Nonstationary Markovian replication process causing diverse diffusions

Stationarity-based specification tests for diffusions when the process is nonstationary

We analyze in this paper the asymptotic behavior of the specification test of Aït-Sahalia (1996) for the stationary density of a diffusion process, but when the diffusion is not stationary. We consider integrated and explosive processes, as well as nearly integrated ones in the spirit of the local to unity analysis in classical unit root theory. We find that the behavior of the test predicted b...

Stability of numerical methods for jump diffusions and Markovian switching jump diffusions

This work is devoted to stability analysis of numerical solutions for jump diffusions and jump diffusions with Markovian switching. Different from the existing treatment of Euler-Maurayama methods for solutions of stochastic differential equations, we use techniques from stochastic approximation. We analyze the almost sure exponential stability and exponential pstability. Then Markovian regime-...

First Passage Time Moments of Jump-Diffusions with Markovian Switching

Extended Markovian Process Algebra

EMPA enhances the expressiveness of classical process algebras by integrating functional and performance descriptions of concurrent systems. This is achieved by ooering, besides passive actions (useful for pure nondeterminism), actions whose duration is exponentially distributed as well as immediate actions (useful for performance abstraction), parametrized by priority levels (hence prioritized...

Dempster-Shafer fusion of multisensor signals in nonstationary Markovian context

The latest developments in Markov models’ theory and their corresponding computational techniques have opened new rooms for image and signal modeling. In particular, the use of Dempster–Shafer theory of evidence within Markov models has brought some keys to several challenging difficulties that the conventional hidden Markov models cannot handle. These difficulties are concerned mainly with two...