Related papers: Semimartingale dynamics and estimation for a semi-…
In this paper we investigate an M/M/$\infty$ queue whose parameters depend on an external random environment that we assume to be a semi-Markovian process with finite state space. For this model we show a recursive formula that allows to…
This paper considers estimating the parameters in a regime-switching stochastic differential equation(SDE) driven by Normal Inverse Gaussian(NIG) noise. The model under consideration incorporates a continuous-time finite state Markov chain…
This article presents several results establishing connections be- tween Markov chains and dynamical systems, from the point of view of open systems in physics. We show how all Markov chains can be understood as the information on one…
Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$…
Consider a Markov chain with finite state space and suppose you wish to change time replacing the integer step index $n$ with a random counting process $N(t)$. What happens to the mixing time of the Markov chain? We present a partial reply…
We make a connection between the continuous time and lazy discrete time Markov chains through the comparison of cutoffs and mixing time in total variation distance. For illustration, we consider finite birth and death chains and provide a…
We compute the stationary distribution of a continuous-time Markov chain which is constructed by gluing together two finite, irreducible Markov chains by identifying a pair of states of one chain with a pair of states of the other and…
The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov chains are often used with this purpose but better models are…
In many applications, for example when computing statistics of fast subsystems in a multiscale setting, we wish to find the stationary distributions of systems of continuous time Markov chains. Here we present a class of models that appears…
Hidden Markov chains are widely applied statistical models of stochastic processes, from fundamental physics and chemistry to finance, health, and artificial intelligence. The hidden Markov processes they generate are notoriously…
This work explores a synchronization-like phenomenon induced by common noise for continuous-time Markov jump processes given by chemical reaction networks. A corresponding random dynamical system is formulated in a two-step procedure, at…
The purpose of this paper is to study the time average behavior of Markov chains with transition probabilities being kernels of completely continuous operators, and therefore to provide a sufficient condition for a class of Markov chains…
We consider almost upper semi-continuous processes defined on a finite Markov chain. The distributions of the functionals associated with the exit from a finite interval are studied. We also consider some modification of these processes.
Motivated by the study of the time evolution of random dynamical systems arising in a vast variety of domains --- ranging from physics to ecology ---, we establish conditions for the occurrence of a non-trivial asymptotic behaviour for…
In this paper, selection of an active sensor subset for tracking a discrete time, finite state Markov chain having an unknown transition probability matrix (TPM) is considered. A total of N sensors are available for making observations of…
We investigate an M/M/1 queue operating in two switching environments, where the switch is governed by a two-state time-homogeneous Markov chain. This model allows to describe a system that is subject to regular operating phases alternating…
For a network of discrete states with a periodically driven Markovian dynamics, we develop an inference scheme for an external observer who has access to some transitions. Based on waiting-time distributions between these transitions, the…
We analyze the dynamics of a spin 1/2 subsystem coupled to a spin chain. We simulate numerically the full quantum many-body system for various sets of parameters and initial states of the chain, and characterize the divisibility of the…
It is known that state-dependent, multi-step Lyapunov bounds lead to greatly simplified verification theorems for stability for large classes of Markov chain models. This is one component of the "fluid model" approach to stability of…
We introduce a unified operator-theoretic framework for analyzing mixing times of finite-state ergodic Markov chains that applies to both reversible and non-reversible dynamics. The central object in our analysis is the projected transition…