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Recurso libre

A stochastic scheme of approximation for ordinary differential equations
Fierro, Raul; Universidad Catolica de Valparaiso - Torres, Soledad; Universidad de Valparaiso

Formato:	Peer-reviewed Article,
Enlaces:	In this note we provide a stochastic method for approximating solutions of ordinary differential equations. To this end, a stochastic variant of the Euler scheme is given by means of Markov chains. For an ordinary differential equation, these approximations are…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

Large deviation principles for Markov processes via Phi-Sobolev inequalities
Wu, Liming; Wuhan University and Université Blaise Pascal - Yao, Nian; Wuhan University

Formato:	Peer-reviewed Article,
Enlaces:	Via Phi-Sobolev inequalities, we give some sharp integrability conditions on $F$ for the large deviation principle of the empirical mean $\frac{1}{T}{\int_{0}^{T}{F(X_{s})}ds}$ for large time $T$, where $F$ is unbounded with values in some separable Banach space. Several examples are provided.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

Threshold phenomena on product spaces: BKKKL revisited (once more)
Rossignol, Raphaël; Université Paris 11, France

Formato:	Peer-reviewed Article,
Enlaces:	We revisit the work of Bourgain et al. (1992) - referred to as "BKKKL" in the title - about influences on Boolean functions in order to give a precise statement of threshold phenomenon on the product space $\{1,...,r\}^N$, generalizing one…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

A non-commutative sewing lemma
Feyel, Denis; Université Evry - de La Pradelle, Arnaud; Universite Paris VI - Mokobodzki, Gabriel; Universite Paris VI

Formato:	Peer-reviewed Article,
Enlaces:	A non-commutative version of the sewing lemma is proved, with some applications
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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A remark on the equivalence of Gaussian processes
van Zanten, Harry; Vrije Universiteit Amsterdam

Formato:	Peer-reviewed Article,
Enlaces:	In this note we extend a classical equivalence result for Gaussian stationary processes to the more general setting of Gaussian processes with stationary increments. This will allow us to apply it in the setting of aggregated independent fractional Brownian motions.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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A relation between dimension of the harmonic measure, entropy and drift for a random walk on a hyperbolic space
Le Prince, Vincent; IRMAR, Rennes

Formato:	Peer-reviewed Article,
Enlaces:	We establish in this paper an exact formula which links the dimension of the harmonic measure, the asymptotic entropy and the rate of escape for a random walk on a discrete subgroup of the isometry group of a Gromov hyperbolic…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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Corners and Records of the Poisson Process in Quadrant
Gnedin, Alexander; Utrecht University

Formato:	Peer-reviewed Article,
Enlaces:	The scale-invariant spacings lemma due to Arratia, Barbour and Tavaré establishes the distributional identity of a self-similar Poisson process and the set of spacings between the points of this process. In this note we connect this result with properties of…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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Optimising prediction error among completely monotone covariance sequences
McVinish, Ross S; Queensland University of Technology

Formato:	Peer-reviewed Article,
Enlaces:	We provide a characterisation of Gaussian time series which optimise the one-step prediction error subject to the covariance sequence being completely monotone with the first m covariances specified.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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Entropy Estimate for $k$-Monotone Functions via Small Ball Probability of Integrated Brownian Motions
Gao, Fuchang; University of Idaho

Formato:	Peer-reviewed Article,
Enlaces:	Metric entropy of the class of probability distribution functions on $[0,1]$ with a $k$-monotone density is studied through its connection with the small ball probability of $k$-times integrated Brownian motions.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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10.

On the boundedness of Bernoulli processes over thin sets
Latala, Rafal; University of Warsaw

Formato:	Peer-reviewed Article,
Enlaces:	We show that the Bernoulli conjecture holds for sets with small one-dimensional projections, i.e. any bounded Bernoulli process indexed by such set may be represented as a sum of a uniformly bounded process and a process dominated by a bounded…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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11.

Filtering and parameter estimation for a jump stochastic process with discrete observations
Makhnin, Oleg V; New Mexico Tech

Formato:	Peer-reviewed Article,
Enlaces:	A compound Poisson process is considered. We estimate the current position of the stochastic process based on past discrete-time observations (non-linear discrete filtering problem) in Bayesian setting. We obtain bounds for the asymptotic rate of the expected square error of…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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12.

Symmetrization of Bernoulli
Pal, Soumik; Cornell University

Formato:	Peer-reviewed Article,
Enlaces:	We show that an asymmetric Bernoulli random variable is symmetry resistant in the sense that any independent random variable, which when added to it produces a symmetric sum, must have a variance at least as much as itself. The main…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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13.

On differentiability of the Parisi formula
Panchenko, Dmitry; Texas A&M University

Formato:	Peer-reviewed Article,
Enlaces:	It was proved by Michel Talagrand in [10] that the Parisi formula for the free energy in the Sherrington-Kirkpatrick model is differentiable with respect to inverse temperature parameter. We present a simpler proof of this result by using approximate solutions…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

14.

On the sphericity of scaling limits of random planar quadrangulations
Miermont, Grégory; Fondation des Sciences Mathématiques de Paris

Formato:	Peer-reviewed Article,
Enlaces:	We give a new proof of a theorem by Le Gall and Paulin, showing that scaling limits of random planar quadrangulations are homeomorphic to the 2-sphere. The main geometric tool is a reinforcement of the notion of Gromov-Hausdorff convergence, called…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

15.

Internal Diffusion-Limited Aggregation on non-amenable graphs
Huss, Wilfried; Graz University of Technology

Formato:	Peer-reviewed Article,
Enlaces:	The stochastic growth model Internal Diffusion Limited Aggregation was defined in 1991 by Diaconis and Fulton. Several shape results are known when the underlying state space is the d-dimensional lattice, or a discrete group with exponential growth. We prove an…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

16.

A note on the distributions of the maximum of linear Bernoulli processes
Bobkov, Sergey G; University of Minnesota

Formato:	Peer-reviewed Article,
Enlaces:	We give a characterization of the family of all probability measures on the extended line $(-\infty,+\infty]$, which may be obtained as the distribution of the maximum of some linear Bernoulli process.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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17.

Exact Convergence Rate for the Maximum of Standardized Gaussian Increments
Kabluchko, Zakhar; Goettingen University - Munk, Axel; Goettingen University

Formato:	Peer-reviewed Article,
Enlaces:	We prove an almost sure limit theorem on the exact convergence rate of the maximum of standardized gaussian random walk increments. This gives a more precise version of Shao's theorem ( Shao, Q.-M., 1995. On a conjecture of R&eacutev&eacutesz. Proc.…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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18.

Continuous-time trading and the emergence of volatility
Vovk, Vladimir; Royal Holloway, University of London

Formato:	Peer-reviewed Article,
Enlaces:	This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of non-constant price processes has to be 2, as in the…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

19.

A functional limit theorem for a 2d-random walk with dependent marginals
Guillotin-Plantard, Nadine; Université Lyon 1 - Le Ny, Arnaud; Université Paris Sud

Formato:	Peer-reviewed Article,
Enlaces:	We prove a non-standard functional limit theorem for a two dimensional simple random walk on some randomly oriented lattices. This random walk, already known to be transient, has different horizontal and vertical fluctuations leading to different normalizations in the functional…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

20.

On the relationship between subordinate killed and killed subordinate processes
Song, Renming; University of Illinois at Urbana-Champaign - Vondracek, Zoran; University of Zagreb

Formato:	Peer-reviewed Article,
Enlaces:	We study the precise relationship between the subordinate killed and killed subordinate processes in the case of an underlying Hunt process, and show that, under minimal conditions, the former is a subprocess of the latter obtained by killing at a…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

21.

Infinite Divisibility of Gaussian Squares with Non-zero Means
Marcus, Michael B.; The City College of CUNY - Rosen, Jay; The College of Staten Island of CUNY

Formato:	Peer-reviewed Article,
Enlaces:	We give necessary and sufficient conditions for a Gaussian vector with non-zero mean, to have infinitely divisible squares for all scalar multiples of the mean, and show how the this vector is related to the local times of a Markov…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

22.

Sharp estimates for the convergence of the density of the Euler scheme in small time
Gobet, Emmanuel; Laboratoire Jean Kuntzmann Université de Grenoble - Labart, Céline; INRIA Paris Rocquencourt

Formato:	Peer-reviewed Article,
Enlaces:	In this work, we approximate a diffusion process by its Euler scheme and we study the convergence of the density of the marginal laws. We improve previous estimates especially for small time.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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23.

On Asymptotic Growth of the Support of Free Multiplicative Convolutions
Kargin, Vladislav; Courant Institute of Mathematical Sciences

Formato:	Peer-reviewed Article,
Enlaces:	Let $\mu$ be a compactly supported probability measure on $\mathbb{R}^{+}$ with expectation $1$ and variance $V.$ Let $\mu _{n}$ denote the $n$-time free multiplicative convolution of measure $\mu $ with itself. Then, for large $n$ the length of the support…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

24.

Perfect sampling from the limit of deterministic products of stochastic matrices
Stenflo, Örjan; Uppsala University

Formato:	Peer-reviewed Article,
Enlaces:	We illustrate how a technique from the theory of random iterations of functions can be used within the theory of products of matrices. Using this technique we give a simple proof of a basic theorem about the asymptotic behavior of…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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25.

Distribution of a random functional of a Ferguson-Dirichlet process over the unit sphere
Jiang, Thomas Jyh-Ming; National Chengchi University - Kuo, Kun-Lin; Academia Sinica

Formato:	Peer-reviewed Article,
Enlaces:	Jiang, Dickey, and Kuo [12] gave the multivariate c-characteristic function and showed that it has properties similar to those of the multivariate Fourier transformation. We first give the multivariate c-characteristic function of a random functional of a Ferguson-Dirichlet process over…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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26.

A martingale on the zero-set of a holomorphic function
Kink, Peter; Faculty for Computer and Information Sciences, University of Ljubljana

Formato:	Peer-reviewed Article,
Enlaces:	We give a simple probabilistic proof of the classical fact from complex analysis that the zeros of a holomorphic function of several variables are never isolated and that they are not contained in any compact set. No facts from complex…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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27.

Distribution of the Brownian motion on its way to hitting zero
Chigansky, Pavel; The Hebrew University - Klebaner, Fima C.; Monash University

Formato:	Peer-reviewed Article,
Enlaces:	For the one-dimensional Brownian motion $B=(B_t)_{t\geq 0}$, started at $x>0$, and the first hitting time $\tau=\inf\{t\geq 0:B_t=0\}$, we find the probability density of $B_{u\tau}$ for a $u\in(0,1)$, i.e. of the Brownian motion on its way to hitting zero.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

28.

Sharp inequality for bounded submartingales and their differential subordinates
Osekowski, Adam; University of Warsaw

Formato:	Peer-reviewed Article,
Enlaces:	Let $\alpha$ be a fixed number from the interval $[0,1]$. We obtain the sharp probability bounds for the maximal function of the process which is $\alpha$-differentially subordinate to a bounded submartingale. This generalizes the previous results of Burkholder and Hammack.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

29.

Renewal series and square-root boundaries for Bessel processes
Enriquez, Nathanael; Universite Paris 10 - Sabot, Christophe; Université de Lyon 1 - Yor, Marc; Universite Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	We show how a description of Brownian exponential functionals as a renewal series gives access to the law of the hitting time of a square-root boundary by a Bessel process. This extends classical results by Breiman and Shepp, concerning Brownian…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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30.

Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
Dieker, A.B.; Georgia Institute of Technology - Moriarty, J.; University of Manchester

Formato:	Peer-reviewed Article,
Enlaces:	We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the reflection principle,…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

31.

Uniqueness of the mixing measure for a random walk in a random environment on the positive integers
Eckhoff, Maren; Technical University of Munich - Rolles, Silke W.W.; Technical University of Munich

Formato:	Peer-reviewed Article,
Enlaces:	Consider a random walk in an irreducible random environment on the positive integers. We prove that the annealed law of the random walk determines uniquely the law of the random environment. An application to linearly edge-reinforced random walk is given.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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32.

Note: Random-to-front shuffles on trees
Bjorner, Anders; Royal Institute of Technology

Formato:	Peer-reviewed Article,
Enlaces:	A Markov chain is considered whose states are orderings of an underlying fixed tree and whose transitions are local ``random-to-front'' reorderings, driven by a probability distribution on subsets of the leaves. The eigenvalues of the transition matrix are determined using…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

33.

Orthogonality and probability: beyond nearest neighbor transitions
Kovchegov, Yevgeniy V; Oregon State University

Formato:	Peer-reviewed Article,
Enlaces:	In this article, we will explore why Karlin-McGregor method of using orthogonal polynomials in the study of Markov processes was so successful for one dimensional nearest neighbor processes, but failed beyond nearest neighbor transitions. We will proceed by suggesting and…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

34.

The scaling limit of senile reinforced random walk.
Holmes, Mark P; University of Auckland

Formato:	Peer-reviewed Article,
Enlaces:	This paper proves that the scaling limit of nearest-neighbour senile reinforced random walk is Brownian Motion when the time T spent on the first edge has finite mean. We show that under suitable conditions, when T has heavy tails the…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

35.

A local limit theorem for the critical random graph
van der Hofstad, Remco W; Technische Universiteit Eindhoven - Kager, Wouter; VU University - Müller, Tobias; Tel Aviv University

Formato:	Peer-reviewed Article,
Enlaces:	We consider the limit distribution of the orders of the $k$ largest components in the Erdos-Rényi random graph inside the "critical window" for arbitrary $k$. We prove a local limit theorem for this joint distribution and derive an exact expression…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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36.

Small time expansions for transition probabilities of some Lévy processes
Marchal, Philippe; CNRS and DMA, Ecole Normale Supérieure

Formato:	Peer-reviewed Article,
Enlaces:	We show that there exist Lévy processes $(X_t,t \geq 0)$ and reals $y>0$ such that for small $t$, the probability $P(X_t> y)$ has an expansion involving fractional powers or more general functions of $t$. This constrasts with previous results giving…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

37.

Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
Janssen, A.J.E.M; Philips Research - Van Leeuwaarden, J.S.H.; Eindhoven University of Technology and EURANDOM

Formato:	Peer-reviewed Article,
Enlaces:	A Brownian motion observed at equidistant sampling points renders a random walk with normally distributed increments. For the difference between the expected maximum of the Brownian mo- tion and its sampled version, an expansion is derived with coefficients in terms…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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38.

Characterization of distributions with the length-bias scaling property
Lopez-Garcia, Marcos; Instituto de Matematicas, UNAM

Formato:	Peer-reviewed Article,
Enlaces:	This paper characterizes the density functions of absolutely continuous positive random variables with finite expectation whose respective distribution functions satisfy the so-called length-bias scaling property.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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39.

An Almost Sure Limit Theorem For the Maxima of Strongly Dependent Gaussian Sequences
Lin, Fuming; Sichuan University of Science and Engineering

Formato:	Peer-reviewed Article,
Enlaces:	In this paper, we prove an almost sure limit theorem for the maxima of strongly dependent Gaussian sequences under some mild conditions. The result is an expansion of the weakly dependent result of E. Csaki and K. Gonchigdanzan.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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40.

Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
Gao, Fuqing; Wuhan University - Jiang, Hui; Nanjing University of Aeronautics

Formato:	Peer-reviewed Article,
Enlaces:	Some deviation inequalities and moderate deviation principles for the maximum likelihood estimators of parameters in an Ornstein-Uhlenbeck process with linear drift are established by the logarithmic Sobolev inequality and the exponential martingale method.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

41.

Non-perturbative approach to random walk in markovian environment
Dolgopyat, Dmitry; University of Maryland - Liverani, Carlangelo; Universito of Rome 2

Formato:	Peer-reviewed Article,
Enlaces:	We prove the CLT for a random walk in a dynamical environment where the states of the environment at different sites are independent Markov chains.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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42.

An optimal Itô formula for Lévy processes
Eisenbaum, Nathalie; LPMA, Université Paris 6 - Walsh, Alexander; LPMA, Université Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	Several Itô formulas have been already established for Lévy processes. We explain according to which criteria they are not optimal and establish an extended Itô formula that satisfies that criteria. The interest, in particular, of this formula is to obtain…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

43.

Tesselation of a triangle by repeated barycentric subdivision
Hough, Robert D; Stanford University

Formato:	Peer-reviewed Article,
Enlaces:	Under iterated barycentric subdivision of a triangle, most triangles become flat in the sense that the largest angle tends to $\pi$. By analyzing a random walk on $SL_2(\mathbb{R})$ we give asymptotics with explicit constants for the number of flat triangles…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

44.

Standard representation of multivariate functions on a general probability space
Janson, Svante; Uppsala University

Formato:	Peer-reviewed Article,
Enlaces:	It is well-known that a random variable, i.e. a function defined on a probability space, with values in a Borel space, can be represented on the special probability space consisting of the unit interval with Lebesgue measure. We show an…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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45.

Hsu-Robbins and Spitzer's theorems for the variations of fractional Brownian motion
Tudor, Ciprian A.; Universte de Paris 1

Formato:	Peer-reviewed Article,
Enlaces:	Using recent results on the behavior of multiple Wiener-Itô integrals based on Stein's method, we prove Hsu-Robbins and Spitzer's theorems for sequences of correlated random variables related to the increments of the fractional Brownian motion.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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46.

Concentration of the spectral measure of large Wishart matrices with dependent entries
Guntuboyina, Adityanand; Yale University - Leeb, Hannes; Yale University

Formato:	Peer-reviewed Article,
Enlaces:	We derive concentration inequalities for the spectral measure of large random matrices, allowing for certain forms of dependence. Our main focus is on empirical covariance (Wishart) matrices, but general symmetric random matrices are also considered.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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47.

On the re-rooting invariance property of Lévy trees
Duquesne, Thomas; Université Pierre et Marie Curie - Le Gall, Jean-Francois; Université Paris-Sud

Formato:	Peer-reviewed Article,
Enlaces:	We prove a strong form of the invariance under re-rooting of the distribution of the continuous random trees called Lévy trees. This expends previous results due to several authors.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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48.

Uniform bounds for exponential moment of maximum of a Dyck path
Khorunzhiy, Oleksiy; Université de Versailles, France - Marckert, Jean-François; CNRS, LabRI, Université de Bordeaux

Formato:	Peer-reviewed Article,
Enlaces:	Let us consider the maximum $M(D)$ of a Dyck path $D$ chosen uniformly in the set of Dyck paths with $2n$ steps. We prove that the exponential moment of $M(D)$ normalized by the square root of $n$ is bounded in…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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49.

A note on new classes of infinitely divisible distributions on $\mathbb{R}^d$
Maejima, Makoto; Keio University - Nakahara, Genta; Keio University

Formato:	Peer-reviewed Article,
Enlaces:	This paper introduces and studies a family of new classes of infinitely divisible distributions on $\mathbb{R}^d$ with two parameters. Depending on parameters, these classes connect the Goldie-Steutel-Bondesson class and the class of generalized type $G$ distributions, connect the Thorin class…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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50.

Density fluctuations for a zero-range process on the percolation cluster
Goncalves, Patricia C.; CMAT - U. Minho - Jara, Milton D.; Paris Dauphine

Formato:	Peer-reviewed Article,
Enlaces:	We prove that the density fluctuations for a zero-range process evolving on the $d$-dimensional supercritical percolation cluster, with $d\geq{3}$, are given by a generalized Ornstein-Uhlenbeck process in the space of distributions $\mathscr{S}'(\mathbb{R}^d)$.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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51.

First-passage percolation on width-two stretches with exponential link weights
Schlemm, Eckhard; Zentrum Mathematik, Technische Université München

Formato:	Peer-reviewed Article,
Enlaces:	We consider the first-passage percolation problem on effectively one-dimensional graphs with vertex set $\{1,\dots,n\}\times\{0,1\}$ and translation-invariant edge-structure. For three of six non-trivial cases we obtain exact expressions for the asymptotic percolation rate $\chi$ by solving certain recursive distributional equations and…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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52.

An extension of the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps
Hoepfner, Reinhard; Johannes Gutenberg Universitaet Mainz

Formato:	Peer-reviewed Article,
Enlaces:	We extend the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps, in the special case where small jumps are summable.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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53.

An extension of Mineka's coupling inequality
Posfai, Anna; University of Szeged

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we propose a refinement of Mineka's coupling inequality that gives a better upper bound for $d_{TV}\left({\cal L}\left(W\right),{\cal L}\left(W+1\right)\right)$, where $W$ is a sum of $n$ independent integer valued random variables, in the case when $\text{Var} W\gg n$.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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54.

Maximum of Dyson Brownian motion and non-colliding systems with a boundary
Borodin, Alexei; California Institute of Technology - Ferrari, Patrik L; Bonn University - Prahofer, Michael; TU Munchen - Sasamoto, Tomohiro; Chiba University - Warren, Jon; University of Warwick

Formato:	Peer-reviewed Article,
Enlaces:	We prove an equality-in-law relating the maximum of GUE Dyson's Brownian motion and the non-colliding systems with a wall. This generalizes the well known relation between the maximum of a Brownian motion and a reflected Brownian motion
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

55.

A note on directed polymers in gaussian environments
Hu, Yueyun; Université Paris XIII - Shao, Qi-Man; The Hong Kong University of Science and Technology

Formato:	Peer-reviewed Article,
Enlaces:	We study the problem of directed polymers in gaussian environments in $\mathbb{Z}^d$ from the viewpoint of a gaussian family indexed by the set of random walk paths. In the zero-temperature case, we give a numerical bound on the maximum of…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

56.

Small time asymptotics of Ornstein-Uhlenbeck densities in Hilbert spaces
Jegaraj, Terence; University of New South Wales

Formato:	Peer-reviewed Article,
Enlaces:	We show that Varadhan's small time asymptotics for densities of the solution of a stochastic differential equation in $\mathbb{R}^n$ carries over to a Hilbert space-valued Ornstein-Uhlenbeck process whose transition semigroup is strongly Feller and symmetric. In the Hilbert space setting,…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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57.

Identification of the rate function for large deviations of an irreducible Markov chain
Liu, Wei; Wuhan University - Wu, Liming; Université Blaise Pascal

Formato:	Peer-reviewed Article,
Enlaces:	For an irreducible Markov chain $(X_n)_{n\ge 0}$ we identify the rate function governing the large deviation estimation of empirical mean $\frac {1}{n} \sum_{k=0}^{n-1} f(X_k)$ by means of the Donsker-Varadhan's entropy. That allows us to obtain the lower bound of large…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

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58.

Harnack Inequality for Functional SDEs with Bounded Memory
Es-Sarhir, Abdelhadi; TU (Berlin) - von Renesse, Max-K.; TU (Berlin) - Scheutzow, Michael; TU (Berlin)

Formato:	Peer-reviewed Article,
Enlaces:	We use a coupling method for functional stochastic differential equations with bounded memory to establish an analogue of Wang's dimension-free Harnack inequality [13]. The strong Feller property for the corresponding segment process is also obtained.
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

59.

Last Passage Percolation in Macroscopically Inhomogeneous Media
Rolla, Leonardo T.; Instituto de Matemética Pura e Aplicada - Teixeira, Augusto Q.; Instituto de Matemética Pura e Aplicada

Formato:	Peer-reviewed Article,
Enlaces:	In this note we investigate the last passage percolation model in the presence of macroscopic inhomogeneity. We analyze how this affects the scaling limit of the passage time, leading to a variational problem that provides an ODE for the deterministic…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

60.

A simple proof of the Poincaré inequality for a large class of probability measures
Bakry, Dominique; LSP, Univ. Toulouse 3 - Barthe, Franck; LSP, Univ. Toulouse 3 - Cattiaux, Patrick; LSP, Univ. Toulouse 3 - Guillin, Arnaud; LATP, Univ. Aix-Marseille 1

Formato:	Peer-reviewed Article,
Enlaces:	Abstract. We give a simple and direct proof of the existence of a spectral gap under some Lyapunov type condition which is satisfied in particular by log-concave probability measures on $\mathbb{R}^n$. The proof is based on arguments introduced in Bakry…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

61.

Hermite and Laguerre Polynomials and Matrix-Valued Stochastic Processes
Lawi, Stephan; KBC Financial Products Hong Kong Limited

Formato:	Peer-reviewed Article,
Enlaces:	We extend to matrix-valued stochastic processes, some well-known relations between real-valued diffusions and classical orthogonal polynomials, along with some recent results about Lévy processes and martingale polynomials. In particular, joint semigroup densities of the eigenvalue processes of the generalized matrix-valued…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

62.

A Regeneration Proof of the Central Limit Theorem for Uniformly Ergodic Markov Chains
Bednorz, Witold; Warsaw University - Latuszynski, Krzysztof; Warsaw School of Economics - Latala, Rafal; Warsaw University

Formato:	Peer-reviewed Article,
Enlaces:	Central limit theorems for functionals of general state space Markov chains are of crucial importance in sensible implementation of Markov chain Monte Carlo algorithms as well as of vital theoretical interest. Different approaches to proving this type of results under…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

63.

Explicit Bounds for the Approximation Error in Benford's Law
Dümbgen, Lutz; University of Bern - Leuenberger, Christoph; Ecole d'Ingénieurs de Fribourg

Formato:	Peer-reviewed Article,
Enlaces:	Benford's law states that for many random variables $X > 0$ its leading digit $D = D(X)$ satisfies approximately the equation $\mathbb{P}(D = d) = \log_{10}(1 + 1/d)$ for $d = 1,2,\ldots,9$. This phenomenon follows from another, maybe more intuitive…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

64.

Random walk on a discrete torus and random interlacements
Windisch, David; ETH Zurich

Formato:	Peer-reviewed Article,
Enlaces:	We investigate the relation between the local picture left by the trajectory of a simple random walk on the torus $({\mathbb Z} / N{\mathbb Z})^d$, $d \geq 3$, until $uN^d$ time steps, $u > 0$, and the model of random…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

65.

Tightness of voter model interfaces
Sturm, Anja; University of Delaware - Swart, Jan M.; 'UTIA

Formato:	Peer-reviewed Article,
Enlaces:	Consider a long-range, one-dimensional voter model started with all zeroes on the negative integers and all ones on the positive integers. If the process obtained by identifying states that are translations of each other is positively recurrent, then it is…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

66.

A Clark-Ocone formula in UMD Banach spaces
Maas, Jan; TU Delft - Neerven, Jan van; TU Delft

Formato:	Peer-reviewed Article,
Enlaces:	Let $H$ be a separable real Hilbert space and let $\mathbb{F}=(\mathscr{F}_t)_{t\in [0,T]}$ be the augmented filtration generated by an $H$-cylindrical Brownian motion $(W_H(t))_{t\in [0,T]}$ on a probability space $(\Omega,\mathscr{F},\mathbb{P})$. We prove that if $E$ is a UMD Banach space, $1\le…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

67.

On the parabolic generator of a general one-dimensional Lévy process
Eisenbaum, Nathalie; CNRS - Kyprianou, Andreas; University of Bath

Formato:	Peer-reviewed Article,
Enlaces:	The purpose of this note is twofold. Firstly to complete a recent accumulation of results concerning extended version of Ito's formula for any one dimensional Lévy processes, $X$. Secondly, we use the latter to characterise the parabolic generator of $X$,…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

68.

Stone-Weierstrass type theorems for large deviations
Comman, Henri; University of Santiago de Chile

Formato:	Peer-reviewed Article,
Enlaces:	We give a general version of Bryc's theorem valid on any topological space and with any algebra $\mathcal{A}$ of real-valued continuous functions separating the points, or any well-separating class. In absence of exponential tightness, and when the underlying space is…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

69.

Random matching problems on the complete graph
Wästlund, Johan; Department of Mathematical Sciences, Chalmers University of Technology, Göteborg, Sweden

Formato:	Peer-reviewed Article,
Enlaces:	The edges of the complete graph on $n$ vertices are assigned independent exponentially distributed costs. A $k$-matching is a set of $k$ edges of which no two have a vertex in common. We obtain explicit bounds on the expected value…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

70.

On the lower bound of the spectral norm of symmetric random matrices with independent entries
Peche, Sandrine; Institut Fourier, Grenoble, France - Soshnikov, Alexander; University of California at Davis, USA

Formato:	Peer-reviewed Article,
Enlaces:	We show that the spectral radius of an $N\times N$ random symmetric matrix with i.i.d. bounded centered but non-symmetrically distributed entries is bounded from below by $ 2 \sigma - o( N^{-6/11+\varepsilon}), $ where $\sigma^2 $ is the variance of…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

71.

An extension of the inductive approach to the lace expansion
Holmes, Mark P; University of Auckland - van der Hofstad, Remco; Eindhoven University of Technology - Slade, Gordon; University of British Columbia

Formato:	Peer-reviewed Article,
Enlaces:	We extend the inductive approach to the lace expansion, previously developed to study models with critical dimension 4, to be applicable more generally. In particular, the result of this note has recently been used to prove Gaussian asymptotic behaviour for…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

72.

Spectral gap for the interchange process in a box
Morris, Ben; UC Davis

Formato:	Peer-reviewed Article,
Enlaces:	We show that the spectral gap for the interchange process (and the symmetric exclusion process) in a $d$-dimensional box of side length $L$ is asymptotic to $\pi^2/L^2$. This gives more evidence in favor of Aldous's conjecture that in any graph…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

73.

A note on the ballistic limit of random motion in a random potential
Flury, Markus; University of Tuebingen

Formato:	Peer-reviewed Article,
Enlaces:	It has been shown that certain types of random walks in random potentials and Brownian motion in Poissonian potentials undergo a phase transition from sub-ballistic to ballistic behavior when the strength of the underlying drift is increased. The ballistic behavior…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

74.

Wigner theorems for random matrices with dependent entries: Ensembles associated to symmetric spaces and sample covariance matrices
Hofmann-Credner, Katrin; Ruhr University Bochum - Stolz, Michael; Ruhr University Bochum

Formato:	Peer-reviewed Article,
Enlaces:	It is a classical result of Wigner that for an hermitian matrix with independent entries on and above the diagonal, the mean empirical eigenvalue distribution converges weakly to the semicircle law as matrix size tends to infinity. In this paper,…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

75.

Moment estimates for Lévy Processes
Luschgy, Harald; Univ. Trier - Pagès, Gilles; Univ. Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	For real Lévy processes $(X_t)_{t \geq 0}$ having no Brownian component with Blumenthal-Getoor index $\beta$, the estimate $E \sup_{s \leq t} \|X_s - a_p s\|^p \leq C_p t$ for every $t \in [0,1]$ and suitable $a_p \in R$ has been…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

76.

Intersection probabilities for a chordal SLE path and a semicircle
Alberts, Tom; New York University - Kozdron, Michael J; University of Regina

Formato:	Peer-reviewed Article,
Enlaces:	We derive a number of estimates for the probability that a chordal SLE$_\kappa$ path in the upper half plane $\mathbb{H}$ intersects a semicircle centred on the real line. We prove that if $0<\kappa <8$ and $\gamma:[0,\infty) \to \overline{\mathbb{H}}$ is a…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

77.

On the Second-Order Correlation Function of the Characteristic Polynomial of a Real Symmetric Wigner Matrix
Kösters, Holger; University of Bielefeld

Formato:	Peer-reviewed Article,
Enlaces:	We consider the asymptotic behaviour of the second-order correlation function of the characteristic polynomial of a real symmetric random matrix. Our main result is that the existing result for a random matrix from the Gaussian Orthogonal Ensemble, obtained by Brézin…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

78.

Fragmenting random permutations
Goldschmidt, Christina; Department of Statistics, University of Oxford - Martin, James B; Department of Statistics, University of Oxford - Spano, Dario; Department of Statistics, University of Warwick

Formato:	Peer-reviewed Article,
Enlaces:	Problem 1.5.7 from Pitman's Saint-Flour lecture notes: Does there exist for each $n$ a fragmentation process $(\Pi_{n,k}, 1 \leq k \leq n)$ such that $\Pi_{n,k}$ is distributed like the partition generated by cycles of a uniform random permutation of $\{1,2,\ldots,n\}$…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

79.

Free Generalized Gamma Convolutions
Perez Abreu, Victor; CIMAT - Sakuma, Noriyoshi; Keio University

Formato:	Peer-reviewed Article,
Enlaces:	The so-called Bercovici-Pata bijection maps the set of classical infinitely divisible laws to the set of free infinitely divisible laws. The purpose of this work is to study the free infinitely divisible laws corresponding to the classical Generalized Gamma Convolutions…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

80.

On the rate of growth of Lévy processes with no positive jumps conditioned to stay positive
Pardo Millan, Juan Carlos; Department of mathematical science

Formato:	Peer-reviewed Article,
Enlaces:	In this note, we study the asymptotic behaviour of Lévy processes with no positive jumps conditioned to stay positive and some related processes. In particular, we establish an integral test for the lower envelope at $0$ and at $+\infty$ and…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

81.

Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion
Breton, Jean-Christophe; Laboratoire Mathématiques, Image et Applications - Nourdin, Ivan; Laboratoire de Probabilités et Modèles Aléatoires

Formato:	Peer-reviewed Article,
Enlaces:	Let $q\geq 2$ be a positive integer, $B$ be a fractional Brownian motion with Hurst index $H\in(0,1)$, $Z$ be an Hermite random variable of index $q$, and $H_q$ denote the $q$th Hermite polynomial. For any $n\geq 1$, set $V_n=\sum_{k=0}^{n-1} H_q(B_{k+1}-B_k)$.…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

82.

Limit theorems for multi-dimensional random quantizers
Yukich, Joseph; Lehigh University

Formato:	Peer-reviewed Article,
Enlaces:	We consider the $r$-th power quantization error arising in the optimal approximation of a $d$-dimensional probability measure $P$ by a discrete measure supported by the realization of $n$ i.i.d. random variables $X_1,...,X_n$. For all $d \geq 1$ and $r \in…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

83.

General branching processes conditioned on extinction are still branching processes
Jagers, Peter; Chalmers University of Technology and University of Gothenburg - Lagerås, Andreas Nordvall; Department of Mathematics, Stockholm University

Formato:	Peer-reviewed Article,
Enlaces:	It is well known that a simple, supercritical Bienaymé-Galton-Watson process turns into a subcritical such process, if conditioned to die out. We prove that the corresponding holds true for general, multi-type branching, where child-bearing may occur at different ages, life…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

84.

An oriented competition model on $Z_+^2$
Lalley, Steven P; University of Chicago - Kordzakhia, George; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	We consider a two-type oriented competition model on the first quadrant of the two-dimensional integer lattice. Each vertex of the space may contain only one particle of either Red type or Blue type. A vertex flips to the color of…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

85.

Discrete time nonlinear filters with informative observations are stable
Van Handel, Ramon; Princeton University

Formato:	Peer-reviewed Article,
Enlaces:	The nonlinear filter associated with the discrete time signal-observation model $(X_k,Y_k)$ is known to forget its initial condition as $k\to\infty$ regardless of the observation structure when the signal possesses sufficiently strong ergodic properties. Conversely, it stands to reason that if…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

86.

Recurrence for branching Markov chains
Müller, Sebastian; Technische Universität Graz

Formato:	Peer-reviewed Article,
Enlaces:	The question of recurrence and transience of branching Markov chains is more subtle than for ordinary Markov chains; they can be classified in transience, weak recurrence, and strong recurrence. We review criteria for transience and weak recurrence and give several…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

87.

Markov processes with product-form stationary distribution
Burdzy, Krzysztof; University of Washington - White, David; Belmont University

Formato:	Peer-reviewed Article,
Enlaces:	We consider a continuous time Markov process $(X,L)$, where $X$ jumps between a finite number of states and $L$ is a piecewise linear process with state space $\mathbb{R}^d$. The process $L$ represents an "inert drift" or "reinforcement." We find sufficient…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

88.

Exponential bounds for multivariate self-normalized sums
Bertail, Patrice; Laboratory of Statistics, CREST and MODALX, University Paris X, France - Gautherat, Emmanuelle; Laboratory of Statistics, CREST and Economic Faculty of Reims, France - Harari-Kermadec, Hugo; Laboratory of Statistics, CREST and Université Paris-Dauphine, France

Formato:	Peer-reviewed Article,
Enlaces:	In a non-parametric framework, we establish some non-asymptotic bounds for self-normalized sums and quadratic forms in the multivariate case for symmetric and general random variables. This bounds are entirely explicit and essentially depends in the general case on the kurtosis…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

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89.

A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand
Mueller, Carl E; University of Rochester - Wu, Zhixin; DePauw University

Formato:	Peer-reviewed Article,
Enlaces:	We give a new representation of fractional Brownian motion with Hurst parameter $H\leq\frac{1}{2}$ using stochastic partial differential equations. This representation allows us to use the Markov property and time reversal, tools which are not usually available for fractional Brownian motion.…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

90.

Brownian couplings, convexity, and shy-ness
Kendall, Wilfrid S.; University of Warwick

Formato:	Peer-reviewed Article,
Enlaces:	Benjamini, Burdzy and Chen (2007) introduced the notion of a shy coupling: a coupling of a Markov process such that, for suitable starting points, there is a positive chance of the two component processes of the coupling staying at least…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

91.

Sharp maximal inequality for martingales and stochastic integrals
Osekowski, Adam; University of Warsaw

Formato:	Peer-reviewed Article,
Enlaces:	Let $X=(X_t)_{t\geq 0}$ be a martingale and $H=(H_t)_{t\geq 0}$ be a predictable process taking values in $[-1,1]$. Let $Y$ denote the stochastic integral of $H$ with respect to $X$. We show that $$ \|\|\sup_{t\geq 0}Y_t\|\|_1 \leq \beta_0 \|\|\sup_{t\geq 0}\|X_t\|\|\|_1,$$ where…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

92.

Some two-dimensional finite energy percolation processes
Häggström, Olle; Chalmers University of Technology - Mester, Péter; Indiana University

Formato:	Peer-reviewed Article,
Enlaces:	Some examples of translation invariant site percolation processes on the $Z^2$ lattice are constructed, the most far-reaching example being one that satisfies uniform finite energy (meaning that the probability that a site is open given the status of all others…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

93.

Stationary random graphs with prescribed iid degrees on a spatial Poisson process
Deijfen, Maria; Stockholm University

Formato:	Peer-reviewed Article,
Enlaces:	Let $[\mathcal{P}]$ be the points of a Poisson process on $R^d$ and $F$ a probability distribution with support on the non-negative integers. Models are formulated for generating translation invariant random graphs with vertex set $[\mathcal{P}]$ and iid vertex degrees with…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

94.

Moment identities for Skorohod integrals on the Wiener space and applications
Privault, Nicolas; City University of Hong Kong

Formato:	Peer-reviewed Article,
Enlaces:	We prove a moment identity on the Wiener space that extends the Skorohod isometry to arbitrary powers of the Skorohod integral on the Wiener space. As simple consequences of this identity we obtain sufficient conditions for the Gaussianity of the…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

95.

An elementary proof of Hawkes's conjecture on Galton-Watson trees.
Duquesne, Thomas S.A.; University Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	In 1981, J. Hawkes conjectured the exact form of the Hausdorff gauge function for the boundary of supercritical Galton-Watson trees under a certain assumption on the tail at infinity of the total mass of the branching measure. Hawkes's conjecture has…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

96.

A note on r-balayages of matrix-exponential L'evy processes
Sheu, Yuan-Chung; Department of Applied Mathematics, National Chiao Tung University, Hsinchu, Taiwan - Chen, Yu-Ting; Institute of Mathematics, Academia Sinica, Taipei, Taiwan

Formato:	Peer-reviewed Article,
Enlaces:	In this note we give semi-explicit solutions for $r$-balayages of matrix-exponential-Lévy processes. To this end, we turn to an identity for the joint Laplace transform of the first entry time and the undershoot and a semi-explicit solution of the negative…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

97.

Quantitative asymptotics of graphical projection pursuit
Meckes, Elizabeth S; Case Western Reserve University

Formato:	Peer-reviewed Article,
Enlaces:	There is a result of Diaconis and Freedman which says that, in a limiting sense, for large collections of high-dimensional data most one-dimensional projections of the data are approximately Gaussian. This paper gives quantitative versions of that result. For a…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

98.

First Eigenvalue of One-dimensional Diffusion Processes
Wang, Jian; School of Mathematics and Computer Science, Fujian Normal University

Formato:	Peer-reviewed Article,
Enlaces:	We consider the first Dirichlet eigenvalue of diffusion operators on the half line. A criterion for the equivalence of the first Dirichlet eigenvalue with respect to the maximum domain and that to the minimum domain is presented. We also describle…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

99.

A note on stochastic integration with respect to optional semimartingales
Kühn, Christoph; University of Frankfurt - Stroh, Maximilian; University of Frankfurt

Formato:	Peer-reviewed Article,
Enlaces:	In this note we discuss the extension of the elementary stochastic Ito-integral w.r.t. an optional semimartingale. The paths of an optional semimartingale possess limits from the left and from the right, but may have double jumps. This leads to quite…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability

Recurso libre

100.

A Note on a Feynman-Kac-Type Formula
Balan, Raluca M; University of Ottawa

Formato:	Peer-reviewed Article,
Enlaces:	In this article, we establish a probabilistic representation for the second-order moment of the solution of stochastic heat equation, with multiplicative noise, which is fractional in time and colored in space. This representation is similar to the one given in…
Fecha:	2009-01-01
Recurso:	Electronic communications in probability