Related papers: Affine pure-jump processes on positive Hilbert-Sch…
We study the forward price dynamics in commodity markets realized as a process with values in a Hilbert space of absolutely continuous functions defined by Filipovi\'c. The forward dynamics are defined as the mild solution of a certain…
Fixed-point (FP) lattice actions are classically perfect, i.e., they have continuum classical properties unaffected by discretization effects and are expected to have suppressed lattice artifacts at weak coupling. Therefore they provide a…
The functional linear model extends the notion of linear regression to the case where the response and covariates are iid elements of an infinite dimensional Hilbert space. The unknown to be estimated is a Hilbert-Schmidt operator, whose…
We study a model of an infinite system of point particles in $\mathds{R}^d$ performing random jumps with attraction. The system's states are probability measures on the space of particle configurations, and their evolution is described by…
In the limit epsilon to 0 we analyze the generators H_epsilon of families of reversible jump processes in R^d associated with a class of symmetric non-local Dirichlet-forms and show exponential decay of the eigenfunctions. The exponential…
This paper studies three ways to construct a nonhomogeneous jump Markov process: (i) via a compensator of the random measure of a multivariate point process, (ii) as a minimal solution of the backward Kolmogorov equation, and (iii) as a…
Inspired by a duration-dependent life insurance model, we consider continuous-time semi-Markov jump processes, initially assumed to have a finite state-space. We develop approximations using jump processes that are time-homogeneous Markov,…
We develop an operator-theoretic framework for temporal anchoring in embedding spaces, modeled as drift maps interleaved with event-indexed blocks culminating in affine projections. We provide complete proofs for a variable-block…
We study quadratic functionals on $L^2(\mathbb{R}^d)$ that generate seminorms in the fractional Sobolev space $H^s(\mathbb{R}^d)$ for $0 < s < 1$. The functionals under consideration appear in the study of Markov jump processes and,…
Affine normal directions provide intrinsic affine-invariant descent directions derived from the geometry of level sets. Their practical use, however, has long been hindered by the need to evaluate third-order derivatives and invert tangent…
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…
We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on the interest rate and energy futures markets.…
Training-free diffusion priors enable inverse-problem solvers without retraining, but for nonlinear forward operators data consistency often relies on repeated derivatives or inner optimization/MCMC loops with conservative step sizes,…
In this paper we consider an additive functional of an observable $V(x)$ of a Markov jump process. We assume that the law of the expected jump time $t(x)$ under the invariant probability measure $\pi$ of the skeleton chain belongs to the…
It has been shown by Bertoin and Yor (2002) that the law of positive self-similar Markov processes (pssMps) that only jump downwards and do not hit zero in finite time are uniquely determined by their entire moments for which explicit…
In this paper, we are interested in the exact simulation of a class of Piecewise Deterministic Markov Processes (PDMP). We show how to perform efficient thinning algorithms depending on the jump rate bound. For different types of jump rate…
The problem of existence and uniqueness of absolutely continuous invariant measures for a class of piecewise deterministic Markov processes is investigated using the theory of substochastic semigroups obtained through the Kato--Voigt…
For affine processes on finite-dimensional cones, we give criteria for geometric ergodicity - that is exponentially fast convergence to a unique stationary distribution. Ergodic results include both the existence of exponential moments of…
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…
Modern methods of simulating molecular systems are based on the mathematical theory of Markov operators with a focus on autonomous equilibrated systems. However, non-autonomous physical systems or non-autonomous simulation processes are…