Polynomial Convergence Rates of Piecewise Deterministic Markov Processes
Methodology and Computing in Applied Probability, 2022 Abstract We consider piecewise-deterministic Markov processes such as the Bouncy Particle sampler, on target densities with polynomial tails. Using direct drift condition methods, we provide bounds on the polynomial order of the processes' convergence rate to stationary, on both one-dimensional and high-dimensional state spaces, in both total ...
Roberts, Gareth O. +1 more
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Vasicek model with mixed-exponential jumps and its applications in finance and insurance
Advances in Difference Equations, 2018 In this paper, the authors study the distribution of the Vasicek model with mixed-exponential jumps and its applications in finance and insurance. With the aid of the piecewise deterministic Markov process theory and the martingale theory, the authors ...
Yongfeng Wu, Xue Liang
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Numerical methods for piecewise deterministic Markov processes with boundary
ESAIM: Proceedings and Surveys, 2014 In this paper is described the general aspect of a numerical method for piecewise deterministic Markov processes with boundary. Under very natural hypotheses, a crucial result about uniqueness of solution of a generalized Kolmogorov ...
Goudenège Ludovic
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Piecewise Deterministic Markov Processes in Biological Models [PDF]
, 2014 in: Semigroup of Operators - Theory and Applications, J. Banasiak et al. (eds.), Springer Proceedings in Mathematics & Statistics 113, (2015), pp.
Rudnicki, Ryszard, Tyran-Kaminska, Marta
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On Risk-Sensitive Piecewise Deterministic Markov Decision Processes [PDF]
Applied Mathematics & Optimization, 2018 We consider a piecewise deterministic Markov decision process, where the expected exponential utility of total (nonnegative) cost is to be minimized. The cost rate, transition rate and post-jump distributions are under control. The state space is Borel, and the transition and cost rates are locally integrable along the drift.
Guo, Xin, Zhang, Yi
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The Analogue of Bohm-Bell Processes on a Graph [PDF]
, 2005 Bohm-Bell processes, of interest in the foundations of quantum field theory, form a class of Markov processes $Q_t$ generalizing in a natural way both Bohm's dynamical system in configuration space for nonrelativistic quantum mechanics and Bell's jump ...
Balachandran +26 more
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A piecewise deterministic scaling limit of Lifted Metropolis-Hastings in the Curie-Weiss model [PDF]
, 2016 In Turitsyn, Chertkov, Vucelja (2011) a non-reversible Markov Chain Monte Carlo (MCMC) method on an augmented state space was introduced, here referred to as Lifted Metropolis-Hastings (LMH).
Bierkens, Joris, Roberts, Gareth
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Optimal choice among a class of nonparametric estimators of the jump rate for piecewise-deterministic Markov processes [PDF]
, 2016 A piecewise-deterministic Markov process is a stochastic process whose behavior is governed by an ordinary differential equation punctuated by random jumps occurring at random times.
Azaïs, Romain, Muller-Gueudin, Aurélie
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Stochastic semantics for Communicating Piecewise Deterministic Markov Processes [PDF]
Proceedings of the 44th IEEE Conference on Decision and Control, 2006 CPDPs (Communicating Piecewise Deterministic Markov Processes) can be used for compositional specification of systems from the class of stochastic hybrid processes formed by PDPs (Piecewise Deterministic Markov Processes). We give an extension of the CPDP model.
Strubbe, S.N., van der Schaft, Arjan
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Applications of Stochastic Semigroups to Queueing Models
Annales Mathematicae Silesianae, 2019 Non-markovian queueing systems can be extended to piecewise-deterministic Markov processes by appending supplementary variables to the system. Then their analysis leads to an infinite system of partial differential equations with an infinite number of ...
Gwiżdż Piotr
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