Related papers: P-adic Markov process and the problem of the first…
An efficient and accurate iterative scheme for the computation of the mean first passage times (MFPTs) of ergodic Markov chains has been presented. Firstly, the computation problem of MFPTs is transformed into a set of linear equations. It…
We calculate the first passage time distribution for diffusion through a cylindrical pore with sticky walls. A particle diffusively explores the interior of the pore through a series of binding and unbinding events with the cylinder wall.…
In this paper, we develop and study algorithms for approximately solving the linear algebraic systems: $\mathcal{A}_h^\alpha u_h = f_h$, $ 0< \alpha <1$, for $u_h, f_h \in V_h$ with $V_h$ a finite element approximation space. Such problems…
Filtration, flow in narrow channels and traffic flow are examples of processes subject to blocking when the channel conveying the particles becomes too crowded. If the blockage is temporary, which means that after a finite time the channel…
The generalized-$\alpha$ time-marching method provides second-order accuracy in time and controls the numerical dissipation in the high-frequency region of the discrete spectrum. This method includes a wide range of time integrators. We…
We consider the decreasing and the increasing $r$-excessive functions $\varphi_r$ and $\psi_r$ that are associated with a one-dimensional conservative regular continuous strong Markov process $X$ with values in an interval with endpoints…
An efficient Krylov subspace algorithm for computing actions of the $\varphi$ matrix function for large matrices is proposed. This matrix function is widely used in exponential time integration, Markov chains and network analysis and many…
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…
We construct a Hunt process that can be described as an isotropic $\alpha$-stable L\'evy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes.…
For an infinite system of particles arriving in and departing from a habitat $X$ -- a locally compact Polish space with a positive Radon measure $\chi$ -- a Markov process is constructed in an explicit way. Along with its location $x\in X$,…
Let $\mathcal{X}$ be a p-adic Hilbert space. Let $A:\mathcal{D}(A)\subseteq \mathcal{X}\to \mathcal{X}$ and $B: \mathcal{D}(B)\subseteq \mathcal{X}\to \mathcal{X}$ be possibly unbounded self-adjoint linear operators. For $x \in…
We investigate the first-passage properties of nearest-neighbor hopping on a finite interval with disordered hopping rates. We develop an approach that relies on the backward equation, in conjunction with probability generating functions,…
The work treats systems combining slow and fast motions depending on each other where fast motions are perturbations of families of either dynamical systems or Markov processes with freezed slow variable. In the first case we consider…
In this paper, we study Markov-dependent reflected autoregressive processes, and other related models the analysis of which results in a vector-valued fixed-point functional equation of a certain type. In queueing terms, such processes…
We present a numerical method to compute expectations of functionals of a piecewise-deterministic Markov process. We discuss time dependent functionals as well as deterministic time horizon problems. Our approach is based on the…
We consider the problem of computing optimal policies in average-reward Markov decision processes. This classical problem can be formulated as a linear program directly amenable to saddle-point optimization methods, albeit with a number of…
This work is concerned with the derivation of an a posteriori error estimator for Galerkin approximations to nonlinear initial value problems with an emphasis on finite-time existence in the context of blow-up. The stucture of the derived…
This work provides a novel convergence analysis for stochastic optimization in terms of stopping times, addressing the practical reality that algorithms are often terminated adaptively based on observed progress. Unlike prior approaches,…
We study the statistics of first passage times (FPTs) of trajectory observables in both classical and quantum Markov processes. We consider specifically the FPTs of counting observables, that is, the times to reach a certain threshold of a…
Motivated by entropic optimal transport, time reversal of Markov jump processes in $\mathbb{R}^n$ is investigated. Relying on an abstract integration by parts formula for the carr\'e du champ of a Markov process recently obtained by…