Related papers: Optimal Markovian coupling for finite activity L\'…
We provide a simple algorithm for construction of Brownian paths approximating those of a L\'evy process on a finite time interval. It requires knowledge of the L\'evy process trajectory on a chosen regular grid and the law of its endpoint,…
This paper describes the structure of optimal policies for infinite-state Markov Decision Processes with setwise continuous transition probabilities. The action sets may be noncompact. The objective criteria are either the expected total…
We study a random walk on a point process given by an ordered array of points $(\omega_k, \, k \in \mathbb{Z})$ on the real line. The distances $\omega_{k+1} - \omega_k$ are i.i.d. random variables in the domain of attraction of a…
We define the probability structure of a continuous-time time-homogeneous Markov jump process, on a finite graph, that represents the continuous-time counterpart of the so-called Ruelle-Bowen discrete-time random walk. It constitutes the…
The problem of constructing an optimal co-adapted coupling for a pair of symmetric random walks on $Z_2^d$ was considered by Connor and Jacka (2008), and the existence of a coupling which is stochastically fastest in the class of all such…
Among various rare events, the effective computation of transition paths connecting metastable states in a stochastic model is an important problem. This paper proposes a stochastic optimal control formulation for transition path problems…
This paper studies a large number of homogeneous Markov decision processes where the transition probabilities and costs are coupled in the empirical distribution of states (also called mean-field). The state of each process is not known to…
Pure-jump L\'evy processes are popular classes of stochastic processes which have found many applications in finance, statistics or machine learning. In this paper, we propose a novel family of self-decomposable L\'evy processes where one…
We present a novel idea for a coupling of solutions of stochastic differential equations driven by L\'{e}vy noise, inspired by some results from the optimal transportation theory. Then we use this coupling to obtain exponential…
We present an optimal control approach to the problem of model calibration for L\'evy processes based on a non parametric estimation procedure. The calibration problem is of considerable interest in mathematical finance and beyond.…
Continuous time random walks combining diffusive and ballistic regimes are introduced to describe a class of L\'evy walks on lattices. By including exponentially-distributed waiting times separating the successive jump events of a walker,…
We study the optimal transport problem for pairs of stationary finite-state Markov chains, with an emphasis on the computation of optimal transition couplings. Transition couplings are a constrained family of transport plans that capture…
Consider a finite irreducible Markov chain with invariant probability $\pi$. Define its inverse communication speed as the expectation to go from x to y, when x, y are sampled independently according to $\pi$. In the discrete time setting…
In this paper, we derive comparison results for terminal values of $d$-dimensional special semimartingales and also for finite-dimensional distributions of multivariate L\'{e}vy processes. The comparison is with respect to nondecreasing,…
Classical coupling constructions arrange for copies of the \emph{same} Markov process started at two \emph{different} initial states to become equal as soon as possible. In this paper, we consider an alternative coupling framework in which…
We experimentally and theoretically study the thermodynamically optimal control of interacting multiple-particle systems, focusing on collections of colloidal particles individually confined in optical traps. We investigate protocols that…
L\'evy walks are continuous time random walks with spatio-temporal coupling of jump lengths and waiting times, often used to model superdiffusive spreading processes such as animals searching for food, tracer motion in weakly chaotic…
L\'{e}vy processes with completely monotone jumps appear frequently in various applications of probability. For example, all popular stock price models based on L\'{e}vy processes (such as the Variance Gamma, CGMY/KoBoL and Normal Inverse…
The spectral theory of random walks on networks of arbitrary topology can be readily extended to study random walks and L\'evy flights subject to resetting on these structures. When a discrete-time process is stochastically brought back…
This is a case study concerning the rate at which probabilistic coupling occurs for nilpotent diffusions. We focus on the simplest case of Kolmogorov diffusion (Brownian motion together with its time integral, or, slightly more generally,…