相关论文: T. E. Harris's contributions to recurrent Markov p…

Building upon the rule-algebraic stochastic mechanics framework, we present new results on the relationship of stochastic rewriting systems described in terms of continuous-time Markov chains, their embedded discrete-time Markov chains and…

This PhD thesis deals with the Markov picture of developed turbulence from the theoretical point of view. The thesis consists of two parts. The first part introduces stochastic thermodynamics, the second part aims at transferring the…

We review the theory of martingales as applied to stochastic thermodynamics and stochastic processes in physics more generally.

The splitting scheme (the Kato-Trotter formula) is applied to stochastic flows with common noise of the type introduced by Th.E.~Harris. The case of possibly coalescing flows with continuous infinitesimal covariance is considered and the…

The present study provides another look on Lamperti's theorem on recurrence or transience of stochastic sequences. We establish connection between Lamperti's theorem and the recent result by the author [V. M. Abramov, Theor. Probab. Math.…

The goal of this paper is threefold. First, we survey the existing results on Hunt's hypothesis (H) for Markov processes and Getoor's conjecture for L\'{e}vy processes. Second, we investigate (H) for multidimensional L\'{e}vy processes from…

We give a concise self-contained presentation of known and new limit theorems for the one-type Markov branching processes with continuous time. The new streamlined proofs are based on what we call, the tail generating function approach. Our…

Non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels are considered. It is shown that their stability properties can be studied in terms of an associated class of piecewise deterministic Markov processes,…

Stochastic processes find applications in modelling systems in a variety of disciplines. A large number of stochastic models considered are Markovian in nature. It is often observed that higher order Markov processes can model the data…

Hidden Markov chains are widely applied statistical models of stochastic processes, from fundamental physics and chemistry to finance, health, and artificial intelligence. The hidden Markov processes they generate are notoriously…

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…

We present a short introduction into the framework of piecewise deterministic Markov processes. We illustrate the abstract mathematical setting with a series of examples related to dispersal of biological systems, cell cycle models, gene…

This paper presents a comprehensive review of stochastic processes, with a particular focus on Markov chains and jump processes. The main results related to queuing systems are analyzed. Additionally, conditions that ensure the stability,…

The theory of linear stochastic thermodynamics is developed for periodically driven systems in contact with a single reservoir. Appropriate thermodynamic forces and fluxes are identified, starting from the entropy production for a Markov…

We introduce and summarise results from the recent paper `Scaling limits of stochastic processes associated with resistance forms', and also applications from `Time-changes of stochastic processes associated with resistance forms', which…

This text is a survey of the general theory of stochastic processes, with a view towards random times and enlargements of filtrations. The first five chapters present standard materials, which were developed by the French probability school…

This paper addresses the question when the underlying Markov process of a multiclass queueing network is positive Harris recurrent. It is well-known that stability of the fluid limit model is a sufficient condition for this. Hence,…

The concepts of probability, statistics and stochastic theory are being successfully used in structural engineering. Markov Chain modelling is a simple stochastic process model that has found its application in both describing stochastic…

This is a survey paper about reciprocal processes. The bridges of a Markov process are also Markov. But an arbitrary mixture of these bridges fails to be Markov in general. However, it still enjoys the interesting properties of a reciprocal…

In this note, we present few examples of Piecewise Deterministic Markov Processes and their long time behavior. They share two important features: they are related to concrete models (in biology, networks, chemistry,. . .) and they are…