Related papers: Explicit and sharp two-sided estimates for the kil…
We derive the first two moments of generic positive stochastic functionals in terms of the one- and two-time probability density functions of the underlying random walk, and we prove ergodicity of observables in stationary random walks.…
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…
The randomized midpoint method, proposed by [SL19], has emerged as an optimal discretization procedure for simulating the continuous time Langevin diffusions. Focusing on the case of strong-convex and smooth potentials, in this paper, we…
Extreme value functionals of stochastic processes are inverse functionals of the first passage time -- a connection that renders their probability distribution functions equivalent. Here, we deepen this link and establish a framework for…
In this paper, we formulate and prove new properties of conditional quantiles given one of the particular sigma-fields. Next, we use them to investigate almost sure asymptotic behavior of central order statistics which arise from strictly…
Brownian yet non-Gaussian phenomenon has recently been observed in many biological and active matter systems. The main idea of explaining this phenomenon is to introduce a random diffusivity for particles moving in inhomogeneous…
Recent rapid advances in single particle tracking and supercomputing techniques resulted in an unprecedented abundance of diffusion data exhibiting complex behaviours, such the presence of power law tails of the msd and memory functions,…
We consider the exit event from a metastable state for the overdamped Langevin dynamics $dX_t = -\nabla f(X_t) dt + \sqrt{h} dB_t$. Using tools from semiclassical analysis, we prove that, starting from the quasi stationary distribution…
We provide a refined explicit estimate of exponential decay rate of underdamped Langevin dynamics in $L^2$ distance, based on a framework developed in [1]. To achieve this, we first prove a Poincar\'{e}-type inequality with Gibbs measure in…
We consider non-conservative positive semigroups and obtain necessary and sufficient conditions for uniform exponential contraction in weighted total variation norm. This ensures the existence of Perron eigenelements and provides…
In non-equilibrium statistical physics models, the invariant measure $\mu$ of the process does not have an explicit density. In particular the adjoint $L^*$ in $L^2(\mu)$ of the generator $L$ is unknown and many classical techniques fail in…
In this paper one presents the extension of the transient analysis of the class of continuous-time birth and death processes defined on non-negative integers with special transitions from and to the origin. From the origin transitions can…
A large class of quantum and statistical field theoretical models, encompassing relevant condensed matter and non-abelian gauge systems, are defined in terms of complex actions. As the ordinary Monte-Carlo methods are useless in dealing…
Inspired by problems in biochemical kinetics, we study statistical properties of an overdamped Langevin process whose friction coefficient depends on the state of a similar, unobserved process. Integrating out the latter, we derive the long…
A formula for the transition density of a Markov process defined by an infinite-dimensional stochastic equation is given in terms of the Ornstein--Uhlenbeck bridge and a useful lower estimate on the density is provided. As a consequence,…
We construct intrinsic on-and off-diagonal upper and lower estimates for the transition probability density of a L\'evy process in small time. By intrinsic we mean that such estimates reflect the structure of the characteristic exponent of…
For a random walk on the integer lattice $\mathbb{Z}$ that is attracted to a strictly stable process with index $\alpha\in (1, 2)$ we obtain the asymptotic form of the transition probability for the walk killed when it hits a finite set.…
We revisit processes generated by iterated random functions driven by a stationary and ergodic sequence. Such a process is called strongly stable if a random initialization exists, for which the process is stationary and ergodic, and for…
For one-dimensional symmetric L\'{e}vy processes, which hit every point with positive probability, we give sharp bounds for the tail function of the first hitting time of B which is either a single point or an interval. The estimates are…
Explicit coupling property and gradient estimates are investigated for the linear evolution equations on Hilbert spaces driven by an additive cylindrical L\'evy process. The results are efficiently applied to establish the exponential…