Zobrazeno 1 - 10
of 16
pro vyhledávání: '"Levent Ali Mengütürk"'
Autor:
Levent Ali Mengütürk
Publikováno v:
Journal of Applied Probability. 60:394-417
We study a multivariate system over a finite lifespan represented by a Hermitian-valued random matrix process whose eigenvalues (i) interact in a mean-field way and (ii) converge to their weighted ensemble average at their terminal time. We prove tha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::87ef134d8fb9b7078b2e7613ba7005e3
https://doi.org/10.1017/jpr.2022.53
https://doi.org/10.1017/jpr.2022.53
Autor:
Levent Ali Mengütürk
Publikováno v:
Journal of Theoretical Probability. 36:845-875
We develop a probabilistic information framework via what we call irrevocably modulated filtrations produced by non-invertible matrix-valued jump processes acting on multivariate observation processes carrying noisy signals. Under certain conditions,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a17291865f45bdd94b6c8dafc5abc4b
https://doi.org/10.1007/s10959-022-01201-0
https://doi.org/10.1007/s10959-022-01201-0
Publikováno v:
Journal of Statistical Physics. 190
We introduce a family of processes that generalises captive diffusions, whereby the stochastic evolution that remains within a pair of time-dependent boundaries can further be piecewise-tunneled internally. The tunneling effect on the dynamics can be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::840382faded81ef3ae7c714fa0898731
https://doi.org/10.1007/s10955-022-02996-2
https://doi.org/10.1007/s10955-022-02996-2
Autor:
Levent Ali Mengütürk, Edward Hoyle
Publikováno v:
Journal of Applied Probability. 57:1088-1110
We define a new family of multivariate stochastic processes over a finite time horizon that we call generalised Liouville processes (GLPs). GLPs are Markov processes constructed by splitting Lévy random bridges into non-overlapping subprocesses via
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3cba9834102a491afe4988b2e0a6fb40
https://doi.org/10.1017/jpr.2020.61
https://doi.org/10.1017/jpr.2020.61
Publikováno v:
Journal of Physics A: Mathematical and Theoretical. 55:465001
We introduce a real-valued family of interacting diffusions where their paths can meet but cannot cross each other in a way that would alter their initial order. Any given interacting pair is a solution to coupled stochastic differential equations wi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::93e7175854d3e4f9233a682bdc22e96c
https://doi.org/10.1088/1751-8121/aca188
https://doi.org/10.1088/1751-8121/aca188
Autor:
Levent Ali Mengütürk
Publikováno v:
Journal of Physics A: Mathematical and Theoretical. 55:199501
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d0d935f82429af3843cf458f31b9899c
https://doi.org/10.1088/1751-8121/ac6139
https://doi.org/10.1088/1751-8121/ac6139
Publikováno v:
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences. 476
We propose a class of stochastic processes that we call captive diffusions, which evolve within measurable pairs of càdlàg bounded functions that admit bounded right-derivatives at points where they are continuous. In full generality, such processe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::39bbd386af552b130d814412ba977818
https://doi.org/10.1098/rspa.2020.0294
https://doi.org/10.1098/rspa.2020.0294
Autor:
Levent Ali Mengütürk
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 494:465-483
The paper introduces a class of conditioned stochastic processes that we call Gaussian random bridges (GRBs) and proves some of their properties. Due to the anticipative representation of any GRB as the sum of a random variable and a Gaussian ( T , 0
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4c53ab4d67ee7720d477a25bb5bb99d3
https://doi.org/10.1016/j.physa.2017.12.040
https://doi.org/10.1016/j.physa.2017.12.040
Autor:
Levent Ali Mengütürk
Publikováno v:
Journal of Physics A: Mathematical and Theoretical. 54:435001
We study a family of interacting particle diffusions that converge to their random ensemble-average at some fixed future time for any given number of elements in the system. We impose certain conditions on a class of differential equations that model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d1b71171b7568c03a9889aa8a354658d
https://doi.org/10.1088/1751-8121/ac2715
https://doi.org/10.1088/1751-8121/ac2715
Publikováno v:
Journal of Mathematical Physics. 61:102104
This paper introduces a class of stochastic processes constructed by conditioning cadlag processes to take a predetermined set of marginal laws at fixed points in time. We collectively refer to the elements of this class of processes as random n-brid
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::192bc610f015008645377c6d0f2df97f
https://doi.org/10.1063/5.0004810
https://doi.org/10.1063/5.0004810