Related papers: Diffusion Processes: entropy, Gibbs states and the…
The infinitesimal transition probability operator for a continuous-time discrete-state Markov process, $\mathcal{Q}$, can be decomposed into a symmetric and a skew-symmetric parts. As recently shown for the case of diffusion processes,…
Starting from the Gisin-Percival state diffusion equation for the pure state trajectory of a composite bipartite quantum system and exploiting the purification of a mixed state via its Schmidt decomposition, we write the diffusion equation…
We consider the classical Shiryaev--Roberts martingale diffusion, $(R_t)_{t\ge0}$, restricted to the interval $[0,A]$, where $A>0$ is a preset absorbing boundary. We take yet another look at the well-known phenomenon of quasi-stationarity…
We develop a non-extensive thermodynamic formalism for the one-sided shift on a finite alphabet, inspired by Tsallis' generalization of Boltzmann entropy in statistical physics. We introduce notions of $q$-entropy, $q$-pressure, and…
We specify the conditions when a manifold M embedded in an inner product space E is an invariant manifold of a stochastic differential equation (SDE) on E, linking it with the notion of second-order differential operators on M. When M is…
We consider a countable system of interacting (possibly non-Markovian) stochastic differential equations driven by independent Brownian motions and indexed by the vertices of a locally finite graph $G = (V,E)$. The drift of the process at…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…
We construct self-similar functions and linear operators to deduce a self-similar variant of the Laplacian operator and of the D'Alembertian wave operator. The exigence of self-similarity as a symmetry property requires the introduction of…
We consider a finite state discrete time process X. Without loss of generality the finite state space can be identified with the set of unit vectors {e1, e2, . . . , eN} with ei = (0, . . . , 0, 1, 0, . . . , 0)0 2 RN. For a Markov chain…
We consider inertial manifolds and their approximation for a class of partial differential equations with a nonlocal Laplacian operator $-(-\Delta)^{\frac{\alpha}{2}}$, with $0<\alpha<2$. The nonlocal or fractional Laplacian operator…
Denote by $\bm{\mu}$ the maximal entropy measure for the shift \(\sigma\) acting on $\Omega = \{0, 1\}^\mathbb{N}$, by $\ruelle$ the associated Ruelle operator and by $\koopman = \ruelle^{\dagger}$ the Koopman operator, both acting on…
For an arbitrary diffusion process $X$ with time-homogeneous drift and variance parameters $\mu(x)$ and $\sigma^2(x)$, let $V_\varepsilon$ be $1/\varepsilon$ times the total time $X(t)$ spends in the strip…
Our aim is to unify and extend the large deviation upper and lower bounds for the occupation times of a Markov process with $L_2$ semigroups under minimal conditions on the state space and the process trajectories; for example, no strong…
A Markov process fluctuating away from its typical behavior can be represented in the long-time limit by another Markov process, called the effective or driven process, having the same stationary states as the original process conditioned…
The paper studies Dirichlet forms on the classical Wiener space and the Wiener space over non-compact complete Riemannian manifolds. The diffusion operator is almost everywhere an unbounded operator on the Cameron--Martin space. In…
Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems. The…
We consider additive functionals of Markov processes in continuous time with general (metric) state spaces. We derive concentration bounds for their exponential moments and moments of finite order. Applications include diffusions,…
We construct a Brownian motion on complex partial flag manifolds with blocks of equal size as a matrix-valued diffusion from a Brownian motion on the unitary group. This construction leads to an explicit expression for the characteristic…
In this paper we introduce a wide class of space-fractional and time-fractional semidiscrete Dirac operators of L\'evy-Leblond type on the semidiscrete space-time lattice $h\mathbb{Z}^n\times[0,\infty)$ ($h>0$), resembling to fractional…
We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi, Luchko, Pagnini (2001)): the first equation considered here is obtained by adding an exponential…