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On the Behavior of LIFO Preemptive Resume Queues in Heavy Traffic
Limic, Vlada; Cornell University

Formato:	Peer-reviewed Article,
Enlaces:	This paper studies heavy traffic behavior of a G/G/1 last-in-first-out (LIFO) preemptive resume queue, by extending the techniques developed in Limic (1999). The queue length process exhibits a perhaps unexpected heavy traffic behavior. The diffusion limit depends on the type…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

Recurso libre

Transition Probability Estimates for Reversible Markov Chains
Telcs, Andras; International Business School Budapest

Formato:	Peer-reviewed Article,
Enlaces:	This paper provides transition probability estimates of transient reversible Markov chains. The key condition of the result is the spatial symmetry and polynomial decay of the Green's function of the chain.
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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The Convex Minorant of the Cauchy Process
Bertoin, Jean; Universite Pierre et Marie Curie

Formato:	Peer-reviewed Article,
Enlaces:	We determine the law of the convex minorant $(M_s, s\in [0,1])$ of a real-valued Cauchy process on the unit time interval, in terms of the gamma process. In particular, this enables us to deduce that the paths of $M$ have…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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Variably Skewed Brownian Motion
Barlow, Martin; University of British Columbia - Burdzy, Krzysztof; University of Washington - Kaspi, Haya; Technion Institute - Mandelbaum, Avi; Technion Institute

Formato:	Peer-reviewed Article,
Enlaces:	Given a standard Brownian motion $B$, we show that the equation $$ X_t = x_0 + B_t + \beta(L_t^X), t \geq 0,$$ has a unique strong solution $X$. Here $L^X$ is the symmetric local time of $X$ at $0$, and…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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A Large Wiener Sausage from Crumbs.
Angel, Omer; Weizmann Institute of Science - Benjamini, Itai; Weizmann Institute of Science - Peres, Yuval; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	Let $B(t)$ denote Brownian motion in $R^d$. It is a classical fact that for any Borel set $A$ in $R^d$, the volume $V_1(A)$ of the Wiener sausage $B[0,1]+A$ has nonzero expectation iff $A$ is nonpolar. We show that for any…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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A Weak Law of Large Numbers for the Sample Covariance Matrix
Sepanski, Steven J.; Saginaw Valley State University - Pan, Zhidong; Saginaw Valley State University

Formato:	Peer-reviewed Article,
Enlaces:	In this article we consider the sample covariance matrix formed from a sequence of independent and identically distributed random vectors from the generalized domain of attraction of the multivariate normal law. We show that this sample covariance matrix, appropriately normalized…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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Strict Fine Maxima
Fitzsimmons, P. J.; University of California, San Diego

Formato:	Peer-reviewed Article,
Enlaces:	We provide a simple probabilistic proof of a result of J. Král and I. Netuka: If $f$ is a measurable real-valued function on $\mathbb{R}^d$ ($d > 1$) then the set of points at which $f$ has a strict fine local…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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Perfect Simulation from the Quicksort Limit Distribution
Devroye, Luc; McGill University - Fill, James Allen; The Johns Hopkins University - Neininger, Ralph; Universität Freiburg

Formato:	Peer-reviewed Article,
Enlaces:	The weak limit of the normalized number of comparisons needed by the Quicksort algorithm to sort n randomly permuted items is known to be determined implicitly by a distributional fixed-point equation. We give an algorithm for perfect random variate generation…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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Concentration of the Spectral Measure for Large Matrices
Guionnet, Alice; Ecole Normale Superieure - Zeitouni, Ofer; Technion

Formato:	Peer-reviewed Article,
Enlaces:	We derive concentration inequalities for functions of the empirical measure of eigenvalues for large, random, self adjoint matrices, with not necessarily Gaussian entries. The results presented apply in particular to non-Gaussian Wigner and Wishart matrices. We also provide concentration bounds…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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10.

Support of a Marcus equation in Dimension 1
Simon, Thomas; Humboldt-Universitat zu Berlin

Formato:	Peer-reviewed Article,
Enlaces:	The purpose of this note is to give a support theorem in the Skorohod space for a one-dimensional Marcus differential equation driven by a Lévy process, without any assumption on the latter. We also give a criterion ensuring that the…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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11.

A Necessary and Sufficient Condition for the Lambda-Coalescent to Come Down from Infinity.
Schweinsberg, Jason; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	Let $\Pi_{\infty}$ be the standard $\Lambda$-coalescent of Pitman, which is defined so that $\Pi_{\infty}(0)$ is the partition of the positive integers into singletons, and, if $\Pi_n$ denotes the restriction of $\Pi_{\infty}$ to $\{ 1,\ldots, n \}$, then whenever $\Pi_n(t)$ has…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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12.

A Characterization of the Set of Fixed Points of the Quicksort Transformation
Fill, James Allen; The Johns Hopkins University - Janson, Svante; Uppsala University

Formato:	Peer-reviewed Article,
Enlaces:	The limiting distribution $\mu$ of the normalized number of key comparisons required by the Quicksort sorting algorithm is known to be the unique fixed point of a certain distributional transformation $T$ - unique, that is, subject to the constraints of…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

Recurso libre

13.

On the Cover Time of Planar Graphs
Jonasson, Johan; Chalmers University of Technology - Schramm, Oded; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	The cover time of a finite connected graph is the expected number of steps needed for a simple random walk on the graph to visit all the vertices. It is known that the cover time on any $n$-vertex, connected graph…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

Recurso libre

14.

A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation
Briand, Philippe; Université Rennes 1 - Coquet, François; Université Rennes 1 - Hu, Ying; Université Rennes 1 - Mémin, Jean; Université Rennes 1 - Peng, Shige; Shandong University

Formato:	Peer-reviewed Article,
Enlaces:	In [1], Z. Chen proved that, if for each terminal condition $\xi$, the solution of the BSDE associated to the standard parameter $(\xi, g_1)$ is equal at time $t=0$ to the solution of the BSDE associated to $(\xi, g_2)$ then…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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15.

On Uniqueness of a Solution of $Lu=u^\alpha$ with Given Trace
Kuznetsov, Sergei E.; University of Colorado at Boulder

Formato:	Peer-reviewed Article,
Enlaces:	A boundary trace $(\Gamma, \nu)$ of a solution of $\Delta u = u^\alpha$ in a bounded smooth domain in $\mathbb{R}^d$ was first constructed by Le Gall \cite{LGOne} who described all possible traces for $\alpha = 2, d= 2$ in which…
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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16.

Canonical Decompositions of Certain Generalized Brownian Bridges
Alili, Larbi; ETH Zurich

Formato:	Peer-reviewed Article,
Enlaces:	We define a generalized Brownian bridge and we provide some information about its filtration. Two decompositions of this process as a semi-martingale are given. The first one is a Volterra decomposition and the second one is its canonical decomposition in…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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17.

Further Exponential Generalization of Pitman's $2M-X$ Theorem
Baudoin, Fabrice; Université Paris 6 et Paris 7

Formato:	Peer-reviewed Article,
Enlaces:	We present a class of processes which enjoy an exponential analogue of Pitman's $2M-X$ theorem, improving hence some works of H. Matsumoto and M. Yor.
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

Recurso libre

18.

Asymptotics for Products of Sums and U-statistics
Rempala, Grzegorz; University of Louisville - Wesolowski, Jacek; Politechnika Warszawska

Formato:	Peer-reviewed Article,
Enlaces:	The product of subsequent partial sums of independent, identically distributed, square integrable, positive random variables is asymptotically lognormal. The result extends in a rather routine way to non-degenerate U-statistics.
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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19.

Some Extensions of an Inequality of Vapnik and Chervonenkis
Panchenko, Dmitriy; University of New Mexico

Formato:	Peer-reviewed Article,
Enlaces:	The inequality of Vapnik and Chervonenkis controls the expectation of the function  by its sample average uniformly over a VC-major class of functions taking into account the size of the expectation. Using Talagrand's kernel method we prove a similar result…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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20.

Option Price When the Stock is a Semimartingale
Klebaner, Fima; University Melbourne

Formato:	Peer-reviewed Article,
Enlaces:	The purpose of this note is to give a PDE satisfied by a call option when the price process is a semimartingale. The main result generalizes the PDE in the case when the stock price is a diffusion. Its proof…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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21.

Inclusion-Exclusion Redux
Kessler, David; Bar-Ilan University - Schiff, Jeremy; Bar-Ilan University

Formato:	Peer-reviewed Article,
Enlaces:	We present a reordered version of the inclusion-exclusion principle, which is useful when computing the probability of a union of events which are close to independent. The advantages of this formulation are demonstrated in the context of 3 classic problems…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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22.

Tightness of the Student $t$-Statistic
Griffin, Philip S.; Syracuse University

Formato:	Peer-reviewed Article,
Enlaces:	Let $X, X_1, X_2, \dots $ be a sequence of nondegenerate, independent and identically distributed random variables and set $S_n=X_1+\dots +X_n$, $V_n^2=X_1^2+\dots +X_n^2$. We answer a question of Gotze, Gine and Mason by providing a simple necessary and sufficient condition…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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23.

A Non-Ballistic Law of Large Numbers for Random Walks in I.I.D. Random Environment
Zerner, Martin P. W.; Stanford University

Formato:	Peer-reviewed Article,
Enlaces:	We prove that random walks in i.i.d. random environments which oscillate in a given direction have velocity zero with respect to that direction. This complements existing results thus giving a general law of large numbers under the only assumption of…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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24.

Continuous Ocone Martingales as Weak Limits of Rescaled Martingales
Zanten, Harry van; Vrije Universiteit Amsterdam

Formato:	Peer-reviewed Article,
Enlaces:	Consider a martingale $M$ with bounded jumps and two sequences $a_n, b_n \to \infty$. We show that if the rescaled martingales $$ M^n_t =\frac{1}{\sqrt{a_n}}M_{b_n t}$$ converge weakly, then the limit is necessarily a continous Ocone martingale. Necessary and sufficient conditions…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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25.

A Representation for Non-Colliding Random Walks
O'Connell, Neil; BRIMS, HP Labs - Yor, Marc; Universite Pierre et Marie Curie

Formato:	Peer-reviewed Article,
Enlaces:	We define a sequence of mappings $\Gamma_k:D_0(R_+)^k\to D_0(R_+)^k$ and prove the following result: Let $N_1,\ldots,N_n$ be the counting functions of independent Poisson processes on $R_+$ with respective intensities $\mu_1 < \mu_2 < \cdots < \mu_n$. The conditional law of $N_1,\ldots,N_n$,…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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26.

A Monotonicity Result for Hard-core and Widom-Rowlinson Models on Certain $d$-dimensional Lattices
Häggström, Olle; Chalmers University of Technology and Goteborg University

Formato:	Peer-reviewed Article,
Enlaces:	For each $d\geq 2$, we give examples of $d$-dimensional periodic lattices on which the hard-core and Widom-Rowlinson models exhibit a phase transition which is monotonic, in the sense that there exists a critical value $\lambda_c$ for the activity parameter $\lambda$,…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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27.

Geodesics and Recurrence of Random Walks in Disordered Systems
Boivin, Daniel; Université de Bretagne Sud - Derrien, Jean-Marc; Université de Bretagne Sud

Formato:	Peer-reviewed Article,
Enlaces:	In a first-passage percolation model on the square lattice $Z^2$, if the passage times are independent then the number of geodesics is either $0$ or $+\infty$. If the passage times are stationary, ergodic and have a finite moment of order…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

Recurso libre

28.

Fill's Algorithm for Absolutely Continuous Stochastically Monotone Kernels
Machida, Motoya; Tennessee Technological University

Formato:	Peer-reviewed Article,
Enlaces:	Fill, Machida, Murdoch, and Rosenthal (2000) presented their algorithm and its variants to extend the perfect sampling algorithm of Fill (1998) to chains on continuous state spaces. We consider their algorithm for absolutely continuous stochastically monotone kernels, and show the…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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29.

State Classification for a Class of Interacting Superprocesses with Location Dependent Branching
Wang, Hao; University of Oregon

Formato:	Peer-reviewed Article,
Enlaces:	The spatial structure of a class of superprocesses which arise as limits in distribution of a class of interacting particle systems with location dependent branching is investigated. The criterion of their state classification is obtained. Their effective state space is…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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30.

Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
Bahlali, Khaled; CNRS Luminy

Formato:	Peer-reviewed Article,
Enlaces:	We deal with multidimensional backward stochastic differential equations (BSDE) with locally Lipschitz coefficient in both variables $ y,z $ and an only square integrable terminal data. Let $ L_N $ be the Lipschitz constant of the coefficient on the ball…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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31.

Almost Sure Stability of Linear Ito-Volterra Equations with Damped Stochastic Perturbations
Appleby, John A. D.; Dublin City University

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we study the a.s. convergence of all solutions of the Ito-Volterra equation \[ dX(t) = (AX(t) + \int_{0}^{t} K(t-s)X(s),ds)\,dt + \Sigma(t)\,dW(t) \] to zero. $A$ is a constant $d\times d$ matrix, $K$ is a $d\times d$ continuous…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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32.

Optional processes with non-exploding realized power variation along stopping times are làglàd
Kühn, Christoph; Goethe-University Frankfurt - Teusch, Marc; Deloitte Germany

Formato:	Peer-reviewed Article,
Enlaces:	We prove that an optional process of non-exploding realized power variation along stopping times possesses almost surely làglàd paths. This result is useful for the analysis of some imperfect market models in mathematical finance. In the finance applications variation naturally…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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33.

Limit distribution of degrees in random family trees
Backhausz, Agnes; Eotvos Lorand University, Department of Probability Theory and Statistics

Formato:	Peer-reviewed Article,
Enlaces:	In a one-parameter model for evolution of random trees, which also includes the Barabasi-Albert random tree [1], almost sure behavior and the limiting distribution of the degree of a vertex in a fixed position are examined. A functional central limit…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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34.

A convergent series representation for the density of the supremum of a stable process
Hubalek, Friedrich; Vienna University of Technology - Kuznetsov, Alexey; York University

Formato:	Peer-reviewed Article,
Enlaces:	We study the density of the supremum of a strictly stable Levy process. We prove that for almost all values of the index $\alpha$ - except for a dense set of Lebesgue measure zero - the asymptotic series which were…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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35.

Generalized Laguerre Unitary Ensembles and an interacting particles model with a wall
Defosseux, Manon; MAP5

Formato:	Peer-reviewed Article,
Enlaces:	We introduce and study a new interacting particles model with a wall and two kinds of interactions - blocking and pushing - which maintain particles in a certain order. We show that it involves a random matrix model.
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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36.

A Remark on Localization for Branching Random Walks in Random Environment
Heil, Hadrian; Universität Tübingen - Nakashima, Makoto; Kyoto University

Formato:	Peer-reviewed Article,
Enlaces:	We prove a localization-result for branching random walks in random environment, namely that if the process does not die out, the most populated site will infinitely often contain more than a fixed percentage of the population. This had been proven…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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37.

Asymptotic constants for minimal distance in the central limit theorem
Rio, Emmanuel; Université de Versaiiles Saint Quentin

Formato:	Peer-reviewed Article,
Enlaces:	In this paper, we generalize the asymptotic result of Esseen (1958) concerning the Wasserstein distance of order one in the mean central limit theorem to the Wasserstein distances of order $r$ for $r \in ]1,2]$.
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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38.

Recursions and tightness for the maximum of the discrete, two dimensional Gaussian Free Field
Bolthausen, Erwin; Universität Zürich - Deuschel, Jean-Dominique; Technische Universität Berlin - Zeitouni, Ofer; University of Minnesota

Formato:	Peer-reviewed Article,
Enlaces:	We consider the maximum of the discrete two dimensional Gaussian free field in a box, and prove the existence of a (dense) deterministic subsequence along which the maximum, centered at its mean, is tight. The method…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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39.

A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
Chassagneux, Jean François; Université d'Evry - Val d'Essonne - Elie, Romuald; Université Paris Dauphine - Kharroubi, Idris; Université Paris Dauphine

Formato:	Peer-reviewed Article,
Enlaces:	In this note, we provide an innovative and simple approach for proving the existence of a unique solution for multidimensional reflected BSDEs associated to switching problems. Getting rid of a monotonicity assumption on the driver function, this approach simplifies and…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

Recurso libre

40.

A family of exceptional parameters for non-uniform self-similar measures
Neunhäuserer, Jörg; TU Clausthal / TFH Berlin

Formato:	Peer-reviewed Article,
Enlaces:	We present plane algebraic curves that have segments of points for which non uniform self-similar measures get singular. We calculate appropriate points on the curves using Mathematica. These points are in the parameter domain where we generically have absolute continuity…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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41.

On a species survival model
Ben-Ari, Iddo; University of Connecticut - Matzavinos, Anastasios; Iowa State University - Roitershtein, Alexander; Iowa State University

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we provide some sharp asymptotic results for a stochastic model of species survival recently proposed by Guiol, Machado, and Schinazi.
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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42.

Correction to "The measurability of hitting times"
Bass, Richard; University of Connecticut

Formato:	Peer-reviewed Article,
Enlaces:	We correct an error in Electronic Communications in Probability, Vol 15 (2010), paper 10
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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43.

A Reflection Type Problem for the Stochastic 2-D Navier-Stokes Equations with Periodic Conditions
Barbu, Viorel; University of Iasi (Romania) - Da Prato, Giuseppe; Scuoal Normale Superiore Pisa - Tubaro, Luciano; Dept. Mathematics- University of Trento

Formato:	Peer-reviewed Article,
Enlaces:	We prove the existence of a solution for the Kolmogorov equation associated with a reflection problem for 2-D stochastic Navier-Stokes equations with periodic spatial conditions and the corresponding stream flow in a closed ball of a Sobolev space of the…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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44.

Stability of the stochastic heat equation in $L^1([0,1])$
Fournier, Nicolas; Université Paris Est - Printems, Jacques; Université Paris Est

Formato:	Peer-reviewed Article,
Enlaces:	We consider the white-noise driven stochastic heat equation on $[0,1]$ with Lipschitz-continuous drift and diffusion coefficients. We derive an inequality for the $L^1([0,1])$-norm of the difference between two solutions. Using some martingale arguments, we show that this inequality provides some…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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45.

On the transience of random interlacements
Rath, Balazs; ETH, Zurich - Sapozhnikov, Artem; ETH, Zurich

Formato:	Peer-reviewed Article,
Enlaces:	We consider the interlacement Poisson point process on the space of doubly-infinite $\mathbb{Z}^d$-valued trajectories modulo time-shift, tending to infinity at positive and negative infinite times. The set of vertices and edges visited by at least one of these trajectories is…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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46.

On the one-sided exit problem for fractional Brownian motion
Aurzada, Frank; Technische Universität Berlin

Formato:	Peer-reviewed Article,
Enlaces:	We consider the one-sided exit problem for fractional Brownian motion (FBM), which is equivalent to the question of the distribution of the lower tail of the maximum of FBM on the unit interval. We improve the bounds given by Molchan…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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47.

Random laminations and multitype branching processes
Curien, Nicolas; DMA Ens Paris - Peres, Yuval; Microsoft Research Redmond

Formato:	Peer-reviewed Article,
Enlaces:	We consider multitype branching processes arising in the study of random laminations of the disk. We classify these processes according to their subcritical or supercritical behavior and provide Kolmogorov-type estimates in the critical case corresponding to the random recursive lamination…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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48.

The tail of the maximum of Brownian motion minus a parabola
Groeneboom, Piet; Delft University of Technology - Temme, Nico M.; CWI

Formato:	Peer-reviewed Article,
Enlaces:	We analyze the tail behavior of the maximum $N$ of $\{W(t)-t^2:t\ge0\}$, where $W$ is standard Brownian motion on $[0,\infty)$, and give an asymptotic expansion for ${\mathbb P}\{N\ge x\}$, as $x\to\infty$. This extends a first order result on the tail behavior,…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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49.

Internal DLA generated by cookie random walks on Z
Raimond, Olivier; University Paris 10 (Nanterre) - Schapira, Bruno; University Paris Sud 11 (Orsay)

Formato:	Peer-reviewed Article,
Enlaces:	We prove a law of large numbers for the right boundary in the model of internal DLA generated by cookie random walks in dimension one. The proof is based on stochastic recursions techniques.
Fecha:	2011-01-01
Recurso:	Electronic communications in probability

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50.

White and colored Gaussian noises as limits of sums of random dilations and translations of a single function
Gripenberg, Gustaf; Aalto University

Formato:	Peer-reviewed Article,
Enlaces:	It is shown that a stochastic process obtained by taking random sums of dilations and translations of a given function converges to Gaussian white noise if a dilation parameter grows to infinity and that it converges to Gaussian colored noise…
Fecha:	2011-01-01
Recurso:	Electronic communications in probability