Related papers: Unpredictable solutions of Duffing type equations …
Linear fractional Galton-Watson branching processes in i.i.d.~random environment are, on the quenched level, intimately connected to random difference equations by the evolution of the random parameters of their linear fractional marginals.…
Using results from our companion article [arXiv:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and…
This paper presents precise large deviation estimates for solutions to stochastic fixed point equations of the type V =_d f(V), where f(v) = Av + g(v) for a random function g(v) = o(v) a.s. as v tends to infinity. Specifically, we provide…
The embedding problem for Markov chains is a famous problem in probability theory and only partial results are available up till now. In this paper, we propose a variant of the embedding problem called the reversible embedding problem which…
A periodic perturbation generates a complicated dynamics close to separatrices and saddle points. We construct an asymptotic solution which is close to the separatrix for the unperturbed Duffing's oscillator over a long time. This solution…
We present a numerical method to compute expectations of functionals of a piecewise-deterministic Markov process. We discuss time dependent functionals as well as deterministic time horizon problems. Our approach is based on the…
Time-irreversible stochastic processes are frequently used in natural sciences to explain non-equilibrium phenomena and to design efficient stochastic algorithms. Our main goal in this thesis is to analyse their dynamics by means of large…
Let $S_N$ be the sum of vector-valued functions defined on a finite Markov chain. An analogue of the Bernstein--Hoeffding inequality is derived for the probability of large deviations of $S_N$ and relates the probability to the spectral gap…
The interplay between bifurcations and random switching processes of vector fields is studied. More precisely, we provide a classification of piecewise deterministic Markov processes arising from stochastic switching dynamics near fold,…
It is rigorously proved under certain assumptions that a quasilinear system with discontinuous right-hand side possesses a unique unpredictable solution. The discontinuous perturbation function on the right-hand side is defined by means of…
In 2013, Lu and Ren \cite {luren} considered anticipated backward stochastic differential equations driven by finite state, continuous time Markov chain noise and established the existence and uniqueness of the solutions of these equations…
A stochastic solution is constructed for a fractional generalization of the KPP (Kolmogorov, Petrovskii, Piskunov) equation. The solution uses a fractional generalization of the branching exponential process and propagation processes which…
We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends on some unknown parameter and the…
We introduce a class of Markov chains, that contains the model of stochastic approximation by averaging and non-averaging. Using martingale approximation method, we establish various deviation inequalities for separately Lipschitz functions…
We provide a necessary and sufficient condition for the metastability of a Markov chain, expressed in terms of a property of the solutions of the resolvent equation. As an application of this result, we prove the metastability of…
The distributional properties of a multi-dimensional continuous-state branching process are determined by its cumulant semigroup, which is defined by the backward differential equation. We provide a proof of the assertion of Rhyzhov and…
Given a possibly discontinuous, bounded function $f:\mathbb{R}\mapsto\mathbb{R}$, we consider the set of generalized flows, obtained by assigning a probability measure on the set of Carath\'eodory solutions to the ODE ~$\dot x = f(x)$. The…
In this paper we study various properties of finite stochastic systems or hidden Markov chains as they are alternatively called. We discuss their construction following different approaches and we also derive recursive filtering formulas…
This paper presents an elementary proof of stochastic stability of a discrete-time reversible Markov chain starting from a Foster-Lyapunov drift condition. Besides its relative simplicity, there are two salient features of the proof: (i) it…
We provide sufficient conditions for the existence of invariant probability measures for generic stochastic differential equations with finite time delay. This is achieved by means of the Krylov-Bogoliubov method. Furthermore, we focus on…