Related papers: Joint Probability Distributions for a Class of Non…
We provide a distribution-free test that can be used to determine whether any two joint distributions $p$ and $q$ are statistically different by inspection of a large enough set of samples. Following recent efforts from Long et al. [1], we…
Let $\Sigma \subset \mathbb{C}$ be a compact subset of the complex plane, and $\mu$ be a probability distribution on $\Sigma$. We give necessary and sufficient conditions for $\mu$ to be the weak* limit of a sequence of uniform probability…
We show that the transition probability of the Markoc chain $(G(j,1),...,G(j,n))_{j\ge 1}$, where the $G(i,j)'s$ are certain directed last-passage times, is given by a determinant of a special form. An analogous formula has recently been…
The notion of a successful coupling of Markov processes, based on the idea that both components of the coupled system ``intersect'' in finite time with probability one, is extended to cover situations when the coupling is unnecessarily…
We present a numerical method to produce stochastic dynamics according to the generalized Langevin equation with a non-stationary memory kernel. This type of dynamics occurs when a microscopic system with an explicitly time-dependent…
We give a short summary of Varopoulos' generalised Hardy-Littlewood-Sobolev inequality for self-adjoint $C_{0}$ semigroups and give a new probabilistic representation of the classical fractional integral operators on $\R^n$ as projections…
We consider the inverse problem of reconstructing the posterior measure over the trajec- tories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive…
A simple integral relation between a complex weight and the corresponding positive distribution is derived by introducing a second complex variable. Together with the positivity and normalizability conditions, this sum rule allows to…
In this paper we introduce a bivariate distribution on $\mathbb{R}_{+} \times \mathbb{N}$ arising from a single underlying Markov jump process. The marginal distributions are phase-type and discrete phase-type distributed, respectively,…
Local diffusivity of a protein depends crucially on the conformation, and the conformational fluctuations are often non-Markovian. Here, we investigate the Langevin equation with non-Markovian fluctuating diffusivity, where the fluctuating…
This paper considers the distributionally robust chance constrained Markov decision process with random reward and ambiguous reward distribution. We consider individual and joint chance constraint cases with Kullback-Leibler divergence…
We show that a formal solution of a rather general non-Markovian Fokker-Planck equation can be represented in a form of an integral decomposition and thus can be expressed through the solution of the Markovian equation with the same…
For a class of piecewise deterministic Markov processes we introduce a stochastic calculus which is a certain non-Gaussian counterpart to the classical Malliavin calculus. As an application we investigate the regularity of densities of…
The self-similar growth-fragmentation equation describes the evolution of a medium in which particles grow and divide as time proceeds, with the growth and splitting of each particle depending only upon its size. The critical case of the…
This paper discusses and analyzes a class of likelihood models which are based on two distributional innovations in financial models for stock returns. That is, the notion that the marginal distribution of aggregate returns of log-stock…
A general piecewise (including pointwise) probability distribution with space-saving notation and its hierarchical particular cases are considered. The explicit closed-form normalization, expectation, and variance formulas along with the…
Normalization, $D(X + 1) \to D(X) + 1$, is almost a distributive law; but because one of the distributive law axioms only holds up-to-idempotent, it yields a non-associative composition of normalized kernels. We introduce the Markov magmoid…
In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an integration by parts formula for the first exit time of…
We consider a Markovian evolution on point processes, the $\Psi$--process, on the unit interval in which points are added according to a rule that depends only on the spacings of the existing point configuration. Having chosen a spacing, a…
We consider continuous--time Markov kinetics with a finite number of states and a given positive equilibrium distribution P*. For an arbitrary probability distribution $P$ we study the possible right hand sides, dP/dt, of the Kolmogorov…