Related papers: Exponential functionals of Markov additive process…
A maximal inequality is an inequality which involves the (absolute) supremum $\sup_{s\leq t}|X_{s}|$ or the running maximum $\sup_{s\leq t}X_{s}$ of a stochastic process $(X_t)_{t\geq 0}$. We discuss maximal inequalities for several classes…
The multiplicative coalescent is a mean-field Markov process in which any pair of blocks coalesces at rate proportional to the product of their masses. In Aldous and Limic (1998) each extreme eternal version of the multiplicative coalescent…
Under continuity and recurrence assumptions, we prove that the iteration of successive partial symmetrizations that form a time-homogeneous Markov process, converges to a symmetrization. We cover several settings, including the…
We develop a general method for extending Markov processes to a larger state space such that the added points form a polar set. The so obtained extension is an improvement on the standard trivial extension in which case the process is made…
We establish verifiable general sufficient conditions for exponential or subexponential ergodicity of Markov processes that may lack the strong Feller property. We apply the obtained results to show exponential ergodicity of a variety of…
We give an intrinsic estimate of the number of connected components of the complementary set to the amoeba of an exponential sum with real spectrum improving the result of Forsberg, Passare and Tsikh in the polynomial case and that of…
The Law of the Iterated Logarithm for some Markov operators, which converge exponentially to the invariant measure, is established. The operators correspond to iterated function systems which, for example, may be used to generalize the cell…
We develop a quasi-likelihood analysis procedure for a general class of multivariate marked point processes. As a by-product of the general method, we establish under stability and ergodicity conditions the local asymptotic normality of the…
General birth-and-death as well as hopping stochastic dynamics of infinite particle systems in the continuum are considered. We derive corresponding evolution equations for correlation functions and generating functionals. General…
In this paper, we establish a version of the central limit theorem for Markov-Feller continuous time processes (with a Polish state space) that are exponentially ergodic in the bounded-Lipschitz distance and enjoy a continuous form of the…
We consider the Markov chain approximations for singular stable-like processes. First we obtain properties of some Markov chains. Then we construct the approximating Markov chains and give a necessary condition for weak convergence of these…
Markov categories have recently turned out to be a powerful high-level framework for probability and statistics. They accommodate purely categorical definitions of notions like conditional probability and almost sure equality, as well as…
Piecewise Deterministic Markov Processes (PDMPs) are studied in a general framework. First, different constructions are proven to be equivalent. Second, we introduce a coupling between two PDMPs following the same differential flow which…
We adapt ideas of Phong, Stein and Sturm and ideas of Ikromov and M\"uller from the continuous setting to various discrete settings, obtaining sharp bounds for exponential sums and the number of solutions to polynomial congruences for…
We study Markov processes associated with stochastic differential equations, whose non-linearities are gradients of convex functionals. We prove a general result of existence of such Markov processes and a priori estimates on the transition…
The Markov-Bernstein type inequalities between the norms of functions and of their derivatives are analysed for complex exponential polynomials. We establish a relation between the sharp constants in those inequalities and the stability…
There are given sufficient conditions under which mixtures of dilations of L\'evy spectral measures, on a Hilbert space, are L\'evy measures again. We introduce some random integrals with respect to infinite dimensional L\'evy processes,…
Markov-modulated L\'evy processes with two different regimes of restarting are studied. These regimes correspond to the completely renewed process and to the process of Markov modulation, accompanied by jumps. We give explicit expressions…
In this paper, we give an elementary proof of the additivity of the functional inverses of the resolvents of large $N$ random matrices, using recently developed matrix model techniques. This proof also gives a very natural generalization of…
Exponential integrability properties of numerical approximations are a key tool for establishing positive rates of strong and numerically weak convergence for a large class of nonlinear stochastic differential equations. It turns out that…