Stochastic Gene Expression Revisited

We investigate the model of gene expression in the form of Iterated Function System (IFS), where the probability of choice of any iterated map depends on the state of the phase space. Random jump times of the process mark activation periods of the gene when pre-mRNA molecules are produced before mRNA and protein processing phases occur. The main idea is inspired by the continuous-time piecewise deterministic Markov process describing stochastic gene expression. We show that for our system there exists a unique invariant limit measure. We provide full probabilistic description of the process with a comparison of our results to those obtained for the model with continuous time.

On some properties of sticky Brownian motion

In this paper, we investigate a generalization of Brownian motion, called sticky skew Brownian motion, which has two interesting characteristics: stickiness and skewness. This kind of processes spends a lot more time at its sticky points so that the time they spend at the sticky points has positive Lebesgue measure. By using time change, we obtain an SDE for the sticky skew Brownian motion. Then, we present the explicit relationship between symmetric local time and occupation time. Some basic probability properties, such as transition density, are studied and we derive the explicit expression of Laplace transform of transition density for the sticky skew Brownian motion. We also consider the first hitting time problems over a constant boundary and a random jump boundary, respectively, and give some corollaries based on the results above.

On the consistency of jump-diffusion dynamics for FX rates under inversion

We investigate the consistency under inversion of jump diffusion processes in the foreign exchange market. That is, if the EUR/USD exchange rate follows a given type of dynamics, under which conditions will USD/EUR follow the same type of dynamics? After giving a numerical description of this property, we establish a suitable local volatility structure ensuring consistency. We subsequently introduce jumps and analyze both constant and random jump size. While in the first scenario consistency is automatically satisfied, the second case is more involved. A fairly general class of admissible densities for the jump size in the domestic measure is determined.