Related papers: Positive self-similar Markov processes obtained by…
We study the continuous time limit of a self-exciting negative binomial process and discuss the critical properties of its intensity distribution. In this limit, the process transforms into a marked Hawkes process. The probability mass…
A Markov Additive Process is a bi-variate Markov process $(\xi,J)=\big((\xi_t,J_t),t\geq0\big)$ which should be thought of as a multi-type L\'evy process: the second component $J$ is a Markov chain on a finite space $\{1,\ldots,K\}$, and…
For general, almost surely absorbed Markov processes, we obtain necessary and sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the…
In this paper we study the long term evolution of a continuous time Markov chain formed by two interacting birth-and-death processes. The interaction between the processes is modelled by transition rates which are functions with suitable…
The Lamperti--Kiu transformation for real-valued self-similar Markov processes (rssMp) states that, associated to each rssMp via a space-time transformation, there is a Markov additive process (MAP). In the case that the rssMp is taken to…
In this paper we study a spectrally negative L\'{e}vy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-theoretical approach, for such a reflected process we…
We use point processes theory to describe the asymptotic distribution of all upper order statistics for observations collected at renewal times. As a corollary, we obtain limiting theorems for corresponding extremal processes.
In this paper, we continue our understanding of the stable process from the perspective of the theory of self-similar Markov processes in the spirit of the recent papers of Kyprianou (2016) and Kyprianou et al. (2017). In particular, we…
In this paper, we consider a modified version of a well-known submartingale condition fortheweak convergence of probabilitymeasures, adapted to the semi-Markov case. In this setting, it is convenient to work with an embedded Markov chain…
A positive rate of entropy production at steady state is a distinctive feature of truly non-equilibrium processes. Exact results, while being often limited to simple models, offer a unique opportunity to explore the thermodynamic features…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
Our main aim in this self-contained article is at the same time to detail the relationships between the resurgence and the hyperasymptotic theories, and to demonstrate how these theories can be used for an implicit resurgent function. For…
For a spectrally negative L\'evy process (snLp) $X$, killed according to a rate that is a function $\omega$ of its position, we analyse the exit probability of the one-sided upwards-passage problem. When $\omega$ is strictly positive, this…
We study the concepts of complete positivity, positivity and non-Markovianity in a two-level open quantum system whose dynamics are governed by a time-local quantum master equation. We establish necessary and sufficient conditions on the…
In this short note we consider semi-Markov processes satisfying the condition of direction-time independence (Markov renewal processes). We derive large deviation principles and fluctuation theorems for the empirical current and the…
We consider reversible random walks in random environment obtained from symmetric long--range jump rates on a random point process. We prove almost sure transience and recurrence results under suitable assumptions on the point process and…
Examples of stochastic processes whose state space representations involve functions of an integral type structure $$I_{t}^{(a,b)}:=\int_{0}^{t}b(Y_{s})e^{-\int_{s}^{t}a(Y_{r})dr}ds, \quad t\ge 0$$ are studied under an ergodic…
In this paper, we consider a long-time behavior of stable-like processes. A stable-like process is a Feller process given by the symbol $p(x,\xi)=-i\beta(x)\xi+\gamma(x)|\xi|^{\alpha(x)},$ where $\alpha(x)\in(0,2)$, $\beta(x)\in\R$ and…
It is well known that under some conditions the almost sure survival probability of a multitype branching processes in random environment is positive if the Lyapunov exponent corresponding to the expectation matrices is positive, and zero…
For general absorbed Markov processes $(X_t)_{0\leq t<\tau_{\partial}}$ having a quasi-stationary distribution (QSD) $\pi$ and absorption time $\tau_{\partial}$, we introduce a Dobrushin-type criterion providing for exponential convergence…