Two stationarity conditions in the $GI/r_0/M/r_1$ dam

M. Jankiewicz

Displaying similar documents to “Two stationarity conditions in the $G I / r_{0} / M / r_{1}$ dam”

The scaling limits of a heavy tailed Markov renewal process

Julien Sohier (2013)

Annales de l'I.H.P. Probabilités et statistiques

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In this paper we consider heavy tailed Markov renewal processes and we prove that, suitably renormalised, they converge in law towards the $α$ -stable regenerative set. We then apply these results to the strip wetting model which is a random walk $S$ constrained above a wall and rewarded or penalized when it hits the strip $[0, \infty) \times [0, a]$ where $a$ is a given positive number. The convergence result that we establish allows to characterize the scaling limit of this process at criticality.

Covariance structure of wide-sense Markov processes of order k ≥ 1

Arkadiusz Kasprzyk, Władysław Szczotka (2006)

Applicationes Mathematicae

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A notion of a wide-sense Markov process $X_{t}$ of order k ≥ 1, $X_{t} \sim W M (k)$ , is introduced as a direct generalization of Doob’s notion of wide-sense Markov process (of order k=1 in our terminology). A base for investigation of the covariance structure of $X_{t}$ is the k-dimensional process $x_{t} = (X_{t - k + 1}, . . ., X_{t})$ . The covariance structure of $X_{t} \sim W M (k)$ is considered in the general case and in the periodic case. In the general case it is shown that $X_{t} \sim W M (k)$ iff $x_{t}$ is a k-dimensional WM(1) process and iff the covariance function of $x_{t}$ has the triangular...

Stationary distributions for jump processes with memory

K. Burdzy, T. Kulczycki, R. L. Schilling (2012)

Annales de l'I.H.P. Probabilités et statistiques

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We analyze a jump processes $Z$ with a jump measure determined by a “memory” process $S$ . The state space of $(Z, S)$ is the Cartesian product of the unit circle and the real line. We prove that the stationary distribution of $(Z, S)$ is the product of the uniform probability measure and a Gaussian distribution.

On the central limit theorem for some birth and death processes

Tymoteusz Chojecki (2011)

Annales Universitatis Mariae Curie-Sklodowska, sectio A – Mathematica

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Suppose that ${X n : n \geq 0}$ is a stationary Markov chain and $V$ is a certain function on a phase space of the chain, called an observable. We say that the observable satisfies the central limit theorem (CLT) if $Y_{n} : = N^{- 1 / 2} \sum_{n = 0}^{N} V (X_{n})$ converge in law to a normal random variable, as $N \to + \infty$ . For a stationary Markov chain with the $L^{2}$ spectral gap the theorem holds for all $V$ such that $V (X_{0})$ is centered and square integrable, see Gordin [7]. The purpose of this article is to characterize a family of observables $V$ for which the CLT holds...

On Paszkiewicz-type criterion for a.e. continuity of processes in $L^{p}$ -spaces

Jakub Olejnik (2010)

Banach Center Publications

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In this paper we consider processes Xₜ with values in $L^{p}$ , p ≥ 1 on subsets T of a unit cube in ℝⁿ satisfying a natural condition of boundedness of increments, i.e. a process has bounded increments if for some non-decreasing f: ℝ₊ → ℝ₊ ||Xₜ-Xₛ||ₚ ≤ f(||t-s||), s,t ∈ T. We give a sufficient criterion for a.s. continuity of all processes with bounded increments on subsets of a given set T. This criterion turns out to be necessary for a wide class of functions f. We use a geometrical Paszkiewicz-type...

Probabilistic properties of a Markov-switching periodic $G A R C H$ process

Billel Aliat, Fayçal Hamdi (2019)

Kybernetika

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In this paper, we propose an extension of a periodic $G A R C H$ ( $P G A R C H$ ) model to a Markov-switching periodic $G A R C H$ ( $M S$ - $P G A$ $R C H$ ), and provide some probabilistic properties of this class of models. In particular, we address the question of strictly periodically and of weakly periodically stationary solutions. We establish necessary and sufficient conditions ensuring the existence of higher order moments. We further provide closed-form expressions for calculating the even-order moments as well...

Metastability in reversible diffusion processes I: Sharp asymptotics for capacities and exit times

Anton Bovier, Michael Eckhoff, Véronique Gayrard, Markus Klein (2004)

Journal of the European Mathematical Society

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We develop a potential theoretic approach to the problem of metastability for reversible diffusion processes with generators of the form $- ϵ Δ + \nabla F (\cdot) \nabla$ on $ℝ^{d}$ or subsets of $ℝ^{d}$ , where $F$ is a smooth function with finitely many local minima. In analogy to previous work on discrete Markov chains, we show that metastable exit times from the attractive domains of the minima of $F$ can be related, up to multiplicative errors that tend to one as $ϵ ↓ 0$ , to the capacities of suitably constructed sets. We show that...

Distortion inequality for the Frobenius-Perron operator and some of its consequences in ergodic theory of Markov maps in $ℝ^{d}$

Piotr Bugiel (1998)

Annales Polonici Mathematici

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Asymptotic properties of the sequences (a) ${P_{φ}^{j} g}_{j = 1}^{\infty}$ and (b) ${j^{- 1} \sum_{i = 0}^{j - 1} P ⁱ_{φ} g}_{j = 1}^{\infty}$ , where $P_{φ} : L ¹ \to L ¹$ is the Frobenius-Perron operator associated with a nonsingular Markov map defined on a σ-finite measure space, are studied for g ∈ G = f ∈ L¹: f ≥ 0 and ⃦f ⃦ = 1. An operator-theoretic analogue of Rényi’s Condition is introduced. It is proved that under some additional assumptions this condition implies the L¹-convergence of the sequences (a) and (b) to a unique g₀ ∈ G. The general result is applied to some smooth Markov...

Evaluating default priors with a generalization of Eaton’s Markov chain

Brian P. Shea, Galin L. Jones (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We consider evaluating improper priors in a formal Bayes setting according to the consequences of their use. Let $𝛷$ be a class of functions on the parameter space and consider estimating elements of $𝛷$ under quadratic loss. If the formal Bayes estimator of every function in $𝛷$ is admissible, then the prior is strongly admissible with respect to $𝛷$ . Eaton’s method for establishing strong admissibility is based on studying the stability properties of a particular Markov chain associated with...

Universal rates for estimating the residual waiting time in an intermittent way

Gusztáv Morvai, Benjamin Weiss (2020)

Kybernetika

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A simple renewal process is a stochastic process ${X_{n}}$ taking values in ${0, 1}$ where the lengths of the runs of $1$ ’s between successive zeros are independent and identically distributed. After observing $X_{0}, X_{1}, ... X_{n}$ one would like to estimate the time remaining until the next occurrence of a zero, and the problem of universal estimators is to do so without prior knowledge of the distribution of the process. We give some universal estimates with rates for the expected time to renewal as well as for the conditional...

On smoothing properties of transition semigroups associated to a class of SDEs with jumps

Seiichiro Kusuoka, Carlo Marinelli (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We prove smoothing properties of nonlocal transition semigroups associated to a class of stochastic differential equations (SDE) in $ℝ^{d}$ driven by additive pure-jump Lévy noise. In particular, we assume that the Lévy process driving the SDE is the sum of a subordinated Wiener process $Y$ (i.e. $Y = W \circ T$ , where $T$ is an increasing pure-jump Lévy process starting at zero and independent of the Wiener process $W$ ) and of an arbitrary Lévy process independent of $Y$ , that the drift coefficient is continuous...

Lévy processes conditioned on having a large height process

Mathieu Richard (2013)

Annales de l'I.H.P. Probabilités et statistiques

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In the present work, we consider spectrally positive Lévy processes $(X_{t}, t \geq 0)$ not drifting to $+ \infty$ and we are interested in conditioning these processes to reach arbitrarily large heights (in the sense of the height process associated with $X$ ) before hitting $0$ . This way we obtain a new conditioning of Lévy processes to stay positive. The (honest) law $ℙ_{x}^{☆}$ of this conditioned process (starting at $x g t; 0$ ) is defined as a Doob $h$ -transform via a martingale. For Lévy processes with infinite variation paths,...

Time-varying Markov decision processes with state-action-dependent discount factors and unbounded costs

Beatris A. Escobedo-Trujillo, Carmen G. Higuera-Chan (2019)

Kybernetika

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In this paper we are concerned with a class of time-varying discounted Markov decision models $ℳ_{n}$ with unbounded costs $c_{n}$ and state-action dependent discount factors. Specifically we study controlled systems whose state process evolves according to the equation $x_{n + 1} = G_{n} (x_{n}, a_{n}, ξ_{n}), n = 0, 1, ...$ , with state-action dependent discount factors of the form $α_{n} (x_{n}, a_{n})$ , where $a_{n}$ and $ξ_{n}$ are the control and the random disturbance at time $n$ , respectively. Assuming that the sequences of functions ${α_{n}}$ , ${c_{n}}$ and ${G_{n}}$ converge, in certain sense, to $α_{\infty}$ ,...

Markov's property for kth derivative

Mirosław Baran, Beata Milówka, Paweł Ozorka (2012)

Annales Polonici Mathematici

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Consider the normed space $(ℙ (ℂ^{N}), | | \cdot | |)$ of all polynomials of N complex variables, where || || a norm is such that the mapping $L_{g} : (ℙ (ℂ^{N}), | | \cdot | |) ∋ f \mapsto g f \in (ℙ (ℂ^{N}), | | \cdot | |)$ is continuous, with g being a fixed polynomial. It is shown that the Markov type inequality $| \partial / \partial z_{j} {P | | \leq M (d e g P)}^{m} | | P | |$ , j = 1,...,N, $P \in ℙ (ℂ^{N})$ , with positive constants M and m is equivalent to the inequality $| | \partial^{N} / \partial z ₁ . . . \partial z_{N} P | | \leq M^{'} {(d e g P)}^{m^{'}} | | P | |$ , $P \in ℙ (ℂ^{N})$ , with some positive constants M’ and m’. A similar equivalence result is obtained for derivatives of a fixed order k ≥ 2, which can be more specifically formulated in the language of normed algebras....

On the strong Brillinger-mixing property of $α$ -determinantal point processes and some applications

Lothar Heinrich (2016)

Applications of Mathematics

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First, we derive a representation formula for all cumulant density functions in terms of the non-negative definite kernel function $C (x, y)$ defining an $α$ -determinantal point process (DPP). Assuming absolute integrability of the function $C_{0} (x) = C (o, x)$ , we show that a stationary $α$ -DPP with kernel function $C_{0} (x)$ is “strongly” Brillinger-mixing, implying, among others, that its tail- $σ$ -field is trivial. Second, we use this mixing property to prove rates of normal convergence for shot-noise processes and sketch...

The weak convergence of regenerative processes using some excursion path decompositions

Amaury Lambert, Florian Simatos (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We consider regenerative processes with values in some general Polish space. We define their $ε$ -big excursions as excursions $e$ such that $ϕ (e) g t; ε$ , where $ϕ$ is some given functional on the space of excursions which can be thought of as, e.g., the length or the height of $e$ . We establish a general condition that guarantees the convergence of a sequence of regenerative processes involving the convergence of $ε$ -big excursions and of their endpoints, for all $ε$ in a set whose closure contains $0$ . Finally,...

Smoothness of Green's functions and Markov-type inequalities

Leokadia Białas-Cież (2011)

Banach Center Publications

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Let E be a compact set in the complex plane, $g_{E}$ be the Green function of the unbounded component of $ℂ_{\infty} ∖ E$ with pole at infinity and $M ₙ (E) = s u p (| | P^{'} {| |}_{E} {) / (| | P | |}_{E})$ where the supremum is taken over all polynomials ${P |}_{E} ≢ 0$ of degree at most n, and ${| | f | |}_{E} = s u p | f (z) | : z \in E$ . The paper deals with recent results concerning a connection between the smoothness of $g_{E}$ (existence, continuity, Hölder or Lipschitz continuity) and the growth of the sequence ${M ₙ (E)}_{n = 1, 2, . . .}$ . Some additional conditions are given for special classes of sets.

Tangential Markov inequality in $L^{p}$ norms

Agnieszka Kowalska (2015)

Banach Center Publications

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In 1889 A. Markov proved that for every polynomial p in one variable the inequality $| | p^{'} {| |}_{[- 1, 1]} {\leq (d e g p) ² | | p | |}_{[- 1, 1]}$ is true. Moreover, the exponent 2 in this inequality is the best possible one. A tangential Markov inequality is a generalization of the Markov inequality to tangential derivatives of certain sets in higher-dimensional Euclidean spaces. We give some motivational examples of sets that admit the tangential Markov inequality with the sharp exponent. The main theorems show that the results on certain arcs...

From a kinetic equation to a diffusion under an anomalous scaling

Giada Basile (2014)

Annales de l'I.H.P. Probabilités et statistiques

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A linear Boltzmann equation is interpreted as the forward equation for the probability density of a Markov process $(K (t), i (t), Y (t))$ on $(𝕋^{2} \times {1, 2} \times ℝ^{2})$ , where $𝕋^{2}$ is the two-dimensional torus. Here $(K (t), i (t))$ is an autonomous reversible jump process, with waiting times between two jumps with finite expectation value but infinite variance. $Y (t)$ is an additive functional of $K$ , defined as $\int_{0}^{t} v (K (s)) d s$ , where $| v | \sim 1$ for small $k$ . We prove that the rescaled process ${(N ln N)}^{- 1 / 2} Y (N t)$ converges in distribution to a two-dimensional Brownian motion. As a consequence,...

Spectral condition, hitting times and Nash inequality

Eva Löcherbach, Oleg Loukianov, Dasha Loukianova (2014)

Annales de l'I.H.P. Probabilités et statistiques

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Let $X$ be a $μ$ -symmetric Hunt process on a LCCB space $𝙴$ . For an open set $𝙶 \subseteq 𝙴$ , let $τ_{𝙶}$ be the exit time of $X$ from $𝙶$ and $A^{𝙶}$ be the generator of the process killed when it leaves $𝙶$ . Let $r : [0, \infty [\to [0, \infty [$ and $R (t) = \int_{0}^{t} r (s) d s$ . We give necessary and sufficient conditions for $𝔼_{μ} R (τ_{𝙶}) l t; \infty$ in terms of the behavior near the origin of the spectral measure of $- A^{𝙶}$ . When $r (t) = t^{l}$ , $l \geq 0$ , by means of this condition we derive the Nash inequality for the killed process. In the diffusion case this permits to show that the existence of moments of order $l + 1$ for $τ_{𝙶}$ ...

Displaying similar documents to “Two stationarity conditions in the G I / r 0 / M / r 1 dam”

Displaying similar documents to “Two stationarity conditions in the $G I / r_{0} / M / r_{1}$ dam”