Related papers: A strong Markov process time-changed by an inverse…
A piecewise-deterministic Markov process, specified by random jumps and switching semi-flows, as well as the associated Markov chain given by its post-jump locations, are investigated in this paper. The existence of an exponentially…
Monotone L\'evy processes with additive increments are defined and studied. It is shown that these processes have a natural Markov structure and their Markov transition semigroups are characterized using the monotone L\'evy-Khintchine…
We present a relatively simple and mostly elementary proof of the L\'evy--Khintchine formula for subordinators. The main idea is to study the Poisson process time-changed by the subordinator. The technical tools used are conditional…
In this paper we will take under consideration subordinators and their inverse processes (hitting-times). We will present in general the governing equations of such processes by means of convolution-type integro-differential operators…
In this paper we are looking for quantitative estimates for the convergene to equilibrium of non reversible Markov processes, especialy in short times. The models studied are simple enough to get an explicit expression of the L2 distance…
In this paper, we introduce and study two time-changed variants of the generalized fractional Skellam process. These are obtained by time-changing the generalized fractional Skellam process with an independent L\'evy subordinator with…
We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper is a non-central moderate…
Extensions of Kemeny's constant, as derived for irreducible finite Markov chains in discrete time, to Markov renewal processes and Markov chains in continuous time are discussed. Three alternative Kemeny's functions and their variants are…
In this paper, we extend recent work on the functions that we call Bernstein-gamma to the class of bivariate Bernstein-gamma functions. In the more general bivariate setting, we determine Stirling-type asymptotic bounds which generalise,…
Comparison results for Markov processes w.r.t. function class induced (integral) stochastic orders have a long history. The most general results so far for this problem have been obtained based on the theory of evolution systems on Banach…
We propose a new time quantifiable Monte Carlo (MC) method to simulate the thermally induced magnetization reversal for an isolated single domain particle system. The MC method involves the determination of density of states, and the use of…
For discrete-time stochastic processes, there is a close connection between return/waiting times and entropy. Such a connection cannot be straightforwardly extended to the continuous-time setting. Contrarily to the discrete-time case one…
We study one-dimensional Levy processes with Levy-Khintchine exponent psi(xi^2), where psi is a complete Bernstein function. These processes are subordinate Brownian motions corresponding to subordinators, whose Levy measure has completely…
In this study, a new extension of the Markov Renewal theory is introduced by allowing time to evolve in multiple dimensions. The resulting chains are referred to as multi-time Markov Renewal chains and since this extension is new, the state…
We consider random processes that are history-dependent, in the sense that the distribution of the next step of the process at any time depends upon the entire past history of the process. In general, therefore, the Markov property cannot…
Continuous Time Markov Chains, Hawkes processes and many other interesting processes can be described as solution of stochastic differential equations driven by Poisson measures. Previous works, using the Stein's method, give the…
Reinforced processes are known to provide a stochastic representation for the quasi-stationary distribution of a given killed Markov process - describing the killed Markov process at fixed time instants. In this paper we shall adapt the…
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 consider exchangeable Markov multi-state survival processes -- temporal processes taking values over a state-space$\mathcal{S}$ with at least one absorbing failure state $\flat \in \mathcal{S}$ that satisfy natural invariance properties…
The mean time taken by an irreducible Markov chain on a finite state space to hit a target chosen at random according to the stationary distribution does not depend on the initial state of the chain. This mean time is known as Kemeny's…