Related papers: Martingale Problem and Quadratic Family

Under a markovian evolutionary process, the expected number of substitutions per site (also called branch length) that have occurred when a sequence has evolved from another according to a transition matrix $P$ can be approximated by…

We classify the rare events of structured, memoryful stochastic processes and use this to analyze sequential and parallel generators for these events. Given a stochastic process, we introduce a method to construct a new process whose…

Let $(P_t)$ be the transition semigroup of the Markov family $(X^x(t))$ defined by SDE $$ d X= b(X) dt + d Z, \qquad X(0)=x, $$ where $Z=\left(Z_1, \ldots, Z_d\right)^*$ is a system of independent real-valued L\'evy processes. Using the…

This paper shows a novel way of simulating a Markov process by a quantum computer. The main purpose of the paper is to show a particular application of quantum computing in the field of stochastic processes analysis. Using a Quantum…

New proofs are given of the existence of the compensator (or dual predictable projection) of a locally integrable c\'adl\'ag adapted process of finite variation and of the existence of the quadratic variation process for a c\'adl\'ag local…

The first aim of the present note is to quantify the speed of convergence of a conditioned process toward its Q-process under suitable assumptions on the quasi-stationary distribution of the process. Conversely, we prove that, if a…

We perform a systematic symmetry classification of the Markov generators of classical stochastic processes. Our classification scheme is based on the action of involutive symmetry transformations of a real Markov generator, extending the…

We present some advances, both from a theoretical and from a computational point of view, on a quadratic vector equation (QVE) arising in Markovian Binary Trees. Concerning the theoretical advances, some irreducibility assumptions are…

This paper studies some analytical properties of weak solutions of 3D stochastic primitive equations with periodic boundary conditions. The martingale problem associated to this model is shown to have a family of solutions satisfying the…

We provide a detailed description of the structure of the transition probabilities and of the hitting distributions of boundary components of a manifold with corners for a degenerate strong Markov process arising in population genetics. The…

In this paper we survey the almost sure central limit theorem and its functional form (quenched) for stationary and ergodic processes. For additive functionals of a stationary and ergodic Markov chain these theorems are known under the…

Computational procedures for the stationary probability distribution, the group inverse of the Markovian kernel and the mean first passage times of an irreducible Markov chain, are developed using perturbations. The derivation of these…

Bisexual Galton-Watson processes are discrete Markov chains where reproduction events are due to mating of males and females. Owing to this interaction, the standard branching property of Galton-Watson processes is lost. We prove tightness…

Jones and Boston conjectured that the factorization process for iterates of irreducible quadratic polynomials over finite fields is approximated by a Markov model. In this paper, we find unexpected and intricate behavior for some quadratic…

Let $\mathfrak{z}$ be a stochastic exponential, i.e., $\mathfrak{z}_t=1+\int_0^t\mathfrak{z}_{s-}dM_s$, of a local martingale $M$ with jumps $\triangle M_t>-1$. Then $\mathfrak{z}$ is a nonnegative local martingale with $\E\mathfrak{z}_t\le…

We define a Markov process on the partitions of $[n]=\{1,\ldots,n\}$ by drawing a sample in $[n]$ at each time of a Poisson process, by merging blocks that contain one of these points and by leaving all other blocks unchanged. This…

Let $Z = (Z_t)_{t\in[0,\infty)}$ be an ergodic Markov process and, for every $n\in\mathbb{N}$, let $Z^n = (Z_{n^2 t})_{t\in[0,\infty)}$ drive a process $X^n$. Classical results show under suitable conditions that the sequence of…

Let $X_t$ solve the multidimensional It\^o's stochastic differential equations on $\R^d$ $$dX_t=b(t,X_t)dt+\sigma(t,X_t)dB_t$$ where $b:[0,\infty)\times\R^d\to\R^d$ is smooth in its two arguments,…

We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates in discrete time. The model is shown to have two distinct limiting states, corresponding to small and asymptotically…

Given a semi-Markov law, using an additional parameter, we consider a family of stochastic flows corresponding to that law. Then we suitably select a particular flow, for which we obtain expressions of the meeting and merging probabilities…