Related papers: Mean residual life processes and associated submar…
Consider additive functionals of a Markov chain $W_k$, with stationary (marginal) distribution and transition function denoted by $\pi$ and $Q$, say $S_n=g(W_1)+...+g(W_n)$, where $g$ is square integrable and has mean 0 with respect to…
Multitask Gaussian processes (MTGP) are the Gaussian process (GP) framework's solution for multioutput regression problems in which the $T$ elements of the regressors cannot be considered conditionally independent given the observations.…
We identify the linear space spanned by the real-valued excessive functions of a Markov process with the set of those functions which are quasimartingales when we compose them with the process. Applications to semi-Dirichlet forms are…
Moment Tensor Potentials (MTPs) are machine-learning interatomic potentials whose basis functions are typically selected using a level-based scheme that is data-agnostic. We introduce a post-training, cost-aware pruning strategy that…
In this paper, we propose a continuous-time primal-dual approach for linearly constrained multiobjective optimization problems. A novel dynamical model, called accelerated multiobjective primal-dual flow, is presented with a second-order…
This work defines two classes of processes, that we term {\it tempered fractional multistable motion} and {\it tempered multifractional stable motion}. They are extensions of fractional multistable motion and multifractional stable motion,…
Structural results impose sufficient conditions on the model parameters of a Markov decision process (MDP) so that the optimal policy is an increasing function of the underlying state. The classical assumptions for MDP structural results…
In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, it turned out that semimartingales should be considered the…
We consider the problem of finding a real valued martingale fitting specified marginal distributions. For this to be possible, the marginals must be increasing in the convex order and have constant mean. We show that, under the extra…
Given a discrete spatial structure $X$, we define continuous-time branching processes that model a population breeding and dying on $X$. These processes are usually called branching random walks. They are characterized by breeding rates…
Monoid actions of trace monoids over finite sets are powerful models of concurrent systems---for instance they encompass the class of 1-safe Petri nets. We characterise Markov measures attached to concurrent systems by finitely many…
The main objective of this paper is to extend Morse-Forman theory to vector-valued functions. This is mostly motivated by the need to develop new tools and methods to compute multiparameter persistence. To generalize the theory, in addition…
This paper is part of a program to understand the parameter spaces of dynamical systems generated by meromorphic functions with finitely many singular values. We give a full description of the parameter space for a specific family based on…
We give a definitive treatment of duality for optimal consumption over the infinite horizon, in a semimartingale incomplete market satisfying no unbounded profit with bounded risk (NUPBR). Rather than base the dual domain on (local)…
We study a branching-process random iterated function system (RIFS) defined by a recursive replacement of leaves by finite subtrees at strictly smaller contraction scales. This construction yields a tree-valued, infinite-depth random…
Given the univariate marginals of a real-valued, continuous-time martingale, (respectively, a family of measures parameterised by $t \in [0,T]$ which is increasing in convex order, or a double continuum of call prices) we construct a family…
In this article we differentiate and characterize the standard two-process serial models and the standard two process parallel models by investigating the behavior of (conditional) distributions of the total completion times and survivals…
We give a bare-hands approach to the martingale representation theorem for integer valued random measures, which allows for a wide class of infinite activity jump processes, as well as all processes with well-ordered jumps.
The purpose of this paper is to introduce, study and analyze a new stochastic order which lies in the framework of the mean residual life and the combination convexity orders. Several preservation properties of the new order under…
In survival or reliability studies, the mean residual life or life expectancy is an important characteristic of the model. Here, we study the limiting behaviour of the mean residual life, and derive an asymptotic expansion which can be used…