Related papers: Two Theorems on Hunt's Hypothesis (H) for Markov P…

We consider a two station cascade system in which waiting or externally arriving customers at station $1$ move to the station $2$ if the queue size of station $1$ including a customer being served is greater than a given threshold level…

This paper provides and extends second-order versions of several fundamental theorems on first-order regularly varying functions such as Karamata's theorem/representation and Tauberian's theorem. Our results are used to establish…

The Hawkes process is a simple point process that has long memory, clustering effect, self-exciting property and is in general non-Markovian. The future evolution of a self-exciting point process is influenced by the timing of the past…

Continuity equations associated to continuous-time Markov processes can be considered as Euclidean Schr\"odinger equations, where the non-hermitian quantum Hamiltonian $\bold{H}={\bold{div}}{\bold J}$ is naturally factorized into the…

Let $(X_t)_{t \geq 0}$ be a continuous time Markov process on some metric space $M,$ leaving invariant a closed subset $M_0 \subset M,$ called the {\em extinction set}. We give general conditions ensuring either "Stochastic persistence"…

An integral criterion for the existence of an invariant measure of an It\^{o} process is developed. This new criterion is based on the probabilistic symbol of the It\^{o} process. In contrast to the standard integral criterion for invariant…

Let $(X_n)_{n\ge 1}$ be a Markov chain on a measurable state space $X$, and let $S_n = \sum_{k=1}^n f(X_k)$ be the associated Markov walk. For $y>0$, denote by $\tau_y$ the first time at which $y+S_n$ becomes non-positive. Assuming that the…

Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…

We derive the explicit form of the rate function for semi-Markov processes. Here, the "random time change trick" plays an essential role. Also, by exploiting the contraction principle of the large deviation theory to the explicit form, we…

The paper discusses the continuous-time Markov Branching Process allowing Immigration. We are considering a critical case for which the second moment of offspring law and the first moment of immigration law are possibly infinite. Assuming…

This article develops a general framework for Laplace duality between positive Markov processes in which the one-dimensional Laplace transform of one process can be represented through that of another. We show that a process admits a…

We present a new technique for proving empirical process invariance principle for stationary processes $(X_n)_{n\geq 0}$. The main novelty of our approach lies in the fact that we only require the central limit theorem and a moment bound…

We consider a pair of correlated processes {Z_n} and {S_n} (two sided), where the former is observable and the later is hidden. The uncertainty in the estimation of Z_n upon its finite past history is H(Z_n|Z_0^{n-1}), and for estimation of…

We consider a time-homogeneous Markov chain $X_n$, $n\ge0$, valued in ${\bf R}$. Suppose that this chain is transient, that is, $X_n$ generates a $\sigma$-finite renewal measure. We prove the key renewal theorem under condition that this…

We study the pointwise perturbations of countable Markov maps with infinitely many inverse branches and establish the following continuity theorem: Let $T_k$ and $T$ be expanding countable Markov maps such that the inverse branches of $T_k$…

Consider the continuous-time Markov Branching Process. In critical case we consider a situation when the generating function of intensity of transformation of particles has the infinite second moment, but its tail regularly varies in sense…

Some scales of spaces of ultra-differentiable functions are introduced, having good stability properties with respect to infinitely many derivatives and compositions. They are well-suited for solving non-linear functional equations by means…

The HRT (Heil-Ramanathan-Topiwala) conjecture asks whether a finite collection of time-frequency shifts of a non-zero square integrable function on $\mathbb{R}$ is linearly independent. This longstanding conjecture remains largely open even…

For 2-variable weighted shifts W_{(\alpha,\beta)}(T_1, T_2) we study the invariance of (joint) k- hyponormality under the action (h,\ell) -> W_{(\alpha,\beta)}^{(h,\ell)}(T_1, T_2):=(T_1^k,T_2^{\ell}) (h,\ell >=1). We show that for every k…

We examine two analytical characterisation of the metastable behavior of a Markov chain. The first one expressed in terms of its transition probabilities, and the second one in terms of its large deviations rate functional. Consider a…