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We construct a pair of related diffusions on a space of interval partitions of the unit interval $[0,1]$ that are stationary with the Poisson-Dirichlet laws with parameters (1/2,0) and (1/2,1/2) respectively. These are two particular cases…
This study explores a Gaussian quasi-likelihood approach for estimating parameters of diffusion processes with Markovian regime switching. Assuming the ergodicity under high-frequency sampling, we will show the asymptotic normality of the…
We present an algorithm that can efficiently compute a broad class of inferences for discrete-time imprecise Markov chains, a generalised type of Markov chains that allows one to take into account partially specified probabilities and other…
We study the large deviations principle for one dimensional, continuous, homogeneous, strong Markov processes that do not necessarily behave locally as a Wiener process. Any strong Markov process $X_{t}$ in $\mathbb{R}$ that is continuous…
Discontinuous transitions into absorbing states require an effective mechanism that prevents the stabilization of low density states. They can be found in different systems, such as lattice models or stochastic differential equations (e.g.…
In the present Short Note an idea is proposed to explain the emergence and the observation of processes in complex media that are driven by fractional non-Markovian master equations. Particle trajectories are assumed to be solely Markovian…
A simple lemma bounds $\mathrm{s.d.}(T)/\mathbb{E} T$ for hitting times $T$ in Markov chains with a certain strong monotonicity property. We show how this lemma may be applied to several increasing set-valued processes. Our main result…
Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and non-defective processes and all possible scenarios we identify the corresponding…
We study analytical properties of the hard exclusive processes amplitudes. We found that QCD factorization for deeply virtual Compton scattering and hard exclusive vector meson production results in the subtracted dispersion relation with…
For any linear system with unreduced dynamics governed by invertible propagators, we derive a closed, time-delayed, linear system for a reduced-dimensional quantity of interest. This method does not target dimensionality reduction: rather,…
The paper presents a generalization of the local limit theorem on the convergence of inhomogeneous Markov chains to the diffusion limit for the case where the corresponding process coefficients satisfy weak regularity conditions and…
Ordinary differential equations obtained as limits of Markov processes appear in many settings. They may arise by scaling large systems, or by averaging rapidly fluctuating systems, or in systems involving multiple time-scales, by a…
The theory of nonlinear diffraction of intensive light beams propagating through photorefractive media is developed. Diffraction occurs on a reflecting wire embedded in the nonlinear medium at relatively small angle with respect to the…
Perturbation theory for Markov chains addresses the question how small differences in the transitions of Markov chains are reflected in differences between their distributions. We prove powerful and flexible bounds on the distance of the…
We determine the asymptotic speed of the first-passage percolation process on some ladder-like graphs (or width-2 stretches) when the times associated with different edges are independent and exponentially distributed but not necessarily…
The basic question in perturbation analysis of Markov chains is: how do small changes in the transition kernels of Markov chains translate to chains in their stationary distributions? Many papers on the subject have shown, roughly, that the…
This work presents a general thermodynamic approach to describe particle diffusion on a lattice, a model used to study transport processes in solids and on surfaces. By treating each lattice site as an open thermodynamic system, the effects…
The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in the case that the value function is assumed to be continuous…
This is a short survey on Nekhoroshev theory, KAM theory, and Arnold's diffusion.
We consider a Markov chain obtained by random iterations of Lipschitz maps $T_i$ chosen with a probability $p_i(x)$ depending on the current position $x$. We assume this system has a property of "contraction on average", that is $\sum_i…