Related papers: On intertwining relations between Ehrenfest, Yule …
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…
Strong embeddings, that is, couplings between a partial sum process of a sequence of random variables and a Brownian motion, have found numerous applications in probability and statistics. We extend Chatterjee's novel use of Stein's method…
The aim of this paper is to study intertwining relations for Laguerre process with inverse temperature $\beta \ge 1$ and parameter $\alpha >-1$. We introduce a Markov kernel that depends on both $\beta $ and $ \alpha $, and establish new…
Identifying the full entropy production of active particles is a challenging task. We introduce a microscopic, thermodynamically consistent model, which leads to active Ornstein-Uhlenbeck statistics in the continuum limit. Our minimal model…
We study the interplay between Steinberg algebras and partial skew rings: For a partial action of a group in a Hausdorff, locally compact, totally disconnected topological space, we realize the associated partial skew group ring as a…
We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the process corresponding to the inverse stochastic flow are…
A scalar Langevin-type process $X(t)$ that is driven by Ornstein-Uhlenbeck noise $\eta(t)$ is non-Markovian. However, the joint dynamics of $X$ and $\eta$ is described by a Markov process in two dimensions. But even though there exists a…
A group is Markov if it admits a prefix-closed regular language of unique representatives with respect to some generating set, and strongly Markov if it admits such a language of unique minimal-length representatives over every generating…
We study the asymptotic properties, in the weak sense, of regenerative processes and Markov renewal processes. For the latter, we derive both renewal-type results, also concerning the related counting process, and ergodic-type ones,…
Hierarchical autocorrelation in the error term of linear models arises when sampling units are related to each other according to a tree. The residual covariance is parametrized using the tree-distance between sampling units. When…
Around 2000 Kudla presented conjectures about deep relations between arithmetic intersection theory, Eisenstein series and their derivatives, and special values of Rankin L-series. The aim of this text is to work out the details of an old…
We study a class of stationary Markov processes with marginal distributions identifiable by moments such that every conditional moment of degree say $m$ is a polynomial of degree at most $m\;\text{.}\;$ We show that then under some…
L\'evy processes in the sense of Sch\"urmann on the Lie algebra of the Lorentz grouop are studied. It is known that only one of the irreducible unitary representations of the Lorentz group admits a non-trivial one-cocycle. A Sch\"urmann…
We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbeck processes.
In this paper, we establish moment and Bernstein-type inequalities for additive functionals of geometrically ergodic Markov chains. These inequalities extend the corresponding inequalities for independent random variables. Our conditions…
We characterise the nonequilibrium stationary state of a generic multivariate Ornstein-Uhlenbeck process involving $N$ degrees of freedom. The irreversibility of the process is encoded in the antisymmetric part of the Onsager matrix. The…
The purpose of this work is to describe a duality between a fragmentation associated to certain Dirichlet distributions and a natural random coagulation. The dual fragmentation and coalescent chains arising in this setting appear in the…
Studying the subexponential convergence towards equilibrium of a strong Markov process, we exhibit an intermediate Lyapunov condition equivalent to the control of some moment of a hitting time. This provides a link, similar (although more…
If we add a simple rotation term to both the Ornstein-Uhlenbeck semigroup and the definition of the H-derivative, then analogue to the classical Malliavin calculus on the real Wiener space [I. Shigekawa, Stochastic analysis, 2004], we get a…
Let $Y$ be an Ornstein-Uhlenbeck diffusion governed by an ergodic finite state Markov process $X$: $dY_t=-\lambda(X_t)Y_tdt+\sigma(X_t)dB_t$, $Y_0$ given. Under ergodicity condition, we get quantitative estimates for the long time behavior…