Related papers: P-adic Markov process and the problem of the first…
General upper bounds on fluctuations of trajectory observables were recently obtained. It turned out that the size of fluctuations of dynamical observable is limited from below and from above. For the moment generating function of general…
It is shown that large deviation statistical quantities of the discrete time, finite state Markov process $P_{n+1}^{(j)}=\sum_{k=1}^NH_{jk}P_n^{(k)}$, where P_n^{(j)} is the probability for the j-state at the time step n and H_{jk} is the…
Previous authors have considered optimal stopping problems driven by the running maximum of a spectrally negative L\'evy process $X$, as well as of a one-dimensional diffusion. Many of the aforementioned results are either implicitly or…
Let $\Delta_1(x;\varphi)$ denote the error term in the classical Rankin-Selberg problem. In this paper, we consider the higher power moments of $\Delta_1(x;\varphi)$ and derive the asymptotic formulas for 3-rd, 4-th and 5-th power moments,…
In this article we study a problem related to the first passage and inverse first passage time problems for Brownian motions originally formulated by Jackson, Kreinin and Zhang (2009). Specifically, define $\tau_X = \inf\{t>0:W_t + X \le…
We analyze certain stationary fields with linear regressions and quadratic conditional variances. This classic probabilistic problem leads somewhat unexpectedly to stationary Markov processes closely tied to non-commutative probability…
In this note, we present few examples of Piecewise Deterministic Markov Processes and their long time behavior. They share two important features: they are related to concrete models (in biology, networks, chemistry,. . .) and they are…
We give a necessary and sufficient condition for a homogeneous Markov process taking values in $\R^n$ to enjoy the time-inversion property of degree $\alpha$. The condition sets the shape for the semigroup densities of the process and…
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…
Weconsider Markov decision processes arising from a Markov model of an underlying natural phenomenon. Such phenomena are usually periodic (e.g. annual) in time, and so the Markov processes modelling them must be time-inhomogeneous, with…
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process…
We use a first-passage time approach to study the statistics of the trapping times induced by persistent motion of active particles colliding with flat boundaries. The angular first-passage time distribution and mean first-passage time is…
We construct a stochastic fluid process with an underlying piecewise deterministic Markov process (PDMP) akin to the one used in the construction of the rational arrival process (RAP), which we call the RAP-modulated fluid process. As…
We investigate the parameter recovery of Markov-switching ordinary differential processes from discrete observations, where the differential equations are nonlinear additive models. This framework has been widely applied in biological…
In this paper, we study the problem of minimizing the first eigenvalue of the $p-$Laplacian plus a potential with weights, when the potential and the weight are allowed to vary in the class of rearrangements of a given fixed potential $V_0$…
In this paper, we discuss the computation of first passage moments of a time-homogeneous semi-Markov process (SMP) with finite state space to certain of its states that possess the property of universal accessibility (UA). A UA state is one…
We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the problem into an auxiliary problem for the ladder height…
In this article we determine the Laplace transforms of the main boundary functionals of the oscillating compound Poisson process. These are the first passage time of the level, the joint distribution of the first exit time from the interval…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
This paper focuses on optimizing probabilities of events of interest defined over general controlled discrete-time Markov processes. It is shown that the optimization over a wide class of $\omega$-regular properties can be reduced to the…