Related papers: Invariance principles for clocks
Information-theory based variational principles have proven effective at providing scalable uncertainty quantification (i.e. robustness) bounds for quantities of interest in the presence of nonparametric model-form uncertainty. In this…
We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to…
We establish a new Bernstein-type deviation inequality for general (non-reversible) discrete-time Markov chains via an elementary approach. More robust than existing works in the literature, our result only requires the Markov chain to…
We consider continuous-time Markov chains on integers which allow transitions to adjacent states only, with alternating rates. We give explicit formulas for probability generating functions, and also for means, variances and state…
In this short note we consider semi-Markov processes satisfying the condition of direction-time independence (Markov renewal processes). We derive large deviation principles and fluctuation theorems for the empirical current and the…
A variational formula for the asymptotic variance of general Markov processes is obtained. As application, we get a upper bound of the mean exit time of reversible Markov processes, and some comparison theorems between the reversible and…
In this paper we consider switched nonlinear systems under average dwell time switching signals, with an otherwise arbitrary compact index set and with additional constraints in the switchings. We present invariance principles for these…
The theory of ``Markov-up'' processes is being developed. This is a new class of stochastic processes with ``partial'' markovian features; it could also be called ``one-sided Markov''. Such a behavior may be found in the real world and in…
We prove an invariance principle for continuous-time random walks in a dynamically averaging environment on $\mathbb Z$. In the beginning, the conductances may fluctuate substantially, but we assume that as time proceeds, the fluctuations…
We prove the almost sure ('quenched') invariance principle for a random walker on an infinite Bernoulli percolation cluster in $\Z^d$ where $d$ is larger or equal than 2.
We prove the almost sure invariance principle for stationary R^d--valued processes (with dimension-independent very precise error terms), solely under a strong assumption on the characteristic functions of these processes. This assumption…
We extend the Dirichlet principle to non-reversible Markov processes on countable state spaces. We present two variational formulas for the solution of the Poisson equation or, equivalently, for the capacity between two disjoint sets. As an…
This paper studies the stability of sampled and networked control systems with sampling and communication times governed by probabilistic clocks. The clock models have few restrictions, and can be used to model numerous phenomena such as…
We give a necessary and sufficient condition for a homogeneous Markov process taking values in $\R^n$ to enjoy the time-inversion property of degree $\alpha$. The condition sets the shape for the semigroup densities of the process and…
The Strassen's invariance principle for additive functionals of Markov chains with spectral gap in the Wasserstein metric is proved.
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 strong invariance principles for sums of stationary and ergodic processes with nearly optimal bounds. Applications to linear and some nonlinear processes are discussed. Strong laws of large numbers and laws of the iterated…
We give rates of convergence in the strong invariance principle for stationary sequences satisfying some projective criteria. The conditions are expressed in terms of conditional expectations of partial sums of the initial sequence. Our…
We prove an invariance principle (functional central limit theorem) for a vector-valued additive functional of a Markov chain for almost every starting point with respect to an ergodic equilibrium distribution. The hypothesis is a moment…
Continuous clocks, i.e. the clocks that measure time in a continuous manner, are regarded as an essential component of sensing technology. Precision and recurrence time are two basic features of continuous clocks. In this paper, in the…