相关论文: Duality in stochastic processes from the viewpoint…
Duality relations between continuous-state and discrete-state stochastic processes with continuous-time have already been studied and used in various research fields. We propose extended duality relations, which enable us to derive…
For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…
An idea for evaluating transition probabilities in chemical reaction systems is proposed, which is efficient for repeated calculations with various rate constants. The idea is based on duality relations; instead of direct time-evolutions of…
In the context of Markov processes, we show a new scheme to derive dual processes and a duality function based on a boson representation. This scheme is applicable to a case in which a generator is expressed by boson creation and…
We derive a unified stochastic picture for the duality of a resampling-selection model with a branching-coalescing particle process (cf. http://www.ams.org/mathscinet-getitem?mr=MR2123250) and for the self-duality of Feller's branching…
In this article we develop a new methodology to prove weak approximation results for general stochastic differential equations. Instead of using a partial differential equation approach as is usually done for diffusions, the approach…
A method yielding simple relationships among bilateral birth-and-death processes is outlined. This allows one to relate birth and death rates of two processes in such a way that their transition probabilities, first-passage-time densities…
We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…
Stochastic Taylor expansions of the expectation of functionals applied to diffusion processes which are solutions of stochastic differential equation systems are introduced. Taylor formulas w.r.t. increments of the time are presented for…
The paper is devoted to a systematic study of the duality of processes in the sense that $E f(X_t^x,y)=E f (x, Y_t^y)$ for a certain $f$. This classical topic has well known applications in interacting particles, intertwining,…
We provide a systematic study of the notion of duality of Markov processes with respect to a function. We discuss the relation of this notion with duality with respect to a measure as studied in Markov process theory and potential theory…
Stochastic differential equations are widely used in various fields; in particular, the usefulness of duality relations has been demonstrated in some models such as population models and Brownian momentum processes. In this study, a…
Spatially dependent birth-death processes can be modelled by kinetic models such as the BBGKY hierarchy. Diffusion in infinite dimensional systems can be modelled with Brownian motion in Hilbert space. In this work Doi field theoretic…
We show that a substantial portion of stochastic calculus can be developed along similar lines to ordinary calculus, with derivative-based concepts driving the development. We define a notion of stopping derivative, which is a form of right…
In this paper, we develop two stochastic models where the variable under consideration follows Harris distribution. The mean and variance of the processes are derived and the processes are shown to be non-stationary. In the second model,…
Complex systems are often characterized by the interplay of multiple interconnected dynamical processes operating across a range of temporal scales. This phenomenon is widespread in both biological and artificial scenarios, making it…
We start from the observation that, anytime two Markov generators share an eigenvalue, the function constructed from the product of the two eigenfunctions associated to this common eigenvalue is a duality function. We push further this…
It is possible to construct a double indexed process with sample paths a surface of a family of subordinators obtained by subordination. We study here a branch of this subordination process. This opens martingale methods on symbolic…
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
We study gradient flows of general functionals with linear growth with very weak assumptions. Classical results concerning characterisation of solutions require differentiability of the Lagrangian, as for the time-dependent minimal surface…