Related papers: An explicit Skorokhod embedding for functionals of…
Many natural systems exhibit dynamics characterized by alternating phases or recurring sets of states. Describing the fluctuations of such systems over stochastic trajectories is necessary across diverse fields, from biological motors to…
In this paper, the large deviations on trajectory level for ergodic Markov processes are studied. These processes take values in the non-negative quadrant of the two dimension lattice and are concentrated on step-wise functions. The rates…
We prove explicit, i.e. non-asymptotic, error bounds for Markov chain Monte Carlo methods. The problem is to compute the expectation of a function f with respect to a measure {\pi}. Different convergence properties of Markov chains imply…
We introduce a new perspective on positive continuous additive functionals (PCAFs) of Markov processes, which we call space--time occupation measures (STOMs). This notion provides a natural generalization of classical occupation times and…
Intracellular transport of organelles is fundamental to cell function and health. The mounting evidence suggests that this transport is in fact anomalous. However, the reasons for the anomaly is still under debate. We examined experimental…
A systematic exposition of scale functions is given for positive self-similar Markov processes (pssMp) with one-sided jumps. The scale functions express as convolution series of the usual scale functions associated with spectrally one-sided…
We study a system of Skorokhod stochastic differential equations (SDEs) modeling the pairwise dispersion (in spatial dimension $d=2$) of heavy particles transported by a rough self-similar, turbulent flow with H\"{o}lder exponent $h\in…
Markov chains are a natural and well understood tool for describing one-dimensional patterns in time or space. We show how to infer $k$-th order Markov chains, for arbitrary $k$, from finite data by applying Bayesian methods to both…
A direct numerical algorithm for solving the time-nonlocal non-Markovian master equation in the second Born approximation is introduced and the range of utility of this approximation, and of the Markov approximation, is analyzed for the…
We study transitive step skew-product maps modeled over a complete shift of $k$, $k\ge2$, symbols whose fiber maps are defined on the circle and have intermingled contracting and expanding regions. These dynamics are genuinely nonhyperbolic…
We propose a theoretical method to decompose the solution of a Stokes flow past a body immersed in a confined fluid in two simpler problems, related separately to the two geometrical elements of these systems: (i) the body immersed in the…
This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and constant diffusion coefficients. We apply our method to…
Consider the partial sums {S_t} of a real-valued functional F(Phi(t)) of a Markov chain {Phi(t)} with values in a general state space. Assuming only that the Markov chain is geometrically ergodic and that the functional F is bounded, the…
Consider a stochastic process $\{X(t)\}$ on a finite state space $ {\sf X}=\{1,\dots, d\}$. It is conditionally Markov, given a real-valued `input process' $\{\zeta(t)\}$. This is assumed to be small, which is modeled through the scaling,…
We propose a method for describing stationary Markov processes on the class of ultrametric spaces $\mathbb{U}$ isometrically embeddable in the field $\mathbb{Q}_{p}$ of $p$-adic numbers. This method is capable of reducing the study of such…
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…
In this paper we study ergodic backward stochastic differential equations (EBSDEs) dropping the strong dissipativity assumption needed in the previous work. In other words we do not need to require the uniform exponential decay of the…
The meromorphic functional calculus developed in Part I overcomes the nondiagonalizability of linear operators that arises often in the temporal evolution of complex systems and is generic to the metadynamics of predicting their behavior.…
Recent experimental studies focusing on the morphological properties of surfaces eroded by ion-bombardment report the observation of self-affine fractal surfaces, while others provide evidence about the development of a periodic ripple…
We present a simple and efficient variational finite difference method for simulating time-dependent Stokes flow in the presence of irregular free surfaces and moving solid boundaries. The method uses an embedded boundary approach on…