Related papers: Stable processes with reflection
New algorithms for construction of asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes with finite phase spaces are presented. These algorithms are based on a special technique of sequential…
We investigate the windings around the origin of the two-dimensional Markov process (X,L) having the stable L\'evy process L and its primitive X as coordinates, in the non-trivial case when |L| is not a subordinator. First, we show that…
Given a two-sided real-valued L\'evy process $(X_t)_{t \in \mathbb{R}}$, define processes $(L_t)_{t \in \mathbb{R}}$ and $(M_t)_{t \in \mathbb{R}}$ by $L_t := \sup\{h \in \mathbb{R} : h - \alpha(t-s) \le X_s \text{ for all } s \le t\} =…
In this article we consider the Levy processes and the corresponding semigroup. We represent the generator of this semigroup in a convolution form. Using the obtained convolution form and the theory of integral equations we investigate the…
In a recent article the authors showed that the radiative Transfer equations with multiple frequencies and scattering can be formulated as a nonlinear integral system. In the present article, the formulation is extended to handle reflective…
At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…
We seek to infer the parameters of an ergodic Markov process from samples taken independently from the steady state. Our focus is on non-equilibrium processes, where the steady state is not described by the Boltzmann measure, but is…
A general way to construct ladder models with certain Lie algebraic or quantum Lie algebraic symmetries is presented. These symmetric models give rise to series of integrable systems. It is shown that corresponding to these SU(2) symmetric…
The slow processes of metastable stochastic dynamical systems are difficult to access by direct numerical simulation due the sampling problem. Here, we suggest an approach for modeling the slow parts of Markov processes by approximating the…
In this work, we establish the small-noise asymptotic behaviour (namely, the functional law of large numbers and the large deviation principle) for multi-scale McKean--Vlasov diffusions with super-linear kernels. In this setting, the…
By killing a stable L\'{e}vy process when it leaves the positive half-line, or by conditioning it to stay positive, or by conditioning it to hit 0 continuously, we obtain three different positive self-similar Markov processes which…
We present a method of generation of exact and explicit forms of one-sided, heavy-tailed Levy stable probability distributions g_{\alpha}(x), 0 \leq x < \infty, 0 < \alpha < 1. We demonstrate that the knowledge of one such a distribution…
We develop a novel class of MCMC algorithms based on a stochastized Nesterov scheme. With an appropriate addition of noise, the result is a time-inhomogeneous underdamped Langevin equation, which we prove emits a specified target…
In this paper we show that a non-local operator of certain type extends to the generator of a strong Markov process, admitting the transition probability density. For this transition probability density we construct the intrinsic upper and…
We develop a new theoretical approach for modelling a wide range of semiconductor-superconductor structures with arbitrary potential barriers and a spatially-dependent superconducting order parameter. We demonstrate asymmetry in the…
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…
We derive a systematic, multiple time-scale perturbation expansion for the work distribution in isothermal quasi-static Langevin processes. To first order we find a Gaussian distribution reproducing the result of Speck and Seifert [Phys.…
Among Markovian processes, the hallmark of L\'evy flights is superdiffusion, or faster-than-Brownian dynamics. Here we show that L\'evy laws, as well as Gaussians, can also be the limit distributions of processes with long range memory that…
We show that nonequilibrium dynamics can play a constructive role in unsupervised machine learning by inducing the spontaneous emergence of latent-state cycles. We introduce a model in which visible and hidden variables interact through two…
The infinitesimal generator of a one-dimensional strictly $\alpha$-stable process can be represented as a weighted sum of (right and left) Riemann-Liouville fractional derivatives of order $\alpha$ and one obtains the fractional Laplacian…