Related papers: Approximate factorizations for non-symmetric jump …

We introduce an integrable stochastic process associated with the $D_2$ quantum group, which can be decomposed into two symmetric simple exclusion processes. We establish the integrability of the model under three types of boundary…

This work introduces and studies a new family of velocity jump Markov processes directly amenable to exact simulation with the following two properties: i) trajectories converge in law when a time-step parameter vanishes towards a given…

We prove under mild conditions that the Fleming-Viot process selects the minimal quasi-stationary distribution for Markov processes with soft killing on non-compact state spaces. Our results are applied to multi-dimensional birth and death…

A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by…

We present sufficient conditions, in terms of the jumping kernels, for two large classes of conservative Markov processes of pure-jump type to be purely discontinuous martingales with finite second moment. As an application, we establish…

We consider a strong Markov process with killing and prove an approximation method for the distribution of the process conditioned not to be killed when it is observed. The method is based on a Fleming-Viot type particle system with…

Hit rate is a key performance metric in predicting process product quality in integrated industrial processes. It represents the percentage of products accepted by downstream processes within a controlled range of quality. However,…

This paper presents a nonparametric method for estimating the conditional density associated to the jump rate of a piecewise-deterministic Markov process. In our framework, the estimation needs only one observation of the process within a…

This article gives a new insight of kernel-based (approximation) methods to solve the high-dimensional stochastic partial differential equations. We will combine the techniques of meshfree approximation and kriging interpolation to extend…

We develop TwinKernel methods for nonparametric estimation of intensity functions of point processes. Building on the general TwinKernel framework and combining it with martingale techniques for counting processes, we construct estimators…

In this note we present new examples of determinantal point processes with infinitely many particles. The particles live on the half-lattice {1,2,...} or on the open half-line (0,+\infty). The main result is the computation of the…

Motivated by a recent paper of Budd, where a new family of positive self-similar Markov processes associated to stable processes appears, we introduce a new family of L\'evy processes, called the double hypergeometric class, whose…

We establish precise bounds on cumulants for a rather general class of non-linear geometric functionals satisfying the stabilization property under a simple, stationary (marked) point process admitting fast decay of its correlation…

In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, from these equations one can obtain diffusion models…

Linearly implicit Runge-Kutta methods with approximate matrix factorization can solve efficiently large systems of differential equations that have a stiff linear part, e.g. reaction-diffusion systems. However, the use of approximate…

Semi-Markov processes represent a well known and widely used class of random processes in classical probability theory. Here, we develop an extension of this type of non-Markovian dynamics to the quantum regime. This extension is…

We present metrics for measuring the similarity of states in a finite Markov decision process (MDP). The formulation of our metrics is based on the notion of bisimulation for MDPs, with an aim towards solving discounted infinite horizon…

In a recent work [D. Malpetti and T. Roscilde, arXiv:1605.04223] we have shown that in quantum many-body systems at finite temperature, two-point correlations can be formally separated into a thermal part, and a quantum part -- and that…

Given a fixed sigma-finite measure space $\left(X,\mathscr{B},\nu\right)$, we shall study an associated family of positive definite kernels $K$. Their factorizations will be studied with view to their role as covariance kernels of a variety…

This paper tackles the issue of establishing a lower-bound on the asymptotic ratio of survival probabilities between two different initial conditions, asymptotically in time for a given Markov process with extinction. Such a comparison is a…