Related papers: Markov Infinitely-Divisible Stationary Time-Revers…

We consider a Markov-modulated Brownian motion reflected to stay in a strip [0,B]. The stationary distribution of this process is known to have a simple form under some assumptions. We provide a short probabilistic argument leading to this…

We study some regularity properties in locally stationary Markov models which are fundamental for controlling the bias of nonparametric kernel estimators. In particular, we provide an alternative to the standard notion of derivative process…

We consider the linear programming approach for constrained and unconstrained Markov decision processes (MDPs) under the long-run average cost criterion, where the class of MDPs in our study have Borel state spaces and discrete countable…

We consider the simplest split-merge Markov operator $T$ on the infinite-dimensional simplex $\Sigma_1$ of monotone non-negative sequences with unit sum. For a sequence $x\in\Sigma_1$, it picks a size-biased sample (with replacement) of two…

Noncolliding Brownian motion (Dyson's Brownian motion model with parameter $\beta=2$) and noncolliding Bessel processes are determinantal processes; that is, their space-time correlation functions are represented by determinants. Under a…

We consider a large class of piecewise expanding maps T of [0,1] with a neutral fixed point, and their associated Markov chain Y_i whose transition kernel is the Perron-Frobenius operator of T with respect to the absolutely continuous…

In this paper we develop a very general class of bivariate discrete distributions. The basic idea is very simple. The marginals are obtained by taking the random geometric sum of a baseline distribution function. The proposed class of…

It is proven that the eigenvalue process of Dyson's random matrix process of size two becomes non-Markov if the common coefficient $1/\sqrt{2}$ in the non-diagonal entries is replaced by a different positive number.

We study the asymptotic properties, in the weak sense, of regenerative processes and Markov renewal processes. For the latter, we derive both renewal-type results, also concerning the related counting process, and ergodic-type ones,…

Discrete time random dynamical systems with countably many maps which admit countable Markov partitions on complete metric spaces such that the resulting Markov systems are uniform continuous and contractive are considered. A notion of a…

This note examines the infinite divisibility of density-based transformations of normal random variables. We characterize a class of density-based transformations of normal variables which produces non-infinitely divisible distributions. We…

We introduce a new random graph model motivated by biological questions relating to speciation. This random graph is defined as the stationary distribution of a Markov chain on the space of graphs on $\{1, \ldots, n\}$. The dynamics of this…

Many networking-related settings can be modeled by Markov-modulated infinite-server systems. In such models, the customers' arrival rates and service rates are modulated by a Markovian background process, additionally, there are infinitely…

We analyze families of Markov chains that arise from decomposing tensor products of irreducible representations. This illuminates the Burnside-Brauer Theorem for building irreducible representations, the McKay Correspondence, and Pitman's…

A discrete time branching process where the offspring distribution is generation-dependent, and the number of reproductive individuals is controlled by a random mechanism is considered. This model is a Markov chain but, in general, the…

We consider a Markovian evolution on point processes, the $\Psi$--process, on the unit interval in which points are added according to a rule that depends only on the spacings of the existing point configuration. Having chosen a spacing, a…

We consider the Fleming--Viot particle system associated with a continuous-time Markov chain in a finite space. Assuming irreducibility, it is known that the particle system possesses a unique stationary distribution, under which its…

We present a satisfactory definition of the important class of L\'evy processes indexed by a general collection of sets. We use a new definition for increment stationarity of set-indexed processes to obtain different characterizations of…

New algorithms for construction of asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes with finite phase spaces are presented. These algorithms are based on a special technique of sequential…

Let $X$ be an irreducible symmetric Markov process with the strong Feller property. We assume, in addition, that $X$ is explosive and has a tightness property. We then prove the existence and uniqueness of quasi-stationary distributions of…