Related papers: A recursive representation for decoupling time-sta…
Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
Distributional identities for a L\'evy process $X_t$, its quadratic variation process $V_t$ and its maximal jump processes, are derived, and used to make "small time" (as $t\downarrow0$) asymptotic comparisons between them. The…
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random…
In this article, we consider a receding horizon control of discrete-time state-dependent jump linear systems, particular kind of stochastic switching systems, subject to possibly unbounded random disturbances and probabilistic state…
For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…
We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach, we derive formulas for the Laplace transform of its…
We define a new variant of exclusion processes in discrete time that has jump probabilities that depend on the last jump performed. In a particular limit for the jump probabilities and in suitable scaling limits for space and time, we…
The use of stochastic models, in effect piecewise deterministic Markov processes (PDMP), has become increasingly popular especially for the modeling of chemical reactions and cell biophysics. Yet, exact simulation methods, for the…
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…
We present a novel reformulation of nonsmooth differential equations with state jumps which enables their easier simulation and use in optimal control problems without the need of using integer variables. The main idea is to introduce an…
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…
A jumping process, defined in terms of jump size distribution and waiting time distribution, is presented. The jumping rate depends on the process value. The process, which is Markovian and stationary, relaxes to an equilibrium and is…
Diffusive approximations of Markov jump processes often fail to accurately capture large fluctuations. This is confounding, as the rare events triggered by these large fluctuations, such as the failure of electronic memories, are often the…
We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictive condition on the jump measure. We give Laplace transforms…
We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
In this paper, we consider an age-structured jump model that arises as a description of continuous time random walks with infinite mean waiting time between jumps. We prove that under a suitable rescaling, this equation converges in the…
We consider the stochastic ranking process with space-time dependent jump rates for the particles. The process is a simplified model of the time evolution of the rankings such as sales ranks at online bookstores. We prove that the joint…
The study of time-inhomogeneous Markov jump processes is a traditional topic within probability theory that has recently attracted substantial attention in various applications. However, their flexibility also incurs a substantial…