Related papers: Markov-Modulated Affine Processes
An important step in the Markov reward approach to error bounds on stationary performance measures of Markov chains is to bound the bias terms. Affine functions have been successfully used for these bounds for various models, but there are…
We introduce an harmonic analysis for iterated function systems (IFS) (X, mu) which is based on a Markov process on certain paths. The probabilities are determined by a weight function W on X. From W we define a transition operator R_W…
We incorporate discrete and continuous time Markov processes as building blocks into probabilistic graphical models with latent and observed variables. We introduce the automatic Backward Filtering Forward Guiding (BFFG) paradigm (Mider et…
Graphical Markov models combine conditional independence constraints with graphical representations of stepwise data generating processes.The models started to be formulated about 40 years ago and vigorous development is ongoing.…
Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and non-defective processes and all possible scenarios we identify the corresponding…
For quantum systems described by finite matrices, linear and affine maps of matrices are shown to provide equivalent descriptions of evolution of density matrices for a subsystem caused by unitary Hamiltonian evolution in a larger system;…
We introduce the analogue of Dunkl processes in the case of an affine root system of type $\widetilde{\text{A}}_1$. The construction of the affine Dunkl process is achieved by a skew-product decomposition by means of its radial part and a…
In recent work, Chaumont et al. [9] showed that is possible to condition a stable process with index ${\alpha} \in (1,2)$ to avoid the origin. Specifically, they describe a new Markov process which is the Doob h-transform of a stable…
Bayesian inference for Markov processes has become increasingly relevant in recent years. Problems of this type often have intractable likelihoods and prior knowledge about model rate parameters is often poor. Markov Chain Monte Carlo…
We study the structure of quantum Markov Processes from the point of view of product systems and their representations.
We consider the problem of optimally designing a system for repeated use under uncertainty. We develop a modeling framework that integrates design and operational phases, which are represented by a mixed-integer program and discounted-cost…
Universal machine-learned interatomic potentials (U-MLIPs) have demonstrated broad applicability across diverse atomistic systems but often require fine-tuning to achieve task-specific accuracy. While the number of available U-MLIPs and…
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings…
Acyclic directed mixed graphs (ADMGs) are graphs that contain directed ($\rightarrow$) and bidirected ($\leftrightarrow$) edges, subject to the constraint that there are no cycles of directed edges. Such graphs may be used to represent the…
An affine model of computation is defined as a subset of iterated immediate-snapshot runs, capturing a wide variety of shared-memory systems, such as wait-freedom, t-resilience, k-concurrency, and fair shared-memory adversaries. The…
Motivated by de Finetti's optimal dividend problem with capital injections, we study a stochastic control problem for the additive component of a Markov additive process (MAP). In contrast to previous studies, the modulating component is…
Recent developments in data-driven control have revived interest in the behavioral approach to systems theory, where systems are defined as sets of trajectories rather than being described by a specific model or representation. However,…
Continuous piecewise affine (CPA) Lyapunov function synthesis is one method to perform Lyapunov stability analysis for nonlinear systems. This method first generates a mesh over the region of interest in the system's state space and then…
Two complex multi-state systems subject to multiple events are built in an algorithmic and computational way by considering phase-type distributions and Markovian arrival processes with marked arrivals. The internal performance of the…
The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative and caplet and swaption prices can be calculated analytically. In…