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The problem of random number generation from an uncorrelated random source (of unknown probability distribution)dates back to von Neumann’s 1951 work.
In this paper we obtain the central limit theorem for triangular arrays of non-homogeneous Markov chains under a condition imposed to the maximal coefficient of correlation. The proofs are based on ma...
We consider Hidden Markov Chains obtained by passing a Markov Chain with rare transitions through a noisy memoryless channel. We obtain asymptotic estimates for the entropy of the resulting Hidden Mar...
Starting from a given Markov kernel on a finite set $V$ and a bijection $g$ of $V$, we construct and study a time inhomogeneous Markov chain whose kernel at time $n$ is obtained from $K$ by transport...
In the present paper we study forward Quantum Markov Chains (QMC) defined on a Cayley tree. Using the tree structure of graphs, we give a construction of quantum Markov chains on a Cayley tree. By me...
The problem of controlling a finite state Markov chain in the presence of an adversary so as to ensure desired performance levels for a vector of objectives is cast in the framework of Blackwell appro...
In dimension d ≥ 3, we present a general assumption under which the renewal theorem established by Spitzer [23] for i.i.d. sequences of centered nonlattice r.v. holds true. Next we appeal to an operat...
Stemmed from the derivation of the optimal control to a stochastic linearquadratic control problem with Markov jumps, we study one kind of backward stochastic differential equations (BSDEs) that the g...
Let X be a continuous-time Markov chain in a finite set I, let h be a mapping of I onto another set, and let Y be defined by Yt = h(Xt), (t ≥ 0). We address the filtering problem for X in terms of th...
For an indecomposable 3×3 stochastic matrix (i.e., 1-step transition probability matrix) with coinciding negative eigenvalues, a new necessary and sufficient condition of the imbedding problem for tim...
We slightly extend the fluctuation theorem obtained in [24] for sums of generators, considering continuous–time Markov chains on a finite state space whose underlying graph has multiple edges and no l...
In this paper stationary irreducible aperiodic finite state Markov chains are considered. We investigate time reversibility of these chains and a statistical tool for characterizing their time reversi...

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