Related papers: Random Processes with Stationary Increments and In…

We study dynamical reversibility in stationary stochastic processes from an information theoretic perspective. Extending earlier work on the reversibility of Markov chains, we focus on finitary processes with arbitrarily long conditional…

In this paper, we develop new optional stopping theorems for scenarios where the stopping rules are defined by bounded continuity regions. Moreover, we establish a wide variety of inequalities on the supremums and infimums of functions of…

The work relates to a new way for analysis of one-dimensional stochastic systems, based on consideration of its higher order difference structure. From this point of view, the deterministic and random processes are analyzed. A new numerical…

A stochastic sewing lemma which is applicable for processes taking values in Banach spaces is introduced. Applications to additive functionals of fractional Brownian motion of distributional type are discussed.

Within the study of uncertain dynamical systems, iterated random functions are a key tool. There, one samples a family of functions according to a stationary distribution. Here, we introduce an extension, where one sample functions…

We consider the problem of correlation functions in the stationary states of one-dimensional stochastic models having conformal invariance. If one considers the space dependence of the correlators, the novel aspect is that although one…

We study the approximation of stationary processes by a simple class of purely deterministic signals. This has an analytic counterpart in the approximation of symmetric positive definite Toeplitz matrices by submatrices of finite rank. We…

In this note we consider non-stationary cluster point processes and we derive their conditional intensity, i.e. the intensity of the process given the locations of one or more events of the process. We then provide some approximations of…

This paper considers binomial approximation of continuous time stochastic processes. It is shown that, under some mild integrability conditions, a process can be approximated in mean square sense and in other strong metrics by binomial…

The process of fluctuations of trajectory observables of stochastic systems is related to processes with independent increments from the risk theory. The first-passage times of variables of the thermodynamics of trajectories, in particular,…

In this short note, we try to provide the reader with a brief pedagogical account of some similarities and differences between stochastic and deterministic processes. A short presentation of some basic notions related to the mathematical…

Stochastic point processes with refractoriness appear frequently in the quantitative analysis of physical and biological systems, such as the generation of action potentials by nerve cells, the release and reuptake of vesicles at a synapse,…

We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define several notions of randomness associated with interval, rather than precise,…

This paper revisits the definition of linear time-invariant (LTI) stochastic process within a behavioral systems framework. Building on [Willems, 2013], we derive a canonical representation of an LTI stochastic process and a physically…

In this paper, we consider a stochastic system described by a differential equation admitting a spatially varying random coefficient. The differential equation has been employed to model various static physics systems such as elastic…

We prove one-to-one correspondences between certain decreasing Loewner chains in the upper half-plane, a special class of real-valued Markov processes, and quantum stochastic processes with monotonically independent additive increments.…

Markov jump processes are continuous-time stochastic processes with a wide range of applications in both natural and social sciences. Despite their widespread use, inference in these models is highly non-trivial and typically proceeds via…

We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define a notion of computable randomness associated with interval, rather than precise,…

We study two-state (dichotomous, telegraph) random ergodic continuous-time processes with dynamics depending on their past. We take into account the history of process in an explicit form by introducing an integral non-local memory term…

It is shown that the inert properties of a stationary random process can be expressed in terms of the ratio of its correlation interval to the doubled variance. When using a fixed value of the Planck constant h as a proportionality factor,…