We consider a sequence of Poisson cluster point processes on
: at step
of the construction, the cluster centers have intensity
for some
, and each cluster consists of the particles of a branching random walk up to generation n—g…
This paper provides a full classification of the dynamics for continuous-time Markov chains (CTMCs) on the nonnegative integers with polynomial transition rate functions and without arbitrary large backward jumps. Such stochastic processes are abunda…
In this paper, we study the optimal multiple stopping problem under the filtration-consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appropriate assumptions, rather than a process that is right-contin…
We study a stochastic compartmental susceptible–infected (SI) epidemic process on a configuration model random graph with a given degree distribution over a finite time interval. We split the population of graph vertices into two compartments, namely, …
Matryoshka dolls, the traditional Russian nesting figurines, are known worldwide for each doll’s encapsulation of a sequence of smaller dolls. In this paper, we exploit the structure of a new sequence of nested matrices we call matryoshkan matrices i…
We obtain series expansions of the q-scale functions of arbitrary spectrally negative Lévy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit q-scale functions. Moreover, we study smoo…
In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman–Bucy filter estimates based upon several nonlinear Kalman–Bucy diffusions…
In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman–Bucy filter estimates based upon several nonlinear Kalman–Bucy diffusions…
We investigate expansions for connectedness functions in the random connection model of continuum percolation in powers of the intensity. Precisely, we study the pair-connectedness and the direct-connectedness functions, related to each other via the…
This paper studies a mixed singular/switching stochastic control problem for a multidimensional diffusion with multiple regimes on a bounded domain. Using probabilistic partial differential equation and penalization techniques, we show that the value f…