Related papers: Solving Poisson's Equation: Existence, Uniqueness,…
We study the joint laws of a continuous, uniformly integrable martingale, its maximum, and its minimum. In particular, we give explicit martingale inequalities which provide upper and lower bounds on the joint exit probabilities of a…
There is studied an infinite system of point entities in $\mathbb{R}^d$ which reproduce themselves and die, also due to competition. The system's states are probability measures on the space of configurations of entities. Their evolution is…
This paper studies the properties of the Multiply Iterated Poisson Process (MIPP), a stochastic process constructed by repeatedly time-changing a Poisson process, and its applications in ruin theory. Like standard Poisson processes, MIPPs…
The integrability (solvability via an associated single-valued linear problem) of a differential equation is closely related to the singularity structure of its solutions. In particular, there is strong evidence that all integrable…
In this paper we prove the Poisson Hypothesis for the limiting behavior of the large queueing systems in some simple ("mean-field") cases. We show in particular that the corresponding dynamical systems, defined by the non-linear Markov…
The purpose of the paper is twofold. Firstly, we want to present a Meta Theorem to show the existence of a martingale solution for coupled systems of non-linear stochastic differential equations. The idea is first to split the system by…
We consider a class of finite Markov moment problems with arbitrary number of positive and negative branches. We show criteria for the existence and uniqueness of solutions, and we characterize in detail the non-unique solution families.…
We generalise the martingale-coboundary representation of discrete time stochastic processes to the non-stationary case and to random variables in Orlicz spaces. Related limit theorems (CLT, invariance principle, log log law, probabilities…
In this paper, we investigate the functional central limit theorem for stochastic processes associated to partial sums of additive functionals of reversible Markov chains with general spate space, under the normalization standard deviation…
We consider the Vlasov--Poisson system both in the repulsive (electrostatic potential) and in the attractive (gravitational potential) cases. In our first main theorem, we prove the uniqueness and the quantitative stability of Lagrangian…
For a stochastic process reset at random times, we discuss to what extent the probabilities of some orderings of observables associated with the intervals of time between resetting events are universal, i.e., independent of the choice of…
In this brief note, we investigate some constructions of Lyapunov functions for stochastic discrete-time stabilizable dynamical systems, in other words, controlled Markov chains. The main question here is whether a Lyapunov function in some…
The convex hull generated by the restriction to the unit ball of a stationary Poisson point process in the $d$-dimensional Euclidean space is considered. By establishing sharp bounds on cumulants, exponential estimates for large deviation…
We develop a central limit theorem (CLT) for a non-parametric estimator of the transition matrices in controlled Markov chains (CMCs) with finite state-action spaces. Our results establish precise conditions on the logging policy under…
The paper is concerned with the equilibrium distributions of continuous-time density dependent Markov processes on the integers. These distributions are known typically to be approximately normal, and the approximation error, as measured in…
Compound Poisson distributions and signed compound Poisson measures are used for approximation of the Markov binomial distribution. The upper and lower bound estimates are obtained for the total variation, local and Wasserstein norms. In a…
The modern theory of the potential does not give a solution of Poisson's equation. In the present work its solution has been found via generalized functions and a nonpotential solution of the continuity equation has been obtained. The…
In this paper we develop a method to compute the solution to a countable (finite or infinite) set of equations that occurs in many different fields including Markov processes that model queueing systems, birth-and-death processes and…
In this paper we answer a question of Kaimanovich by characterizing (jointly) bi-harmonic functions on countable, discrete groups with respect to a symmetric, generating measure. We also study the peripheral Poisson boundary of $L(\G)$ with…
Poisson-Boltzmann (PB) theory is the classic approach to soft matter electrostatics which has been applied to numerous problems of physical chemistry and biophysics. Its essential limitations are the neglect of correlation effects and of…