Related papers: Positive Markov processes in Laplace duality
Motivated by recent results regarding the equivalence of the Dirichlet and Neumann problems for the Laplace operator in the case of simply connected regions, the present paper takes a step further and provides a similar equivalence between…
In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, it turned out that semimartingales should be considered the…
Under mild assumptions, we establish a Liouville theorem for the "Laplace" equation $Au=0$ associated with the infinitesimal generator $A$ of a L\'evy process: If $u$ is a weak solution to $Au=0$ which is at most of (suitable) polynomial…
We provide a probabilistic description of the stationary measures for the open KPZ on the spatial interval $[0,1]$ in terms of a Markov process $Y$, which is a Doob's $h$ transform of the Brownian motion killed at an exponential rate. Our…
We introduce a transformation of linear Pfaffian systems, which we call the middle Laplace transform, as a formulation of the Laplace transform from the perspective of Katz theory. While the definition of the middle Laplace transform is…
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…
The duality principle for group representations developed in \cite{DHL-JFA, HL_BLM} exhibits a fact that the well-known duality principle in Gabor analysis is not an isolated incident but a more general phenomenon residing in the context of…
A generalization of duality transformations for arbitrary Lorentz tensors is presented, and a systematic scheme for constructing the dual descriptions is developed. The method, a purely Lagrangian approach, is based on a first order parent…
We develop a general method for extending Markov processes to a larger state space such that the added points form a polar set. The so obtained extension is an improvement on the standard trivial extension in which case the process is made…
There exist only a few known examples of subordinators for which the transition probability density can be computed explicitly along side an expression for its L\'evy measure and Laplace exponent. Such examples are useful in several areas…
In his monograph \emph{Conjugate Duality and Optimization}, Rockafellar puts forward a ``perturbation + duality'' method to obtain a dual problem for an original minimization problem. First, one embeds the minimization problem into a family…
We construct a class of discontinuous superprocesses with dependent spatial motion and general branching mechanism. The process arises as the weak limit of critical interacting-branching particle systems where the spatial motions of the…
We consider a robust approach to address uncertainty in model parameters in Markov Decision Processes (MDPs), which are widely used to model dynamic optimization in many applications. Most prior works consider the case where the uncertainty…
By decoupling forward and backward stochastic trajectories, we construct a family of martingales and work theorems for both overdamped and underdamped Langevin dynamics. Our results are made possible by an alternative derivation of work…
In this work, we consider, in a general setting, multiparameter multidimensional Markov processes that are time-changed by an independent additive subordinator. By extending Phillips theorem, we show that the resulting process is a Feller…
We study supercritical branching processes in which all particles evolve according to some general Markovian motion (which may possess absorbing states) and branch independently at a fixed constant rate. Under fairly natural assumptions on…
Process tomography, the experimental characterization of physical processes, is a central task in science and engineering. Here we investigate the axiomatic requirements that guarantee the in-principle feasibility of process tomography in…
A continuous-time particle system on the real line satisfying the branching property and an exponential integrability condition is called a branching L\'evy process, and its law is characterized by a triplet $(\sigma^2,a,\Lambda)$. We…
We propose Markov two-components processes (M2CP) as a probabilistic model of asynchronous systems based on the trace semantics for concurrency. Considering an asynchronous system distributed over two sites, we introduce concepts and tools…
In this paper we present the classical results of Kolmogorov's backward and forward equations to the case of a two-parameter Markov process. These equations relates the infinitesimal transition matrix of the two-parameter Markov process.…