相关论文: Stationary distributions for jump processes with m…
This paper presents a method for calculating the smoothed state distribution for Jump Markov Linear Systems. More specifically, the paper details a novel two-filter smoother that provides closed-form expressions for the smoothed hybrid…
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…
We consider zero-range processes in ${\mathbb{Z}}^d$ with site dependent jump rates. The rate for a particle jump from site $x$ to $y$ in ${\mathbb{Z}}^d$ is given by $\lambda_xg(k)p(y-x)$, where $p(\cdot)$ is a probability in…
We investigate a zero-range process where the underlying one-particle stationary distribution has multifractality. The multiparticle stationary probability measure can be written in a factorized form. If the number of the particles is…
We consider a particle moving in continuous time as a Markov jump process; its discrete chain is given by an ordinary random walk on ${\mathbb Z}^d$ , and its jump rate at $({\mathbf x},t)$ is given by a fixed function $\varphi$ of the…
We construct a non-decreasing pure jump Markov process, whose jump measure heavily depends on the values taken by the process. We determine the singularity spectrum of this process, which turns out to be random and to depend locally on the…
We describe all countable particle systems on $\mathbb{R}$ which have the following three properties: independence, Gaussianity and stationarity. More precisely, we consider particles on the real line starting at the points of a Poisson…
We derive a universal, exact asymptotic form of the splitting probability for symmetric continuous jump processes, which quantifies the probability $ \pi_{0,\underline{x}}(x_0)$ that the process crosses $x$ before 0 starting from a given…
We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other similar spaces of probability measures into locally compact…
In this article, we primarily propose a novel Bayesian characterization of stationary and nonstationary stochastic processes. In practice, this theory aims to distinguish between global stationarity and nonstationarity for both parametric…
In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy Process. The latter is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian…
We consider the problem of leakage or effusion of an ensemble of independent stochastic processes from a region where they are initially randomly distributed. The case of Brownian motion, initially confined to the left half line with…
We consider a Markov jump process on a general state space to which we apply a time-dependent weak perturbation over a finite time interval. By martingale-based stochastic calculus, under a suitable exponential moment bound for the…
Using the results of X. Fernique on the compactness of distributions of cadlag random functions, we derive some cadlaguity moment estimates for stochastic processes with jumps.
It was recently noticed that high-energy scattering processes in QCD have a stochastic nature. An event-by-event scattering amplitude is characterised by a saturation scale which is a random variable. The statistical ensemble of saturation…
This paper is focused on a class of spatial birth and death process of the Euclidean space where the birth rate is constant and the death rate of a given point is the shot noise created at its location by the other points of the current…
Motivation: We consider continuous-time Markov chains that describe the stochastic evolution of a dynamical system by a transition-rate matrix $Q$ which depends on a parameter $\theta$. Computing the probability distribution over states at…
A weighted U-statistic based on a random sample X_1,...,X_n has the form U_n=\sum_{1\le i,j\le n}w_{i-j}K(X_i,X_j), where K is a fixed symmetric measurable function and the w_i are symmetric weights. A large class of statistics can be…
A validated simulation model primarily requires performing an appropriate input analysis mainly by determining the behavior of real-world processes using probability distributions. In many practical cases, probability distributions of the…
Confined active particles constitute simple, yet realistic, examples of systems that converge into a non-equilibrium steady state. We investigate a run-and-tumble particle in one spatial dimension, trapped by an external potential, with a…