Related papers: Construction and heat kernel estimates of general …
Let $d \geq 2$, $\alpha \in (0,2)$, and $X$ be the rectilinear $\alpha$-stable process on $\mathbb{R}^d$. We first present a geometric characterization of an open subset $D\subset \mathbb{R}^d$ so that the part process $X^D$ of $X$ in $D$…
We study the non-stationary Feller process with time varying coefficients. We obtain the exact probability distribution exemplified by its characteristic function and cumulants. In some particular cases we exactly invert the distribution…
We construct a four-parameter family of Markov processes on infinite Gelfand-Tsetlin schemes that preserve the class of central (Gibbs) measures. Any process in the family induces a Feller Markov process on the infinite-dimensional boundary…
We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…
To obtain further insight on possible power law generalizations of Boltzmann equilibrium concepts, a stochastic collision model is investigated. We consider the dynamics of a tracer particle of mass $M$, undergoing elastic collisions with…
It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale…
Jamming is a geometric phase transition occurring in dense particle systems in the absence of temperature. We use computer simulations to analyse the effect of thermal fluctuations on several signatures of the transition. We show that…
We construct a non-decreasing pure jump Markov process, whose jump measure heavily depends on the values taken by the process. We determine the singularity spectrum of this process, which turns out to be random and to depend locally on the…
Negative differential mobility is the phenomenon in which the velocity of a particle decreases when the force driving it increases. We study this phenomenon in Markov jump models where a particle moves in the presence of walls that act as…
In this paper, we study purely discontinuous symmetric Markov processes on closed subsets of ${\mathbb R}^d$, $d\ge 1$, with jump kernels of the form $J(x,y)=|x-y|^{-d-\alpha}{\mathcal B}(x,y)$, $\alpha\in (0,2)$, where the function…
The paper studies an improved estimate for the rate of convergence for nonlinear homogeneous discrete-time Markov chains. These processes are nonlinear in terms of the distribution law. Hence, the transition kernels are dependent on the…
Max-stable processes are natural models for spatial extremes because they provide suitable asymptotic approximations to the distribution of maxima of random fields. In the recent past, several parametric families of stationary max-stable…
The stochastic theory of non-relativistic quantum mechanics presented here relies heavily upon the theory of stochastic processes, with its definitions, theorems and specific vocabulary as well. Its main hypothesis states indeed that the…
Standard stochastic Loewner evolution (SLE) is driven by a continuous Brownian motion, which then produces a continuous fractal trace. If jumps are added to the driving function, the trace branches. We consider a generalized SLE driven by a…
We study the local regularity and multifractal nature of the sample paths of jump diffusion processes, which are solutions to a class of stochastic differential equations with jumps. This article extends the recent work of Barral {\it et…
We consider a piecewise-deterministic Markov process governed by a jump intensity function, a rate function that determines the behaviour between jumps, and a stochastic kernel describing the conditional distribution of jump sizes. We study…
Dynamical systems are often subject to forcing or changes in their governing parameters and it is of interest to study how this affects their statistical properties. A prominent real-life example of this class of problems is the…
The Lindblad equation describes the time evolution of a density matrix of a quantum mechanical system. Stationary solutions are obtained by time-averaging the solution, which will in general depend on the initial state. We provide an…
This paper deals a continuous-time state-dependent jump linear system, a particular kind of stochastic switching system. In particular, we consider a situation when the transition rate of the random jump process depends on the state…
Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…