Class Of Measure-valued Processes Research Articles

Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control

This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process nu whose components have paths of bounded variation. The presence of the process nu prevents from directly applying classical results and novel estimates need to be derived. By making use of the so-called reference probability measure approach, we derive the Zakai equation satisfied by the unnormalized filtering process, and then we deduce the corresponding Kushner–Stratonovich equation. Under the condition that the jump times of the process nu do not accumulate over the considered time horizon, we show that the unnormalized filtering process is the unique solution to the Zakai equation, in the class of measure-valued processes having a square-integrable density. Our analysis paves the way to the study of stochastic control problems where a decision maker can exert singular controls in order to adjust the dynamics of an unobservable Itô-process.

Multilevel mutation-selection systems and set-valued duals.

A class of measure-valued processes which model multilevel multitype populations undergoing mutation, selection, genetic drift and spatial migration is considered. We investigate the qualitative behaviour of models with multilevel selection and the interaction between the different levels of selection. The basic tools in our analysis include the martingale problem formulation for measure-valued processes and a generalization of the function-valued and set-valued dual representations introduced in Dawson-Greven (Spatial Fleming-Viot models with selection and mutation. Lecture notes in mathematics, vol 2092. Springer, Cham, 2014). The dual is a powerful tool for the analysis of the long-time behaviour of these processes and the study of evolutionary systems which model phenomena including altruism, the emergence of cooperation and more complex interactions.

A consistency estimate for Kac’s model of elastic collisions in a dilute gas

An explicit estimate is derived for Kac's mean-field model of colliding hard spheres, which compares, in a Wasserstein distance, the empirical velocity distributions for two versions of the model based on different numbers of particles. For suitable initial data, with high probability, the two processes agree to within a tolerance of order $N^{-1/d}$, where $N$ is the smaller particle number and $d$ is the dimension, provided that $d\ge3$. From this estimate we can deduce that the spatially homogeneous Boltzmann equation is well posed in a class of measure-valued processes and provides a good approximation to the Kac process when the number of particles is large. We also prove in an appendix a basic lemma on the total variation of time-integrals of time-dependent signed measures.

On a class of measure-valued processes: singular cases

A measure-valued diffusion process describing how the measures evolve under flows or “imaginary” flows on R d is constructed in this paper. The interest of the process is that on the one hand, it can be viewed as a measure-valued flow; on the other hand, the general stochastic flows of measurable maps or kernels do not cover it.

Jump-type Fleming-Viot processes

In 1991 Perkins [7] showed that the normalized critical binary branching process is a time inhomogeneous Fleming-Viot process. In the present paper we extend this result to jump-type branching processes and we show that the normalized jump-type branching processes are in a new class of probability measure-valued processes which will be called ‘jump-type Fleming-Viot processes’. Furthermore we also show that by using these processes it is possible to introduce another new class of measure-valued processes which are obtained by the combination of jump-type branching processes and Fleming-Viot processes.

Jump-type Fleming-Viot processes

In 1991 Perkins [7] showed that the normalized critical binary branching process is a time inhomogeneous Fleming-Viot process. In the present paper we extend this result to jump-type branching processes and we show that the normalized jump-type branching processes are in a new class of probability measure-valued processes which will be called ‘jump-type Fleming-Viot processes’. Furthermore we also show that by using these processes it is possible to introduce another new class of measure-valued processes which are obtained by the combination of jump-type branching processes and Fleming-Viot processes.

The Entrance Space of a Measure-Valued Markov Branching Process Conditioned on Non-Extinction

AbstractWe explicitly identify the possible probability entrance laws for a class of measure-valued processes that are constructed by taking a particular measure-valued Markov branching process and conditioning it to stay away from the zero measure trap. The set of extreme points of the entrance space is larger than the state space of the conditioned process, and contains elements which correspond to starting the conditioned process at the zero measure.