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We consider the almost semi-continuous processes defined on a finite Markov chain. The representation of the moment generating functions for the absolute maximum after achievement positive level and for the recovery time are obtained.…
We prove regenerative properties for the linear Hawkes process under minimal assumptions on the transfer function, which may have unbounded support. These results are applicable to sliding window statistical estimators. We exploit…
We consider the behavior of spatial point processes when subjected to a class of linear transformations indexed by a variable T. It was shown in Ellis [Adv. in Appl. Probab. 18 (1986) 646-659] that, under mild assumptions, the transformed…
We consider a particle system with weights and the scaling limits derived from its occupation time. We let the particles perform independent recurrent L\'evy motions and we assume that their initial positions and weights are given by a…
In some particular cases we give criteria for morphic sequences to be almost periodic (=uniformly recurrent). Namely, we deal with fixed points of non-erasing morphisms and with automatic sequences. In both cases a polynomial-time algorithm…
Consider a time-varying collection of n points on the positive real axis, modeled as exponentials of n Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. If…
New algorithms for construction of asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes with finite phase spaces are presented. These algorithms are based on a special technique of sequential…
Linear fractional Galton-Watson branching processes in i.i.d.~random environment are, on the quenched level, intimately connected to random difference equations by the evolution of the random parameters of their linear fractional marginals.…
We consider the stochastic ranking process with the jump times of the particles determined by Poisson random measures. We prove that the joint empirical distribution of scaled position and intensity measure converges almost surely in the…
Asymptotic expansions with explicit upper bounds for remainders are given for stationary distributions of nonlinearly perturbed semi-Markov processes with finite phase spaces. The corresponding algorithms are based on a special technique of…
This article introduces the class of periodic trawl processes, which are continuous-time, infinitely divisible, stationary stochastic processes, that allow for periodicity and flexible forms of their serial correlation, including both…
This paper focuses on flow-adapted point-shifts of point processes on topological groups, which map points of a point process to other points of the point process in a translation invariant way. Foliations and connected components generated…
In the paper we consider some piecewise deterministic Markov process whose continuous component evolves according to semiflows, which are switched at the jump times of a Poisson process. The associated Markov chain describes the states of…
Obtaining estimates of the convergence rate of the regenerating process $Q(t)$ whose value at time $t$ is equal to the number of claims in the system $ M \backslash G \backslash \infty $ at this moment, to the limit (stationary) regime.
We consider a general honest homogeneous continuous-time Markov process with restarts. The process is forced to restart from a given distribution at time moments generated by an independent Poisson process. The motivation to study such…
After sketching the basic principles of renewal theory we discuss the classical Poisson process and offer two other processes, namely the renewal process of Mittag-Leffler type and the renewal process of Wright type, so named by us because…
We study the long time behaviour of a Markov process evolving in $\mathbb{N}$ and conditioned not to hit 0. Assuming that the process comes back quickly from infinity, we prove that the process admits a unique quasi-stationary distribution…
As a first step toward a characterization of the limiting extremal process of branching Brownian motion, we proved in a recent work [Comm. Pure Appl. Math. 64 (2011) 1647-1676] that, in the limit of large time $t$, extremal particles…
We consider random variables observed at arrival times of a renewal process, which possibly depends on those observations and has regularly varying steps with infinite mean. Due to the dependence and heavy tailed steps, the limiting…
The continuous-time random walk is defined as a Poissonization of discrete-time random walk. We study the noncolliding system of continuous-time simple and symmetric random walks on ${\mathbb{Z}}$. We show that the system is determinantal…