Related papers: Exit Times for a Discrete Markov Additive Process
The waiting time distribution (WTD) is a common tool for analysing discrete stochastic processes in classical and quantum systems. However, there are many physical examples where the dynamics is continuous and only approximately discrete,…
Consider a Markov process \omega_t at equilibrium and some event C (a subset of the state-space of the process). A natural measure of correlations in the process is the pairwise correlation \Pr[\omega_0,\omega_t \in C] - \Pr[\omega_0 \in…
We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily…
Discrete time linear dynamical systems, including Markov chains, have found many applications including in security settings such as in cybersecurity operations center (CSOC) management and in managing health risks. However, in these two…
This work focuses on time-inhomogeneous Markov chains with two time scales. Our motivations stem from applications in reliability and dependability, queueing networks, financial engineering and manufacturing systems, where two-time-scale…
This paper studies the workload distribution of a finite-capacity queue driven by a spectrally one-sided Markov additive process (MAP). Our main result provides the Laplace-Stieltjes transform of the workload at an exponentially distributed…
We explore the concept of a consistent exchangeable survival process - a joint distribution of survival times in which the risk set evolves as a continuous-time Markov process with homogeneous transition rates. We show a correspondence with…
In this paper we study coupled fully non-local equations, where a linear non-local operator jointly acts on the time and space variables. We establish existence and uniqueness of the solution. A maximum principle is proved and used to…
The design space of discrete-space diffusion or flow generative models are significantly less well-understood than their continuous-space counterparts, with many works focusing only on a simple masked construction. In this work, we aim to…
A fluctuation theory and, in particular, a theory of scale functions is developed for upwards skip-free L\'evy chains, i.e. for right-continuous random walks embedded into continuous time as compound Poisson processes. This is done by…
We present an algorithm that can efficiently compute a broad class of inferences for discrete-time imprecise Markov chains, a generalised type of Markov chains that allows one to take into account partially specified probabilities and other…
We study a discrete-time Markov process on triangular arrays of matrices of size $d\geq 1$, driven by inverse Wishart random matrices. The components of the right edge evolve as multiplicative random walks on positive definite matrices with…
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…
Consider a non-autonomous continuous-time linear system in which the time-dependent matrix determining the dynamics is piecewise constant and takes finitely many values $A_1, \dotsc, A_N$. This paper studies the equality cases between the…
For a positive self-similar Markov process, X, we construct a local time for the random set, $\Theta$, of times where the process reaches its past supremum. Using this local time we describe an exit system for the excursions of X out of its…
A time-dependent finite-state Markov chain that uses doubly stochastic transition matrices, is considered. Entropic quantities that describe the randomness of the probability vectors, and also the randomness of the discrete paths, are…
We obtain an upper escape rate function for a continuous time minimal symmetric Markov chain, defined on a locally finite weighted graph. This upper rate function is given in terms of volume growth with respect to an adapted path metric and…
In this paper, we are devoted to developing matrix-analytic methods for solving Poisson's equation for irreducible and positive recurrent discrete-time Markov chains (DTMCs). Two special solutions, including the deviation matrix D and the…
We describe a simple method that can be used to sample the rare fluctuations of discrete-time Markov chains. We focus on the case of Markov chains with well-defined steady-state measures, and derive expressions for the large-deviation rate…
We analyse an additive-increase and multiplicative-decrease (aka growth-collapse) process that grows linearly in time and that experiences downward jumps at Poisson epochs that are (deterministically) proportional to its present position.…