a reflected jump-diffusion on the positive half-line. Assume it is stochastically ordered. We apply the theory of Lyapunov functions and find explicit estimates for the rate of exponential convergence to the stationary…
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…
The paper investigates uniform convergence of wavelet expansions of Gaussian random processes. The convergence is obtained under simple general conditions on processes and wavelets which can be easily verified. Applications of the developed…
We provide a simple no-go theorem for ergodicity and the generalized Einstein relation for anomalous diffusion processes. The theorem states that either ergodicity in the sense of equal time and ensemble averaged mean squared displacements…
In this paper we revisit the problem of Brownian motion in a tilted periodic potential. We use homogenization theory to derive general formulas for the effective velocity and the effective diffusion tensor that are valid for arbitrary…
We study the long time behavior of an Ornstein-Uhlenbeck process under the influence of a periodic drift. We prove that, under the standard diffusive rescaling, the law of the particle position converges weakly to the law of a Brownian…
The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential…
We extend a generalized integral fluctuation relation in diffusion processes that we obtained previously to the situation with feedback control. The general relation not only covers existing results but also predicts other unnoticed…
Given the increments of a simple symmetric random walk $(X_n)_{n\ge0}$, we characterize all possible ways of recycling these increments into a simple symmetric random walk $(Y_n)_{n\ge0}$ adapted to the filtration of $(X_n)_{n\ge0}$. We…
In this paper, we are interested in conditional McKean-Vlasov jump diffusions, which are also termed as McKean-Vlasov stochastic differential equations with jump idiosyncratic noise and jump common noise. As far as conditional McKean-Vlasov…
Brownian motion is a Gaussian process described by the central limit theorem. However, exponential decays of the positional probability density function $P(X,t)$ of packets of spreading random walkers, were observed in numerous situations…
We develop and implement new probabilistic strategy for proving exponential ergodicity for interacting diffusion processes on unbounded lattice. The concept of the solution used is rather weak as we construct the process in infinite…
We investigate a recombination-drift-diffusion model coupled to Poisson's equation modelling the transport of charge within certain types of semiconductors. In more detail, we study a two-level system for electrons and holes endowed with an…