Related papers: Variational formulas for the exit time of Hunt pro…

For a semigroup $P_t$ generated by an elliptic operator on a smooth manifold $M$, we use straightforward martingale arguments to derive probabilistic formulae for $P_t(V(f))$, not involving derivatives of $f$, where $V$ is a vector field on…

In this paper, we study the existence and uniqueness of solutions for general fractional-time parabolic equations of mixture type, and their probabilistic representations in terms of the corresponding inverse subordinators with or without…

The distribution of exit times is computed for a Brownian particle in spherically symmetric two- dimensional domains (disks, angular sectors, annuli) and in rectangles that contain an exit on their boundary. The governing partial…

For an arbitrary L\'evy process $X$ which is not a compound Poisson process, we are interested in its occupation times. We use a quite novel and useful approach to derive formulas for the Laplace transform of the joint distribution of $X$…

The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an…

We propose moment-based variational inference as a flexible framework for approximate smoothing of latent Markov jump processes. The main ingredient of our approach is to partition the set of all transitions of the latent process into…

For refracted spectrally negative L\'evy processes, we identify expressions of several quantities related to Laplace transforms on their weighted occupation times until first exit times. Such quantities are expressed in terms of unique…

Fractional generalization of an exterior derivative for calculus of variations is defined. The Hamilton and Lagrange approaches are considered. Fractional Hamilton and Euler-Lagrange equations are derived. Fractional equations of motion are…

In this paper we discuss weak convergence of continuous-time Markov chains to a non-symmetric pure jump process. We approach this problem using Dirichlet forms as well as semimartingales. As an application, we discuss how to approximate a…

We discuss a recently proposed variational principle for deriving the variational equations associated to any Lagrangian system. The principle gives simultaneously the Lagrange and the variational equations of the system. We define a new…

By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it does not. Particular attention is paid to…

The paper begins with a novel variational formulation of Duffing equation using the extended framework of Hamilton's principle (EHP). This formulation properly accounts for initial conditions, and it recovers all the governing differential…

The asymptotic variance is an important criterion to evaluate the performance of Markov chains, especially for the central limit theorems. We give the variational formulas for the asymptotic variance of discrete-time (non-reversible) Markov…

We establish a formula for moments of certain random variables involving positive continuous additive functionals (PCAFs) of standard processes which have absolutely continuous transition functions and are in duality with standard processes…

We proved the explicit formulas in Laplace transform of the hitting times for the birth and death processes on a denumerable state space with $\ift$ the exit or entrance boundary. This extends the well known Keilson's theorem from finite…

Let $\{D(s), s \geq 0 \}$ be a L\'evy subordinator, that is, a non-decreasing process with stationary and independent increments and suppose that $D(0) = 0$. We study the first-hitting time of the process $D$, namely, the process $E(t) =…

We consider a Lindley process with Laplace distributed space increments. We obtain closed form recursive expressions for the density function of the position of the process and for its first exit time distribution from the domain $[0,h]$.…

In this work, we derive a new sharp asymptotic equivalent in the small temperature regime $h\to 0$ for the mean exit time from a bounded domain for the non-reversible process $dX\_t=b(X\_t)dt + \sqrt h \, dB\_t$ under a generic orthogonal…

We consider a class of non-homogeneous Markov chains, that contains many natural examples. Next, using martingale methods, we establish some deviation and moment inequalities for separately Lipschitz functions of such a chain, under moment…

We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…