相关论文: First passage process of a Markov additive process…

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…

In seismic monitoring, one is usually interested in the response of a changing target zone, embedded in a static inhomogeneous medium. We introduce an efficient method which predicts reflection responses at the earth's surface for different…

An efficient and accurate iterative scheme for the computation of the mean first passage times (MFPTs) of ergodic Markov chains has been presented. Firstly, the computation problem of MFPTs is transformed into a set of linear equations. It…

We develop a new methodology for the fluctuation theory of continuous-time skip-free Markov chains, extending the recent work of Choi and Patie [5] for discrete-time skip-free Markov chains. As the main application we use it to derive a…

We study the Markov chain on $\mathbf{F}_p$ obtained by applying a function $f$ and adding $\pm\gamma$ with equal probability. When $f$ is a linear function, this is the well-studied Chung--Diaconis--Graham process. We consider two cases:…

Andreev reflection between a normal metal and a superconductor whose order parameter exhibits quantum phase fluctuations is examined. The approach chosen is non perturbative in the tunneling Hamiltonian and enables to probe the whole range…

In a specific class of open quantum systems with finite and fixed numbers of collapsed quantum states, the semi-Markov process method is used to calculate the large deviations of the first passage time statistics. The core formula is an…

In this paper we address the problem of the calculation of the mean first passage time (MFPT) on generic graphs. We focus in particular on the mean first passage time on a node 's' for a random walker starting from a generic, unknown, node…

In this article integro-differential Volterra equations whose convolution kernel depends on the vector variable are considered and a connection of these equations with a class of semi-Markov processes is established. The variable order…

We show that long-term memory effects, present in the chaotic dispersion process generated by a meandering jet model, can be nonetheless taken into account by a first order Markov process, provided that the states of the phase space…

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…

The essential spectral radius of a sub-Markovian process is defined as the infimum of the spectral radiuses of all local perturbations of the process. When the family of rescaled processes satisfies sample path large deviation principle,…

A possible mechanism leading to anomalous diffusion is the presence of long-range correlations in time between the displacements of the particles. Fractional Brownian motion, a non-Markovian self-similar Gaussian process with stationary…

In high-energy physics experiments, the trajectories of charged particles are reconstructed using track reconstruction algorithms. Such algorithms need to both identify the set of measurements from a single charged particle and to fit the…

Conditions on the generator of a Markov process to control the fluctuations of its bridges are found. In particular, continuous time random walks on graphs and gradient diffusions are considered. Under these conditions, a concentration of…

We calculate the spectral gap of the Markov matrix of the totally asymmetric simple exclusion process (TASEP) on a ring of L sites with N particles. Our derivation is simple and self-contained and extends a previous calculation that was…

This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…

We investigate piecewise deterministic Markov processes (PDMP), where the deterministic dynamics follows a scalar conservation law and random jumps in the system are characterized by changes in the flux function. We show under which…

We provide a characterisation of the continuous-time Markov models where the Markov matrices from the model can be parameterised directly in terms of the associated rate matrices (generators). That is, each Markov matrix can be expressed as…

Let {X_n,n\geq0} be a Markov chain on a general state space X with transition probability P and stationary probability \pi. Suppose an additive component S_n takes values in the real line R and is adjoined to the chain such that…