Related papers: Classification of Stationary distributions for the…

In this paper we improve some existing results concerning the approximation of the distribution of extremes of a 1-dependent and stationary sequence of random variables. We enlarge the range of applicability and improve the approximation…

We study the stochastic six-vertex model on a strip $$\left\{(x,y)\in\mathbb{Z}^2: 0\leq y\leq x\leq y+N\right\}$$ with two open boundaries. We develop a `matrix product ansatz' method to solve for its stationary measure, based on the…

This work studies the tail exponents for the height function of the stationary stochastic six vertex model in the moderate deviations regime. For the upper tail of the height function we find upper and lower bounds of matching order, with a…

In this paper we consider the Higher Spin Six Vertex Model on the lattice $\mathbb{Z}_{\geq 2} \times \mathbb{Z}_{\geq 1}$. We first identify a family of translation invariant measures and subsequently we study the one point distribution of…

Applications of stochastic models often involve the evaluation of steady-state performance, which requires solving a set of balance equations. In most cases of interest, the number of equations is infinite or even uncountable. As a result,…

We consider the problem of approximating the stationary distribution of an ergodic Markov chain given a set of sampled transitions. Classical simulation-based approaches assume access to the underlying process so that trajectories of…

We introduce a higher spin vertex model on a strip with fused vertex weights. This model can be regarded as a generalization of both the unfused six-vertex model on a strip [Yan22] and an 'integrable two-step Floquet dynamics' model…

In the paper, stationary measures of stochastic differential equations with jumps are considered. Under some general conditions, existence of stationary measures is proved through Markov measures and Lyapunov functions. Moreover, for two…

For the stochastic six-vertex model on the quadrant $\mathbb{Z}_{\geq0}\times\mathbb{Z}_{\geq0}$ with step initial conditions and a single second-class particle at the origin, we show almost sure convergence of the speed of the second-class…

The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method is studied. When the parameter theta takes different values, the requirements on the drift and diffusion…

Markov chains are fundamental models for stochastic dynamics, with applications in a wide range of areas such as population dynamics, queueing systems, reinforcement learning, and Monte Carlo methods. Estimating the transition matrix and…

We derive the stationary distribution in various regimes of the extended Chiarella model of financial markets. This model is a stochastic nonlinear dynamical system that encompasses dynamical competition between a (saturating) trending and…

Stochastic volatility (SV) models mimic many of the stylized facts attributed to time series of asset returns, while maintaining conceptual simplicity. The commonly made assumption of conditionally normally distributed or…

Due to the existence of multiple stationary distributions, we study the stability and instability of a stationary distribution for distribution dependent stochastic differential equations. This note is devoted to the instability of a…

We consider a dynamic version of the stochastic block model, in which the nodes are partitioned into latent classes and the connection between two nodes is drawn from a Bernoulli distribution depending on the classes of these two nodes. The…

We study sums of independent and identically distributed random velocities in special relativity. We show that the resulting one-dimensional velocity distributions are not only stable under relativistic velocity addition but define a…

We study continuous-time Markov chains on the non-negative integers under mild regularity conditions (in particular, the set of jump vectors is finite and both forward and backward jumps are possible). Based on the so-called flux balance…

We study the dynamics of the Stochastic Sandpile Model on finite graphs, with two main results. First, we describe a procedure to exactly sample from the stationary distribution of the model in all connected finite graphs, extending a…

In this paper we consider the stochastic six-vertex model on a cylinder with arbitrary initial data. First, we show that it exhibits a limit shape in the thermodynamic limit, whose density profile is given by the entropy solution to an…

We find various exact solutions for a new stochastic volatility (SV) model: the transition probability density, European-style option values, and (when it exists) the martingale defect. This may represent the first example of an SV model…