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The study of time-inhomogeneous Markov jump processes is a traditional topic within probability theory that has recently attracted substantial attention in various applications. However, their flexibility also incurs a substantial…

Diffusive approximations of Markov jump processes often fail to accurately capture large fluctuations. This is confounding, as the rare events triggered by these large fluctuations, such as the failure of electronic memories, are often the…

We derive the equations governing the protocols minimizing the heat released by a continuous-time Markov jump process on a one-dimensional countable state space during a transition between assigned initial and final probability…

We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency.…

In a recent article, Krapivsky and Redner (J. Stat. Mech. 093208 (2018)) established that the distribution of the first hitting times for a diffusing particle subject to hitting an absorber is independent of the direction of the external…

Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…

We consider a discrete-time random walk where the random increment at time step $t$ depends on the full history of the process. We calculate exactly the mean and variance of the position and discuss its dependence on the initial condition…

Stochastic resetting is a powerful strategy known to accelerate the first-passage time statistics of stochastic processes. While its effects on Markovian systems are well understood, a general framework for non-Markovian dynamics is still…

This paper is concerned with the development of rigorous approximations to various expectations associated with Markov chains and processes having non-stationary transition probabilities. Such non-stationary models arise naturally in…

This paper develops a new class of conditional Markov jump processes with regime switching and paths dependence. The key novel feature of the developed process lies on its ability to switch the transition rate as it moves from one state to…

Neural network dynamics emerge from the interaction of spiking cells. One way to formulate the problem is through a theoretical framework inspired by ideas coming from statistical physics, the so-called mean-field theory. In this document,…

Reduced models of neuronal activity such as Integrate-and-Fire models allow a description of neuronal dynamics in simple, intuitive terms and are easy to simulate numerically. We present a method to fit an Integrate-and-Fire-type model of…

The adaptive leaky integrate-and-fire (ALIF) model is fundamental within computational neuroscience and has been instrumental in studying our brains $\textit{in silico}$. Due to the sequential nature of simulating these neural models, a…

Complex systems are sometimes subject to non Gaussian alpha stable Levy fluctuations. A new method is devised to estimate this uncertain parameter and other system parameters, using observations on either mean exit time or escape…

We consider a new class of non Markovian processes with a countable number of interacting components, both in discrete and continuous time. Each component is represented by a point process indicating if it has a spike or not at a given…

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 jumping process, defined in terms of jump size distribution and waiting time distribution, is presented. The jumping rate depends on the process value. The process, which is Markovian and stationary, relaxes to an equilibrium and is…

In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…

In this paper we introduce and analyze a class of diffusion type equations related to certain non-Markovian stochastic processes. We start from the forward drift equation which is made non-local in time by the introduction of a suitable…

We are interested in the connection between a metastable continuous state space Markov process (satisfying e.g. the Langevin or overdamped Langevin equation) and a jump Markov process in a discrete state space. More precisely, we use the…