Related papers: An iterated random function with Lipschitz number …

In Part I (G.Olshanski, math.RT/9804086) and Part II (A.Borodin, math.RT/9804087) we developed an approach to certain probability distributions on the Thoma simplex. The latter has infinite dimension and is a kind of dual object for the…

We study stochastic monotonicity and propagation of order for Markov processes with respect to stochastic integral orders characterized by cones of functions satisfying $\Phi f \geq 0$ for some linear operator $\Phi$. We introduce a new…

We study a family of Markov processes on $\mathcal{P}^{(k)}$, the space of partitions of the natural numbers with at most $k$ blocks. The process can be constructed from a Poisson point process on…

Let (X_t, t>=0) be a Levy process started at 0, with Levy measure nu and T_x the first hitting time of level x>0: T_x:=inf{t>=0; X_t>x}. Let $F(theta, mu, rho,.) be the joint Laplace transform of (T_x, K_x, L_x): F(theta,mu,rho,x)…

In skew-product systems with contractive factors, all orbits asymptotically approach the graph of the so-called sync function; hence, the corresponding regularity properties primarily matter. In the literature, sync function Lipschitz…

For an SDE driven by a rotationally invariant $\alpha$-stable noise we prove weak uniqueness of the solution under the balance condition $\alpha+\gamma>1$, where $\gamma$ denotes the Holder index of the drift coefficient. We prove existence…

Matrix-valued stochastic processes have been of significant importance in areas such as physics, engineering and mathematical finance. One of the first models studied has been the so-called Wishart process, which is described as the…

We prove joint functional limit theorems in the Skorokhod space equipped with the $J_1$-topology for successive Lebesgue-Stieltjes convolutions of nondecreasing stochastic processes with themselves. These convolutions arise naturally in…

A function on the state space of a Markov chain is a "lumping" if observing only the function values gives a Markov chain. We give very general conditions for lumpings of a large class of algebraically-defined Markov chains, which include…

Let $f$ be a nonnegative function of class $C^k$ ($k \geq 2$) such that $f^{(k)}$ is H\''older continuous with exponent $\alpha$ in $(0,1]$. If $f'(x) = \cdots = f^{(k)}(x) = 0$ when $f(x) = 0$, we show that $f^{\mu}$ is differentiable for…

We obtain complementary recurrence and transience criteria for processes $X=(X_n)_{n \ge 0}$ with values in $\mathbb R^d_+$ fulfilling a non-linear equation $X_{n+1}=MX_n+g(X_n)+ \xi_{n+1}$. Here $M$ denotes a primitive matrix having…

We study a discrete-time Markov process on triangular arrays of matrices of size $d\geq 1$, driven by inverse Wishart random matrices. The components of the right edge evolve as multiplicative random walks on positive definite matrices with…

We consider a general honest homogeneous continuous-time Markov process with restarts. The process is forced to restart from a given distribution at time moments generated by an independent Poisson process. The motivation to study such…

Let $E$ be a finite set, $\{F^i\}_{i \in E}$ a family of vector fields on $\mathbb{R}^d$ leaving positively invariant a compact set $M$ and having a common zero $p \in M.$ We consider a piecewise deterministic Markov process $(X,I)$ on $M…

We study the asymptotics of the $k$-regular self-similar fragmentation process. For $\alpha > 0$ and an integer $k \geq 2$, this is the Markov process $(I_t)_{t \geq 0}$ in which each $I_t$ is a union of open subsets of $[0,1)$, and…

We derive a finite-sample probabilistic bound on the parameter estimation error of a system identification algorithm for Linear Switched Systems. The algorithm estimates Markov parameters from a single trajectory and applies a variant of…

In this paper, we develop a new mathematical technique which allows us to express the joint distribution of a Markov process and its running maximum (or minimum) through the marginal distribution of the process itself. This technique is an…

In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix function, which plays a crucial role in fluctuation theory. We…

The "carries" when n random numbers are added base b form a Markov chain with an "amazing" transition matrix determined by Holte. This same Markov chain occurs in following the number of descents or rising sequences when n cards are…

For $g < n$, let $b\_1,...,b\_{n-g}$ be $n - g$ independent vectors in $\mathbb{R}^n$ with a common distribution invariant by rotation. Considering these vectors as a basis for the Euclidean lattice they generate, the aim of this paper is…