Non-linear Wiener-Hopf theory, 1 : an appetizer
On a mean reward from a Markov replacement process with only one isolated class of recurrent states
On absorption times and Dirichlet eigenvalues
This paper gives a stochastic representation in spectral terms for the absorption time T of a finite Markov chain which is irreducible and reversible outside the absorbing point. This yields quantitative informations on the parameters of a similar representation due to O'Cinneide for general chains admitting real eigenvalues. In the discrete time setting, if the underlying Dirichlet eigenvalues (namely the eigenvalues of the Markov transition operator restricted to the functions vanishing on...
On adaptive control of a partially observed Markov chain
A control problem for a partially observable Markov chain depending on a parameter with long run average cost is studied. Using uniform ergodicity arguments it is shown that, for values of the parameter varying in a compact set, it is possible to consider only a finite number of nearly optimal controls based on the values of actually computable approximate filters. This leads to an algorithm that guarantees nearly selfoptimizing properties without identifiability conditions. The algorithm is based...
On infection spreading and competition between independent random walks.
On limit properties of the reward from a Markov replacement process
On Markovian traffic with applications to TES processes.
On perturbations of strongly admissible prior distributions
On the exchanges between Wolfgang Doeblin and Bohuslav Hostinský
We present the letters sent by Wolfgang Doeblin to Bohuslav Hostinský between 1936 and 1938. They concern some aspects of the general theory of Markov chains and the solutions of the Chapman-Kolmogorov equation that Doeblin was then establishing for his PhD thesis.
On the lengths of excursions of some Markov processes
On the relative lengths of excursions derived from a stable subordinator
Phase-type distributions and perturbation model
Pitman's theorem for skip-free random walks with Markovian increments.
Pricing bonds and CDS in the model with rating migration induced by a Cox process
We investigate the properties of a rating migration process assuming that it is given by subordination of a discrete time Markov chain and a Cox process. The problem of pricing of defaultable bonds with fractional recovery of par value with rating migration and credit default swaps is considered. As an example of applications of our results, we give an explicit solution to the pricing problem in a model with short rate and intensity processes given by the solution of a two-dimensional Ornstein-Uhlenbeck...
Prognosis and optimization of homogeneous Markov message handling networks
Message handling systems with finitely many servers are mathematically described as homogeneous Markov networks. For hierarchic networks is found a recursive algorithm evaluating after finitely many steps all steady state parameters. Applications to optimization of the system design and management are discussed, as well as a program product 5P (Program for Prognosis of Performance Parameters and Problems) based on the presented theoretical conclusions. The theoretic achievements as well as the practical...
Propriétés de mélange des processus autorégressifs polynomiaux
Pruning Galton–Watson trees and tree-valued Markov processes
We present a new pruning procedure on discrete trees by adding marks on the nodes of trees. This procedure allows us to construct and study a tree-valued Markov process by pruning Galton–Watson trees and an analogous process by pruning a critical or subcritical Galton–Watson tree conditioned to be infinite. Under a mild condition on offspring distributions, we show that the process run until its ascension time has a representation in terms of . A similar result was obtained by Aldous and...
Random walks and exclusion processes among random conductances on random infinite clusters: homogenization and hydrodynamic limit.
Rate of convergence of the Swendsen-Wang dynamics in image segmentation problems : a theoretical and experimental study
Rate of convergence of the Swendsen-Wang dynamics in image segmentation problems: a theoretical and experimental study
We study in this paper the convergence rate of the Swendsen-Wang dynamics towards its equilibrium law, when the energy belongs to a large family of energies used in image segmentation problems. We compute the exponential equivalents of the transitions which control the process at low temperature, as well as the critical constant which gives its convergence rate. We give some theoretical tools to compare this dynamics with Metropolis, and develop an experimental study in order to calibrate...