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Phylogenetics uses alignments of molecular sequence data to learn about evolutionary trees relating species. Along branches, sequence evolution is modelled using a continuous-time Markov process characterised by an instantaneous rate…
We consider a time inhomogeneous jump Markov process $X = (X_t)_t$ with state dependent jump intensity, taking values in $R^d . $ Its infinitesimal generator is given by \begin{multline*} L_t f (x) = \sum_{i=1}^d \frac{\partial f}{\partial…
This study presents the approach to analyzing the evolution of an arbitrary complex system whose behavior is characterized by a set of different time-dependent factors. The key requirement for these factors is only that they must contain an…
This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models are commonly employed in empirical macroeconomic research…
Mathematical models with time dependent parameters are of great interest in financial Mathematics because they capture real life scenarios in the financial market. In this study, via the Lie group technique, we analyse evolution-type…
A class of Fleming-Viot processes with decaying sampling rates and $\alpha$-stable motions that correspond to distributions with growing populations are introduced and analyzed. Almost sure long-time scaling limits for these processes are…
This paper is devoted to the study of generalised time-fractional evolution equations involving Caputo type derivatives. Using analytical methods and probabilistic arguments we obtain well-posedness results and stochastic representations…
By using lower bound conditions of the L\'evy measure w.r.t. a nice reference measure, the coupling and strong Feller properties are investigated for the Markov semigroup associated with a class of linear SDEs driven by (non-cylindrical)…
In a rather general setting of It\^o-L\'evy processes we study a class of transforms (Fourier for example) of the state variable of a process which are holomorphic in some disc around time zero in the complex plane. We show that such…
We study some dynamical properties of a Lorentz gas. We have considered both the static and time dependent boundary. For the static case we have shown that the system has a chaotic component characterized with a positive Lyapunov Exponent.…
This paper introduces a linear state-space model with time-varying dynamics. The time dependency is obtained by forming the state dynamics matrix as a time-varying linear combination of a set of matrices. The time dependency of the weights…
The dynamics of an infinite continuum system of randomly jumping and coalescing point particles is studied. The states of the system are probability measures on the corresponding configuration space $\Gamma$ the evolution of which is…
Additive processes are obtained from L\'{e}vy ones by relaxing the condition of stationary increments, hence they are spatially (but not temporally) homogeneous. By analogy with the case of time-homogeneous Markov processes, one can define…
The time evolution of correlation functions in statistical systems is described by an exact functional differential equation for the corresponding generating functionals. This allows for a systematic discussion of non-equilibrium physics…
Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…
We establish verifiable general sufficient conditions for exponential or subexponential ergodicity of Markov processes that may lack the strong Feller property. We apply the obtained results to show exponential ergodicity of a variety of…
We study the time evolution of quantum one-dimensional gapless systems evolving from initial states with a domain-wall. We generalize the path-integral imaginary time approach that together with boundary conformal field theory allows to…
We study a real-valued L\'evy-type process $X$, which is locally $\alpha$-stable in the sense that its jump kernel is a combination of a `principal' (state dependent) $\alpha$-stable part with a `residual' lower order part. We show that…
We consider a class of L\'evy-type processes derived via a Doob-transform from L\'evy processes conditioned by a control function called potential. These processes have position-dependent and generally unbounded components, with stationary…
Hawkes processes are a class of point processes that have the ability to model the self- and mutual-exciting phenomena. Although the classic Hawkes processes cover a wide range of applications, their expressive ability is limited due to…