scholarly journals Absorption time and absorption probabilities for a family of multidimensional gambler models

2022 ◽  
Vol 19 (1) ◽  
pp. 125
Author(s):  
Paweł Lorek ◽  
Piotr Markowski
Keyword(s):  
Absorption Time ◽  
Absorption Probabilities

scholarly journals Wald’s martingale and the conditional distributions of absorption time in the Moran process

2020 ◽  
Vol 476 (2241) ◽  
pp. 20200135
Author(s):  
Travis Monk ◽  
André van Schaik
Keyword(s):  
Stochastic Processes ◽  
Death Process ◽  
Characteristic Functions ◽  
Evolutionary Models ◽  
Conditional Distributions ◽  
Absorption Time ◽  
Moran Process ◽  
Conditional Time ◽  
Fixation Probabilities ◽  
Absorption Probabilities

Many models of evolution are stochastic processes, where some quantity of interest fluctuates randomly in time. One classic example is the Moranbirth–death process, where that quantity is the number of mutants in a population. In such processes, we are often interested in their absorption (i.e. fixation) probabilities and the conditional distributions of absorption time. Those conditional time distributions can be very difficult to calculate, even for relatively simple processes like the Moran birth–death model. Instead of considering the time to absorption, we consider a closely related quantity: the number of mutant population size changes before absorption. We use Wald’s martingale to obtain the conditional characteristic functions of that quantity in the Moran process. Our expressions are novel, analytical and exact, and their parameter dependence is explicit. We use our results to approximate the conditional characteristic functions of absorption time. We state the conditions under which that approximation is particularly accurate. Martingales are an elegant framework to solve principal problems of evolutionary stochastic processes. They do not require us to evaluate recursion relations, so when they are applicable, we can quickly and tractably obtain absorption probabilities and times of evolutionary models.

On the absorption probabilities and mean time for absorption for discrete Markov chains

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Nikolaos Halidias
Keyword(s):  
Markov Chain ◽  
Random Walk ◽  
Markov Chains ◽  
Generating Function ◽  
Discrete Time ◽  
Probability Generating Function ◽  
The Mean ◽  
Mean Time ◽  
Absorption Probabilities

Abstract In this note we study the probability and the mean time for absorption for discrete time Markov chains. In particular, we are interested in estimating the mean time for absorption when absorption is not certain and connect it with some other known results. Computing a suitable probability generating function, we are able to estimate the mean time for absorption when absorption is not certain giving some applications concerning the random walk. Furthermore, we investigate the probability for a Markov chain to reach a set A before reach B generalizing this result for a sequence of sets A 1 , A 2 , … , A k {A_{1},A_{2},\dots,A_{k}} .

scholarly journals Absorption in Invariant Domains for Semigroups of Quantum Channels

2021 ◽  
Author(s):  
Raffaella Carbone ◽  
Federico Girotti
Keyword(s):  
Hilbert Space ◽  
Ergodic Theory ◽  
Markov Processes ◽  
Separable Hilbert Space ◽  
Quantum Channels ◽  
Quantum Markov Processes ◽  
Positive Recurrent ◽  
Markov Evolution ◽  
Absorption Probabilities ◽  
Invariant Domains

AbstractWe introduce a notion of absorption operators in the context of quantum Markov processes. The absorption problem in invariant domains (enclosures) is treated for a quantum Markov evolution on a separable Hilbert space, both in discrete and continuous times: We define a well-behaving set of positive operators which can correspond to classical absorption probabilities, and we study their basic properties, in general, and with respect to accessibility structure of channels, transience and recurrence. In particular, we can prove that no accessibility is allowed between the null and positive recurrent subspaces. In the case, when the positive recurrent subspace is attractive, ergodic theory will allow us to get additional results, in particular about the description of fixed points.

A temporal factorization at the maximum for certain positive self-similar Markov processes

2020 ◽  
Vol 57 (4) ◽  
pp. 1045-1069
Author(s):  
Matija Vidmar
Keyword(s):  
Markov Process ◽  
Laplace Transform ◽  
Markov Processes ◽  
Absorption Time ◽  
The Laplace Transform ◽  
Self Similar

AbstractFor a spectrally negative self-similar Markov process on $[0,\infty)$ with an a.s. finite overall supremum, we provide, in tractable detail, a kind of conditional Wiener–Hopf factorization at the maximum of the absorption time at zero, the conditioning being on the overall supremum and the jump at the overall supremum. In a companion result the Laplace transform of this absorption time (on the event that the process does not go above a given level) is identified under no other assumptions (such as the process admitting a recurrent extension and/or hitting zero continuously), generalizing some existing results in the literature.

Evaluations of absorption probabilities for the Wiener process on large intervals

1980 ◽  
Vol 17 (02) ◽  
pp. 363-372 ◽  
Author(s):  
C. Park ◽  
F. J. Schuurmann
Keyword(s):  
Stochastic Processes ◽  
Wiener Process ◽  
Standard Wiener Process ◽  
Computationally Efficient ◽  
The Past ◽  
Gaussian Stochastic Processes ◽  
Absorption Probabilities

Let {W(t), 0≦t<∞} be the standard Wiener process. The computation schemes developed in the past are not computationally efficient for the absorption probabilities of the type P{sup0≦t≦T W(t) − f(t) ≧ 0} when either T is large or f(0) > 0 is small. This paper gives an efficient and accurate algorithm to compute such probabilities, and some applications to other Gaussian stochastic processes are discussed.

Absorption time by a random trap distribution

1980 ◽  
Vol 21 (7) ◽  
pp. 1643-1645 ◽  
Author(s):  
Herbert B. Rosenstock
Keyword(s):  
Absorption Time

Absorption Time of NegativeΣHyperons in Liquid Hydrogen

1965 ◽  
Vol 15 (15) ◽  
pp. 639-641 ◽  
Author(s):  
R. A. Burnstein ◽  
G. A. Snow ◽  
H. Whiteside
Keyword(s):  
Liquid Hydrogen ◽  
Absorption Time

On determining absorption probabilities for Markov chains in random environments

1981 ◽  
Vol 13 (2) ◽  
pp. 369-387 ◽  
Author(s):  
Richard D. Bourgin ◽  
Robert Cogburn
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
Random Environment ◽  
Efficient Method ◽  
General Framework ◽  
Random Environments ◽  
Extinction Probabilities ◽  
Environmental Process ◽  
Branching Chains ◽  
Absorption Probabilities

The general framework of a Markov chain in a random environment is presented and the problem of determining extinction probabilities is discussed. An efficient method for determining absorption probabilities and criteria for certain absorption are presented in the case that the environmental process is a two-state Markov chain. These results are then applied to birth and death, queueing and branching chains in random environments.

Sign in / Sign up

Export Citation Format

Share Document