Related papers: Stationary random fields with linear regressions
Contrary to the theory of Markov processes, no general theory exists for the so called nonlinear Markov processes. We study an example of "nonlinear Markov process" related to classical probability theory, merely to random walks. This model…
Classical linear regression is considered for a case when regression parameters depend on the external random environment. The last is described as a continuous time Markov chain with finite state space. Here the expected sojourn times in…
New algorithms for computing of asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes are presented. The algorithms are based on special techniques of sequential phase space reduction, which can…
A method to derive stationary solutions of the relativistic Vlasov-Maxwell system is explored. In the non-relativistic case, a method using the Hermite polynomial series to describe the deviation from the Maxwell-Boltzmann distribution is…
This paper is devoted to parameter estimation for partially observed polynomial state space models. This class includes discretely observed affine or more generally polynomial Markov processes. The polynomial structure allows for the…
We consider a stationary Markov process that models certain queues with a bulk service of a fixed number $m$ of admitted customers. We find an integral expression of its transition probability function in terms of certain multi-orthogonal…
The systems with multimode nonstationary Hamiltonians quadratic in position and momentum operators are reviewed. The tomographic probability distributions (tomograms) for the Fock states and Gaussian states of the quadratic systems are…
Asymptotic properties of Markov Processes, such as steady state probabilities or hazard rate for absorbing states can be efficiently calculated by means of linear algebra even for large-scale problems. This paper discusses the methods for…
We give a recursive construction of the stationary distribution of multi-type asymmetric simple exclusion processes on a finite ring or on the infinite line $Z$. The construction can be interpreted in terms of "multi-line diagrams" or…
Understanding and predicting how complex systems respond to external perturbations is a central challenge in nonequilibrium statistical physics. Here we consider continuous-time Markov networks, which we subject to perturbations along a…
We study the periods of Markov sequences, which are derived from the continued fraction expression of elements in the Markov spectrum. This spectrum is the set of minimal values of indefinite binary quadratic forms that are specially…
Stochastic processes on manifolds over non-Archimedean fields and with transition measures having values in the field $\bf C$ of complex numbers are defined and investigated. The analogs of Markov, Poisson and Wiener processes are studied.…
This paper is a continuation of our previous research on quadratic harnesses, that is, processes with linear regressions and quadratic conditional variances. Our main result is a construction of a Markov process from given orthogonal and…
In this work, we focus on the stationary analysis of a specific class of continuous time Markov-modulated reflected random walks in the quarter plane with applications in the modelling of two-node Markov-modulated queueing networks with…
Quadratic harnesses are typically non-homogeneous Markov processes with time-dependent state space. Using an appropriately defined affine transformation we show that all bridges of a given quadratic harness can be transformed into other…
We study a class of Markov processes with finite state space and continuous time that have product form stationary distributions. We obtain a number of examples that can generate conjectures for diffusions with inert drift.
Motivated by the subordinated Brownian motion, we define a new class of (in general discontinuous) random fields on higher-dimensional parameter domains: the subordinated Gaussian random field. We investigate the pointwise marginal…
Random processes with stationary increments and intrinsic random processes are two concepts commonly used to deal with non-stationary random processes. They are broader classes than stationary random processes and conceptually closely…
In this paper some general theory is presented for locally stationary processes based on the stationary approximation and the stationary derivative. Laws of large numbers, central limit theorems as well as deterministic and stochastic bias…
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.…