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Fuzzy Observables: from Weak Markov Kernels to Markov Kernels [PDF]
International Journal of Theoretical Physics, 2023 AbstractWe provide a proof based on transfinite induction that every weak Markov kernel is equivalent to a Markov kernel. We only assume the space where the weak Markov kernel is defined to be second countable and metrizable. That generalizes some previous results where the kernel is required to be defined on a standard Borel space (which is second ...
Roberto Beneduci
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Rate Functions for Symmetric Markov Processes via Heat Kernel [PDF]
Potential Analysis, 2015 By making full use of heat kernel estimates, we establish the integral tests on the zero-one laws of upper and lower bounds for the sample path ranges of symmetric Markov processes.
Yuichi Shiozawa, Jian Wang
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Information geometry of Markov Kernels: a survey [PDF]
Frontiers in Physics, 2023 Information geometry and Markov chains are two powerful tools used in modern fields such as finance, physics, computer science, and epidemiology. In this survey, we explore their intersection, focusing on the theoretical framework. We attempt to provide a self-contained treatment of the foundations without requiring a solid background in differential ...
Geoffrey Wolfer, Shun Watanabe
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Kernel-based Hidden Markov Conditional Densities
SSRN Electronic Journal, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jan G. De Gooijer +2 more
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A note on conditional expectation for Markov kernels [PDF]
Statistics & Probability Letters, 2021 9 pages, 1 ...
Agustín García Nogales
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Covariance Kernels of Gaussian Markov Processes [PDF]
, 2015 32 ...
Kerry Fendick
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Asymptotics of Markov Kernels and the Tail Chain [PDF]
Advances in Applied Probability, 2013 An asymptotic model for the extreme behavior of certain Markov chains is the ‘tail chain’. Generally taking the form of a multiplicative random walk, it is useful in deriving extremal characteristics, such as point process limits. We place this model in a more general context, formulated in terms of extreme value theory for transition kernels, and ...
Sidney I. Resnick, David Zeber
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Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes [PDF]
International Journal of Theoretical and Applied Finance, 2010 We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We multiply such a propagator with a positive, time-dependent and decreasing weight function, and integrate the product over time.
Jirô Akahori, Andrea Macrina
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