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

The basic system of differential equations for a multiphase flow with the introduction of the probability of each phase in the flow is considered. The main analysis is focused on the case of a heterogeneous two-phase flow. The conservation…

We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic…

We present a general approach for computing the dynamic partition function of a continuous-time Markov process. The Ruelle topological pressure is identified with the large deviation function of a physical observable. We construct for the…

In classical stochastic theory, the joint probability distributions of a stochastic process obey by definition the Kolmogorov consistency conditions. Interpreting such a process as a sequence of physical measurements with probabilistic…

Hidden Markov jump processes are an attractive approach for modeling clinical disease progression data because they are explainable and capable of handling both irregularly sampled and noisy data. Most applications in this context consider…

We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in application domains where events and intensities accelerate…

Stochastic kinetic models (SKMs) are increasingly used to account for the inherent stochasticity exhibited by interacting populations of species in areas such as epidemiology, population ecology and systems biology. Species numbers are…

Systems out of equilibrium, in stationary as well as in nonstationary regimes, display a linear response to energy impulses simply expressed as the sum of two specific temporal correlation functions. There is a natural interpretation of…

An infinite system of point particles placed in $\mathds{R}^d$ is studied. Its constituents perform random jumps with mutual repulsion described by a translation-invariant jump kernel and interaction potential, respectively. The pure states…

We analyse the proof of Bell's inequality and demonstrate that this inequality is related to one particular model of probability theory, namely Kolmogorov measure-theoretical axiomatics, 1933. We found a (numerical) statistical correction…

The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that are driven by stochastic jumps. Essentially, there is a jump…

We deal with a class of semilinear parabolic PDEs on the space of continuous functions that arise, for example, as Kolmogorov equations associated to the infinite-dimensional lifting of path-dependent SDEs. We investigate existence of…

We consider Markov jump processes on a graph described by a rate matrix that depends on various control parameters. We derive explicit expressions for the static responses of edge currents and steady-state probabilities. We show that they…

This paper introduces Switching Processes, called SP. Their constructions are inspired by the PDMP's ones (PDMP stands for Piecewise Deterministic Markov Process). A Markov process, called the intrinsic process, replaces the PDMP's flow.…

We consider stochastic (partial) differential equations appearing as Markovian lifts of affine Volterra processes with jumps from the point of view of the generalized Feller property which was introduced in e.g.~\cite{doetei:10}. In…

We characterize various forms of positive dependence for a general class of time-inhomogeneous Markov processes called Feller evolution processes (FEPs) and for jump-FEPs. General FEPs can be studied through their time and state-space…

For Kolmogorov equations associated to finite dimensional stochastic differential equations (SDEs) in high dimension, a numerical method alternative to Monte Carlo simulations is proposed. The structure of the SDE is inspired by stochastic…

In this paper, we are interested in the exact simulation of a class of Piecewise Deterministic Markov Processes (PDMP). We show how to perform efficient thinning algorithms depending on the jump rate bound. For different types of jump rate…

Consecutive stochastic 90{\deg} polarization switching events, clearly resolved in recent experiments, are described by a new nucleation and growth multi-step model. It extends the classical Kolmogorov-Avrami-Ishibashi approach and includes…

We propose a channel modeling using jump-diffusion processes, and study the differential properties of entropy and mutual information. By utilizing the Kramers-Moyal and Kolmogorov-Feller equations, we express the mutual information between…