Stationary states of weak coupling limit-type Markov generators and quantum transport models

We prove that every stationary state in the annihilator of all Kraus operators of a weak coupling limit-type Markov generator consists of two pieces, one of them supported on the interaction-free subspace and the second one on its orthogonal complement. In particular, we apply the previous result to describe in detail the structure of a slightly modified quantum transport model due to Arefeva et al. (modified AKV’s model) studied first in [J. C. García et al., Entangled and dark stationary states of excitation energy transport models in many-particles systems and photosynthesis, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 21(3) (2018), Article ID: 1850018, p. 21, doi:10.1142/S0219025718500182], in terms of generalized annihilation and creation operators.

Complex intertwinings and quantification of discrete free motions

The traditional quantification of free motions on Euclidean spaces into the Laplacian is revisited as a complex intertwining obtained through Doob transforms with respect to complex eigenvectors. This approach can be applied to free motions on finitely generated discrete Abelian groups: ℤm, with m ∈ ℕ, finite tori and their products. It leads to a proposition of Markov quantification. It is a first attempt to give a probability-oriented interpretation of exp(ξL), when L is a (finite) Markov generator and ξ is a complex number of modulus 1.

Some drawbacks of finite modified logarithmic Sobolev inequalities

Classically, finite modified logarithmic Sobolev inequalities are used to deduce a differential inequality for the evolution of the relative entropy with respect to the invariant measure. We will check that these inequalities are ill-behaved with respect, on one hand, to the symmetrization procedure, and on the other hand, to the umbrella sampling procedure for Poincaré inequalities. A short spectral proof of the latter method is given to estimate the spectral gap of a finite reversible Markov generator $L$ in terms of the spectral gap of the restrictions of $L$ on two subsets whose union is the whole state space and whose intersection is not empty.

Non-equilibrium steady states of a Markov generator of weak coupling limit type modeling absorption-emission of m and n photons

We study detailed balance and non-equilibrium steady states of a Markov generator of weak coupling limit type, modeling absorption and simultaneous emission of [Formula: see text]- and [Formula: see text]-photons, with [Formula: see text]. In the case [Formula: see text], under natural constraints on the absorption and emission rates, there exist infinitely many non-equilibrium steady states which are convex linear combination of even and odd states.

A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING

We propose an extension of the transform approach to option pricing introduced in Duffie, Pan and Singleton (Econometrica68(6) (2000) 1343–1376) and in Carr and Madan (Journal of Computational Finance2(4) (1999) 61–73). We term this extension the "coherent state transform" approach, it applies when the Markov generator of the factor process can be decomposed as a linear combination of generators of a Lie symmetry group. Then the family of group invariant coherent states determine the transform to price derivatives. We exemplify this procedure deriving a coherent state transform for affine jump-diffusion processes with positive state space. It improves the traditional FFT because inversion of the latter requires integration over an unbounded domain, while inversion of the coherent state transform requires integration over unit ball. We explicitly perform the pricing exercise for some contracts like the plain vanilla options on (credit) risky bonds and on the spread option.

The eigentime identity for continuous-time ergodic Markov chains

The eigentime identity is proved for continuous-time reversible Markov chains with Markov generatorL. When the essential spectrum is empty, let {0 = λ0< λ1≤ λ2≤ ···} be the whole spectrum ofLin L2. Then ∑n≥1λn-1< ∞ implies the existence of the spectral gapαofLin L∞. Explicit formulae are presented in the case of birth–death processes and from these formulae it is proved that ∑n≥1λn-1< ∞ if and only ifα> 0.

The eigentime identity for continuous-time ergodic Markov chains

The eigentime identity is proved for continuous-time reversible Markov chains with Markov generator L. When the essential spectrum is empty, let {0 = λ0 < λ1 ≤ λ2 ≤ ···} be the whole spectrum of L in L2. Then ∑n≥1 λn-1 < ∞ implies the existence of the spectral gap α of L in L∞. Explicit formulae are presented in the case of birth–death processes and from these formulae it is proved that ∑n≥1 λn-1 < ∞ if and only if α > 0.