Related papers: H\"ormander properties of discrete time Markov pro…
We address stability of a class of Markovian discrete-time stochastic hybrid systems. This class of systems is characterized by the state-space of the system being partitioned into a safe or target set and its exterior, and the dynamics of…
Diffusion models have achieved huge empirical success in data generation tasks. Recently, some efforts have been made to adapt the framework of diffusion models to discrete state space, providing a more natural approach for modeling…
Markov models are often used to capture the temporal patterns of sequential data for statistical learning applications. While the Hidden Markov modeling-based learning mechanisms are well studied in literature, we analyze a…
Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…
In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic…
This paper contributes to the study of a new and remarkable family of stochastic processes that we will term class $\Sigma^{r}(H)$. This class is potentially interesting because it unifies the study of two known classes: the class…
We are studying stationary random processes with conditional polynomial moments that allow a continuous path modification. Processes with continuous path modification, are important because they are relatively easy to simulate. One does not…
We introduce a Hybrid High-Order (HHO) method for the Schr\"odinger equation in the presence of a magnetic vector potential. In quantum mechanics, physical observables are invariant under continuous gauge transformations, which must be kept…
We consider ergodic backward stochastic differential equations in a discrete time setting, where noise is generated by a finite state Markov chain. We show existence and uniqueness of solutions, along with a comparison theorem. To obtain…
This paper is devoted to proving the strong averaging principle for slow-fast stochastic partial differential equations with locally monotone coefficients, where the slow component is a stochastic partial differential equations with locally…
This paper proves the uniqueness of measure for the two-dimensional Navier-Stokes equations under a random kick-force and a time-dependent deterministic force. By extending a result for uniqueness of measure for time-homogeneous Markov…
We establish global bounds for solutions to stationary and time-dependent Schr\"odinger equations associated with the sublaplacian $\mathcal L$ on the Heisenberg group, as well as its pure fractional power $\mathcal L^s$ and conformally…
We consider the smoothing probabilities of hidden Markov model (HMM). We show that under fairly general conditions for HMM, the exponential forgetting still holds, and the smoothing probabilities can be well approximated with the ones of…
This paper continues the research project launched in [Constr. Approx. (2025) https://doi.org/10.1007/s00365-023-09675-9] and aimed at studying time-inhomogeneous one-dimensional branching processes (mainly on a continuous but also on a…
We consider a stochastic nonlinear defocusing Schr\"{o}dinger equation with zero-order linear damping, where the stochastic forcing term is given by a combination of a linear multiplicative noise in the Stratonovich form and a nonlinear…
In this work we consider an example of a linear time-degenerate Schr\"odinger operator. We show that with the appropriate assumptions the operator satisfies a Kato smoothing effect. We also show that the solutions to the nonlinear initial…
These notes survey some aspects of discrete-time chaotic calculus and its applications, based on the chaos representation property for i.i.d. sequences of random variables. The topics covered include the Clark formula and predictable…
We provide an existence and uniqueness result for mild solutions to semilinear stochastic partial differential equations in the framework of the semigroup approach with locally monotone coefficients. An important component of the proof is…
We study a class of R^d-valued continuous strong Markov processes that are generated, only locally, by an ultra-parabolic operator with coefficients that are regular w.r.t. the intrinsic geometry induced by the operator itself and not…
In this paper, we establish smoothness of moments of the solutions of discrete coagulation-diffusion systems. As key assumptions, we suppose that the coagulation coefficients grow at most sub-linearly and that the diffusion coefficients…