相关论文: Kolmogorov's Equations for Jump Markov Processes a…

This paper provides full classification of dynamics for continuous time Markov chains (CTMCs) on the non-negative integers with polynomial transition rate functions. Such stochastic processes are abundant in applications, in particular in…

The paper studies the rate of convergence of the weak Euler approximation for It\^{o} diffusion and jump processes with H\"{o}lder-continuous generators. It covers a number of stochastic processes including the nondegenerate diffusion…

We consider the class of Piecewise Deterministic Markov Processes (PDMP), whose state space is $\R\_{+}^{*}$, that possess an increasing deterministic motion and that shrink deterministically when they jump. Well known examples for this…

We consider Markov processes that alternate continuous motions and jumps in a general locally compact polish space. Starting from a mechanistic construction, a first contribution of this article is to provide conditions on the dynamics so…

After carefully checking the original Russian version of Kolmogorov (1942), in the present author view, both Spalding and Wilcox misinterpretations are due to the fact that they did not notice the two different symbols, which Kolmogorov…

We present a simulation methodology for Bayesian estimation of rate parameters in Markov jump processes arising for example in stochastic kinetic models. To handle the problem of missing components and measurement errors in observed data,…

We consider the time-inhomogeneous Markovian jump process introduced by John S. Bell [Phys.Rep. 137, 49] for a lattice quantum field theory, which runs on the associated configuration space. Its jump rates, tailored to give the process the…

The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…

The consistency across scales of a recently developed mathematical thermodynamic structure, between a continuous stochastic nonlinear dynamical system (diffusion process with Langevin or Fokker-Planck equations) and its emergent discrete,…

This work (Part (I)) together with its companion (Part (II) [45]) develops a new framework for stochastic functional Kolmogorov equations, which are nonlinear stochastic differential equations depending on the current as well as the past…

This paper considers multidimensional jump type stochastic differential equations with super linear growth and non-Lipschitz coefficients. After establishing a sufficient condition for nonexplosion, this paper presents sufficient…

Designing efficient and rigorous numerical methods for sequential decision-making under uncertainty is a difficult problem that arises in many applications frameworks. In this paper we focus on the numerical solution of a subclass of…

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,…

We propose the Kolmogorov stochasticity parameter, $\lambda$ for energy level spectra to classify quantum systems with corresponding classical dynamics ranging from integrable to chaotic. We also study the probability distribution function…

A jumping process, defined in terms of jump size distribution and waiting time distribution, is presented. The jumping rate depends on the process value. The process, which is Markovian and stationary, relaxes to an equilibrium and is…

This paper has been withdrawn from the arXiv. It is now published by Elsevier in Nonlinear Analysis: Hybrid Systems, see http://dx.doi.org/10.1016/j.nahs.2009.07.008 . A general formulation of the Fokker-Planck-Kolmogorov (FPK) equation for…

We are interested in the connection between a metastable continuous state space Markov process (satisfying e.g. the Langevin or overdamped Langevin equation) and a jump Markov process in a discrete state space. More precisely, we use the…

We analyzed the stochastic behavior of systems controlled by autocatalytic reaction A+X -> X+X, X+X -> A+X, X -> B provided that the distribution of reacting particles in the system volume is uniform, i.e. the point model of reaction…

It is shown that non-Markovian master equations for an open system which are local in time can be unravelled through a piecewise deterministic quantum jump process in its Hilbert space. We derive a stochastic Schr\"odinger equation that…

Flowgraph models provide an alternative approach in modeling a multi-state stochastic process. One of the most widely used stochastic processes that have many real-world applications especially in actuarial models is the Markov jump process…