相关论文: Stochastic adding machines based on Bratteli diagr…

A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov…

This paper studies various notions of approximate probabilistic bisimulation on labeled Markov chains (LMCs). We introduce approximate versions of weak and branching bisimulation, as well as a notion of $\varepsilon$-perturbed bisimulation…

This paper considers the problem of defining distributions over graphical structures. We propose an extension of the hyper Markov properties of Dawid and Lauritzen [Ann. Statist. 21 (1993) 1272-1317], which we term structural Markov…

Rate processes are simple and analytically tractable models for many dynamical systems which switch stochastically between a discrete set of quasi stationary states but they may also approximate continuous processes by coarse grained,…

Parametric Markov chains have been introduced as a model for families of stochastic systems that rely on the same graph structure, but differ in the concrete transition probabilities. The latter are specified by polynomial constraints for…

This paper considers stochastic-constrained stochastic optimization where the stochastic constraint is to satisfy that the expectation of a random function is below a certain threshold. In particular, we study the setting where data samples…

Order-preserving couplings are elegant tools for obtaining robust estimates of the time-dependent and stationary distributions of Markov processes that are too complex to be analyzed exactly. The starting point of this paper is to study…

Graphs are commonly used to model various complex systems, including social networks, power grids, transportation networks, and biological systems. In many applications, the connectivity of these networks can be expressed through the Mean…

This book offers a comprehensive introduction to spectral networks from a unified viewpoint that bridges geometry with the physics of supersymmetric gauge theories. It provides the foundational background needed to approach the frontiers of…

We develop conditions for the coding of a Bratteli-Vershik system according to initial path segments to be periodic, equivalently for a constructive symbolic recursive scheme corresponding to a cutting and stacking process to produce a…

The influence of a time-periodic forcing on stochastic processes can essentially be emphasized in the large time behaviour of their paths. The statistics of transition in a simple Markov chain model permits to quantify this influence. In…

We present an elementary three pass algorithm for computing addition in Ostrowski numeration systems. When $a$ is quadratic, addition in the Ostrowski numeration system based on $a$ is recognizable by a finite automaton. We deduce that a…

Markov branching systems form a fundamental class of stochastic models that are extensively applied in biology, physics, finance, and other domains. These systems are distinguished by their continuous-time evolution and inherent branching…

We study irreducible time-homogenous Markov chains with finite state space in discrete time. We obtain results on the sensitivity of the stationary distribution and other statistical quantities with respect to perturbations of the…

This work is concerned with variational analysis of so-called spectral functions and spectral sets of matrices that only depend on eigenvalues of the matrix. Based on our previous work [H. T. B\`ui, M. N. B\`ui, and C. Clason, Convex…

This paper shows in detail the application of a new stochastic approach for the characterization of surface height profiles, which is based on the theory of Markov processes. With this analysis we achieve a characterization of the scale…

In this paper we study spectral function for a nonsymmetric differential operator on the half line. Two cases of the coefficient matrix are considered, and for each case we prove by Marchenko's method that, to the boundary value problem,…

We introduce a general algorithm for the computation of the scale functions of a spectrally negative L\'evy process $X$, based on a natural weak approximation of $X$ via upwards skip-free continuous-time Markov chains with stationary…

It is well known, mainly because of the work of Kurtz, that density dependent Markov chains can be approximated by sets of ordinary differential equations (ODEs) when their indexing parameter grows very large. This approximation cannot…

This paper is concerned with stochastic processes that model multiple (or iterated) scattering in classical mechanical systems of billiard type, defined below. From a given (deterministic) system of billiard type, a random process with…