Related papers: Markov-Modulated Affine Processes
We study a class of Markov processes with finite state space and continuous time that have product form stationary distributions. We obtain a number of examples that can generate conjectures for diffusions with inert drift.
We introduce Functional Diffusion Processes (FDPs), which generalize score-based diffusion models to infinite-dimensional function spaces. FDPs require a new mathematical framework to describe the forward and backward dynamics, and several…
We introduce Markov substitute processes, a new model at the crossroad of statistics and formal grammars, and prove its main property : Markov substitute processes with a given support form an exponential family.
We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat…
Comparison results are given for time-inhomogeneous Markov processes with respect to function classes induced stochastic orderings. The main result states comparison of two processes, provided that the comparability of their infinitesimal…
There is an increasing demand for computing the relevant structures, equilibria and long-timescale kinetics of biomolecular processes, such as protein-drug binding, from high-throughput molecular dynamics simulations. Current methods employ…
Diffusion models have indeed shown great promise in solving inverse problems in image processing. In this paper, we propose a novel, problem-agnostic diffusion model called the maximum a posteriori (MAP)-based guided term estimation method…
In this paper, we consider a class of inhomogeneous semi-Markov processes directly based on intensity processes for marked point processes. We show that this class satisfies the semi-Markov properties defined elsewhere in the literature. We…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
The MAP model was introduced in information system engineering in order to model processes on a flexible way. The intentional level of this model helps an engineer to execute a process with a strong relationship to the situation of the…
For a countable-state Markov decision process we introduce an embedding which produces a finite-state Markov decision process. The finite-state embedded process has the same optimal cost, and moreover, it has the same dynamics as the…
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are neither…
We provide results relating to the integrability, uniform integrability and local integrability of exponential MAPs, which are natural extensions of exponential Levy models. Then, we use Mellin transform and partial integro-differential…
In this paper, we introduce a class of processes that contains many natural examples. The interesting feature of such type processes lays on its infinite memory that allows it to record a quite ancient history. Then, using the martingale…
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…
Comparison results for Markov processes w.r.t. function class induced (integral) stochastic orders have a long history. The most general results so far for this problem have been obtained based on the theory of evolution systems on Banach…
Deep functional maps have emerged in recent years as a prominent learning-based framework for non-rigid shape matching problems. While early methods in this domain only focused on learning in the functional domain, the latest techniques…
We study a time-non-homogeneous Markov process which arose from free probability, and which also appeared in the study of stochastic processes with linear regressions and quadratic conditional variances. Our main result is the explicit…
We introduce a class of models for multidimensional control problems which we call skip-free Markov decision processes on trees. We describe and analyse an algorithm applicable to Markov decision processes of this type that are skip-free in…
In this paper, a class of piecewise deterministic Markov processes with underlying fast dynamic is studied. Using a "penalty method" , an averaging result is obtained when the underlying dynamic is infinitely accelerated. The features of…