Related papers: Martingale Problem and Quadratic Family
Iteration of randomly chosen quadratic maps defines a Markov process: X_{n+1}=\epsilon_{n+1}X_n(1-X_n), where \epsilon_n are i.i.d. with values in the parameter space [0,4] of quadratic maps F_{\theta}(x)=\theta x(1-x). Its study is of…
We construct quadratic stochastic processes (QSP) (also known as Markov processes of cubic matrices) in continuous and discrete times. These are dynamical systems given by (a fixed type, called $\sigma$) stochastic cubic matrices satisfying…
We study a two parameter family of processes with linear regressions and linear conditional variances. We give conditions for the unique solution of this problem, and point out the connection between the resulting Markov processes and the…
In this paper, we study the Galton-Watson process in the random environment for the particular case when the number of the offsprings in each generation has the fractional linear generation function with random parameters. In this case, the…
Knutson introduced two families of reverse juggling Markov chains (single and multispecies) motivated by the study of random semi-infinite matrices over $\mathbb{F}_q$. We present natural generalizations of both chains by placing generic…
Let {M_n}_{n\ge 0}$ be a nonnegative Markov process with stationary transition probabilities. The quasistationary distributions referred to in this note are of the form Q_A(x) = lim_{n\to\infty} P(M_n \le x | M_0 \le A, M_1 \le A, ..., M_n…
Generators of Markov processes on a countable state space can be represented as finite or infinite matrices. One key property is that the off-diagonal entries corresponding to jump rates of the Markov process are non-negative. Here we…
We study properties of a subclass of Markov processes that have all moments that are continuous functions of the time parameter and more importantly are characterized by the property that say their $n-$th conditional moment given the past…
In this note we study the 2d stochastic quasi-geostrophic equation in $\mathbb{T}^2$ for general parameter $\alpha\in (0,1)$ and multiplicative noise. We prove the existence of martingale solutions and pathwise uniqueness under some…
Let $R$ be a continuous-time Markov process on the time interval $[0,1]$ with values in some state space $X$. We transform this reference process $R$ into $P:=f(X_0)\exp (-\int_0^1 V_t(X_t) dt) g(X_1)\,R$ where $f,g$ are nonnegative…
We consider the fluctuations of a time-integrated particle current around an atypical value in a generic stochastic Markov process involving classical particles with two-site interaction and hardcore repulsion on a finite one-dimensional…
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about…
Let $Q_{p,q}(t)\in\mathbb{Z}[t]$ be Sharipov's even monic degree-$10$ second cuboid polynomial depending on coprime integers $p\neq q>0$. Writing $Q_{p,q}(t)$ as a quintic in $t^{2}$ produces an associated monic quintic polynomial. After…
A mean-field extension of the queueing system \(GI/GI/1\) is considered. The process is constructed as a Markov solution of a martingale problem. Uniqueness in distribution is established under a bit different sets of assumptions on…
Consider the continuous-time Markov Branching Process. In critical case we consider a situation when the generating function of intensity of transformation of particles has the infinite second moment, but its tail regularly varies in sense…
Linear fractional Galton-Watson branching processes in i.i.d.~random environment are, on the quenched level, intimately connected to random difference equations by the evolution of the random parameters of their linear fractional marginals.…
We prove that the martingale problem is well posed for pure-jump L\'evy-type operators of the form $$ (\mathcal Lf)(x) = \int_{\mathbb R^d \setminus \{0\}} \left(f(x+h)-f(x) - (\nabla f(x) \cdot h)1_{\|h\| < 1}\right)K(x,h) dh, $$ where…
It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a…
We use orthogonality measures of Askey--Wilson polynomials to construct Markov processes with linear regressions and quadratic conditional variances. Askey--Wilson polynomials are orthogonal martingale polynomials for these processes.