Calcul des variations sur un brownien subordonné
Coalescent processes in subdivided populations subject to recurrent mass extinctions.
Coalescents with simultaneous multiple collisions.
Comparison results for reflected jump-diffusions in the orthant with variable reflection directions and stability applications.
Conditional Markov chains - construction and properties
In this paper we study finite state conditional Markov chains (CMCs). We give two examples of CMCs, one which admits intensity, and another one, which does not admit an intensity. We also give a sufficient condition under which a doubly stochastic Markov chain is a CMC. In addition we provide a method for construction of conditional Markov chains via change of measure.
Conservation property of symmetric jump processes
Motivated by the recent development in the theory of jump processes, we investigate its conservation property. We will show that a jump process is conservative under certain conditions for the volume-growth of the underlying space and the jump rate of the process. We will also present examples of jump processes which satisfy these conditions.
Continuity of solutions of Riccati equations for the discrete-time JLQP
The continuity of the solutions of difference and algebraic coupled Riccati equations for the discrete-time Markovian jump linear quadratic control problem as a function of coefficients is verified. The line of reasoning goes through the use of the minimum property formulated analogously to the one for coupled continuous Riccati equations presented by Wonham and a set of comparison theorems.
Control of jump processes and applications