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Recurso libre

Points of Positive Density for Smooth Functionals
Chaleyat-Maurel, Mireille; Université de Paris VI - Nualart, David; Universitat de Barcelona

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we show that the set of points where the density of a Wiener functional is strictly positive is an open connected set, assuming some regularity conditions.
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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On the Approximate Solutions of the Stratonovitch Equation
Feyel, D.; Université Evry - de La Pradelle, A.; Université Paris VI

Formato:	Peer-reviewed Article,
Enlaces:	We present new methods for proving the convergence of the classical approximations of the Stratonovitch equation. We especially make use of the fractional Liouville-valued Sobolev space $W^{r,p}({\cal J}_{\alpha,p})$. We then obtain a support theorem for the capacity $c_{r,p}$.
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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Measure Attractors for Stochastic Navier-Stokes Equations
Capinski, Marek; Jagiellonian University - Cutland, Nigel J.; University of Hull

Formato:	Peer-reviewed Article,
Enlaces:	We show existence of measure attractors for 2-D stochastic Navier-Stokes equations with general multiplicative noise.
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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On the Unique Solvability of Some Nonlinear Stochastic PDEs
Yoo, Hyek; University of Minnesota

Formato:	Peer-reviewed Article,
Enlaces:	The Cauchy problem for 1-dimensional nonlinear stochastic partial differential equations is studied. The uniqueness and existence of solutions in $cH^2_p(T)$-space are proved.
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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Laplace Asymptotic Expansions for Gaussian Functional Integrals
Davies, Ian M.; University of Wales, Swansea

Formato:	Peer-reviewed Article,
Enlaces:	We obtain a Laplace asymptotic expansion, in orders of $\lambda$, of $$ E^\rho_x \left\{ G(\lambda x) e^{-\lambda ^{-2} F(\lambda x)}\right\}$$ the expectation being with respect to a Gaussian process. We extend a result of Pincus and build upon the previous…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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Hypercontractivity and Comparison of Moments of Iterated Maxima and Minima of Independent Random Variables
Hitczenko, Pawel; North Carolina State University - Kwapien, Stanislaw; Warsaw University - Li, Wenbo V.; University of Delaware - Schechtman, Gideon; The Weizmann Institute of Science - Schlumprecht, Thomas; Texas A&M University - Zinn, Joel; Texas A&M University

Formato:	Peer-reviewed Article,
Enlaces:	We provide necessary and sufficient conditions for hypercontractivity of the minima of nonnegative, i.i.d. random variables and of both the maxima of minima and the minima of maxima for such r.v.'s. It turns out that the idea of hypercontractivity for…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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The Entrance Boundary of the Multiplicative Coalescent
Aldous, David; University of California, Berkeley - Limic, Vlada; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	The multiplicative coalescent $X(t)$ is a $l^2$-valued Markov process representing coalescence of clusters of mass, where each pair of clusters merges at rate proportional to product of masses. From random graph asymptotics it is known (Aldous (1997)) that there exists…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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Collision Local Times, Historical Stochastic Calculus, and Competing Species
Evans, Steven N.; University of California at Berkeley - Perkins, Edwin A.; The University of British Columbia

Formato:	Peer-reviewed Article,
Enlaces:	Branching measure-valued diffusion models are investigated that can be regarded as pairs of historical Brownian motions modified by a competitive interaction mechanism under which individuals from each population have their longevity or fertility adversely affected by collisions with individuals from…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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Martingale Problems for Conditional Distributions of Markov Processes
Kurtz, Thomas G.; University of Wisconsin, Madison

Formato:	Peer-reviewed Article,
Enlaces:	Let $X$ be a Markov process with generator $A$ and let $Y(t)=\gamma (X(t))$. The conditional distribution $\pi_t$ of $X(t)$ given $\sigma (Y(s):s\leq t)$ is characterized as a solution of a filtered martingale problem. As a consequence, we obtain a generator/martingale…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

Recurso libre

10.

Almost All Words Are Seen In Critical Site Percolation On The Triangular Lattice
Kesten, Harry; Cornell University - Sidoravicius, Vladas; IMPA - Zhang, Yu; University of Colorado

Formato:	Peer-reviewed Article,
Enlaces:	We consider critical site percolation on the triangular lattice, that is, we choose $X(v) = 0$ or 1 with probability 1/2 each, independently for all vertices $v$ of the triangular lattice. We say that a word $(\xi_1, \xi_2,\dots) \in \{0,1\}^{\Bbb…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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11.

Markov Processes with Identical Bridges
Fitzsimmons, P. J.; University of California, San Diego

Formato:	Peer-reviewed Article,
Enlaces:	Let $X$ and $Y$ be time-homogeneous Markov processes with common state space $E$, and assume that the transition kernels of $X$ and $Y$ admit densities with respect to suitable reference measures. We show that if there is a time $t>0$…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

Recurso libre

12.

Large Favourite Sites of Simple Random Walk and theWiener Process
Csaki, Endre; Hungarian Academy of Sciences - Shi, Zhan; Université de Paris VI

Formato:	Peer-reviewed Article,
Enlaces:	Let $U(n)$ denote the most visited point by a simple symmetric random walk $\{ S_k\}_{k\ge 0}$ in the first $n$ steps. It is known that $U(n)$ and $max_{0\le k\le n} S_k$ satisfy the same law of the iterated logarithm, but…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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13.

Concrete Representation of Martingales
Montgomery-Smith, Stephen; University of Missouri

Formato:	Peer-reviewed Article,
Enlaces:	Let $(f_n)$ be a mean zero vector valued martingale sequence. Then there exist vector valued functions $(d_n)$ from $[0,1]^n$ such that $\int_0^1 d_n(x_1,\dots,x_n)\,dx_n = 0$ for almost all $x_1,\dots,x_{n-1}$, and such that the law of $(f_n)$ is the same as…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

Recurso libre

14.

Fluctuations of a Surface Submitted to a Random Average Process
Ferrari, P.A.; Universidade de Säo Paulo - Fontes, L. R. G.; Universidade de Säo Paulo

Formato:	Peer-reviewed Article,
Enlaces:	We consider a hypersurface of dimension $d$ imbedded in a $d+1$ dimensional space. For each $x\in Z^d$, let $\eta_t(x)\in R$ be the height of the surface at site $x$ at time $t$. At rate $1$ the $x$-th height is updated…
Fecha:	1998-01-01
Recurso:	Electronic journal of probability

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15.

Truncated correlations in the stirring process with births and deaths
De Masi, Anna; Università di L'Aquila - Presutti, Errico; Università di Roma ''Tor Vergata'' - Tsagkarogiannis, Dimitrios; Università di Roma ''Tor Vergata'' - Vares, Maria Eulalia; Centro Brasileiro de Pesquisas Fisicas

Formato:	Peer-reviewed Article
Enlaces:	We consider the stirring process in the interval $\Lambda_N:=[-N,N]$ of $\mathbb Z$ with births and deaths taking place in the intervals $I_+:=(N-K,N]$, and respectively $I_-:=[-N,-N+K)$, $1 \le K <N$. We prove bounds on the truncated moments uniform in $N$ which…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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16.

Localization of solutions to stochastic porous media equations: finite speed of propagation
Barbu, Viorel; Al.I.Cuza University - Roeckner, Michael; Bielefeld University

Formato:	Peer-reviewed Article
Enlaces:	It is proved that the solutions to the slow diffusion stochastic porous media equation $dX-{\Delta}( \|X\|^{m-1}X )dt=\sigma(X)dW_t,$ $ 1< m\le 5,$ in $\mathcal{O}\subset\mathbb{R}^d,\ d=1,2,3,$ have the property of finite speed of propagation of disturbances for $\mathbb{P}\text{-a.s.}$ ${\omega}\in{\Omega}$ on a sufficiently…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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17.

Rates of convergence in the strong invariance principle under projective criteria
Dedecker, Jérôme; Université Paris Descartes - Doukhan, Paul; Université Cergy-Pontoise - Merlevède, Florence; Université Paris-Est Marne-la-Vallée

Formato:	Peer-reviewed Article
Enlaces:	We give rates of convergence in the strong invariance principle for stationary sequences satisfying some projective criteria. The conditions are expressed in terms of conditional expectations of partial sums of the initial sequence. Our results apply to a large variety…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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18.

On the existence of a time inhomogeneous skew Brownian motion and some related laws
Étoré, Pierre; Université de Grenoble - Martinez, Miguel; Université Paris-Est Marne-la-Vallée

Formato:	Peer-reviewed Article
Enlaces:	This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In particular, using…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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19.

On the internal distance in the interlacement set
Černý, Jiří; University of Vienna - Popov, Serguei; University of Campinas UNICAMP

Formato:	Peer-reviewed Article
Enlaces:	We prove a shape theorem for the internal (graph) distance on the interlacement set $\mathcal{I}^u$ of the random interlacement model on $\mathbb Z^d$, $d\ge 3$. We provide large deviation estimates for the internal distance of distant points in this set, and use these estimates…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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20.

Stochastic representation of entropy solutions of semilinear elliptic obstacle problems with measure data
Rozkosz, Andrzej; Nicolaus Copernicus University - Slominski, Leszek; Nicolaus Copernicus University

Formato:	Peer-reviewed Article
Enlaces:	We consider semilinear obstacle problem with measure data associated with uniformly elliptic divergence form operator. We prove existence and uniqueness of entropy solution of the problem and provide stochastic representation of the solution in terms of some generalized reflected backward…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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21.

Distribution of the supremum location of stationary processes
Samorodnitsky, Gennady; Cornell University - Shen, Yi; Cornell University

Formato:	Peer-reviewed Article
Enlaces:	The location of the unique supremum of a stationary process on an interval does not need to be uniformly distributed over that interval. We describe all possible distributions of the supremum location for a broad class of such stationary processes. We show that, in…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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22.

On cover times for 2D lattices
Ding, Jian; Stanford University

Formato:	Peer-reviewed Article
Enlaces:	We study the cover time $\tau_{\mathrm{cov}}$ by (continuous-time) random walk on the 2D box of side length $n$ with wired boundary or on the 2D torus,and show that in both cases with probability approaching $1$ as $n$ increases,$\sqrt{\tau_{\mathrm{cov}}}=\sqrt{2n^2 [\sqrt{2/\pi} \log…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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23.

Transport-Entropy inequalities on the line
Gozlan, Nathael; Université Marne-la-Vallée

Formato:	Peer-reviewed Article
Enlaces:	We give a necessary and sucient condition for transport entropy inequalities in dimension one. As an application, we construct a new example of a probability distribution verifying Talagrand's T2 inequality and not the logarithmic Sobolev inequality.
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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24.

Ergodicity of self-attracting motion
Kleptsyn, Victor; Université de Rennes 1 - Kurtzmann, Aline; Université de Lorraine

Formato:	Peer-reviewed Article
Enlaces:	We study the asymptotic behaviour of a class of self-attracting motions on $\mathbb{R}^d$. We prove the decrease of the free energy related to the system and mix it together with stochastic approximation methods. We finally obtain the (limit-quotient) ergodicity of…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

Recurso libre

25.

Stochastic PDEs with multiscale structure
Hairer, Martin; University of Warwick - Kelly, David; University of Warwick

Formato:	Peer-reviewed Article
Enlaces:	We study the spatial homogenisation of parabolic linear stochastic PDEs exhibiting a two-scale structure both at the level of the linear operator and at the level of the Gaussiandriving noise. We show that in some cases, in particular when the forcing is given…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

Recurso libre

26.

A clever (self-repelling) burglar
Dumaz, Laure; École Normale Supérieure, Université Paris-Sud, BME Budapest

Formato:	Peer-reviewed Article
Enlaces:	We derive the following property of the "true self-repelling motion", a continuous real-valued self-interacting process $(X_t, t \ge 0)$ introduced by Balint Toth and Wendelin Werner. Conditionally on its occupation time measure at time one (which is the information about…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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27.

Stein's method, heat kernel, and traces of powers of elements of compact Lie groups
Fulman, Jason; University of Southern California

Formato:	Peer-reviewed Article
Enlaces:	Combining Stein's method with heat kernel techniques, we show that the trace of the jth power of an element of U(n,C), USp(n,C), or SO(n,R) has a normal limit with error term C j/n, with C an absolute constant. In contrast to…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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28.

Penalizing null recurrent diffusions
Profeta, Christophe; Université d'Evry val d'Essonne

Formato:	Peer-reviewed Article
Enlaces:	We present some limit theorems for the normalized laws (with respect to functionals involving last passage times at a given level $a$ up to time $t$) of a large class of null recurrent diffusions. Our results rely on hypotheses on…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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29.

The compact support property for the $\Lambda$-Fleming-Viot process with underlying Brownian motion
Liu, Huili; Concordia University - Zhou, Xiaowen; Concordia University

Formato:	Peer-reviewed Article
Enlaces:	Using the lookdown construction of Donnelly and Kurtz we prove that, at any fixed positive time, the $\Lambda$-Fleming-Viot process with underlying Brownian motion has a compact support provided that the corresponding $\Lambda$-coalescent comes down from infinity not too slowly. We…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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30.

Renewal theorems for random walk in random scenery
Guillotin-Plantard, Nadine; Université Lyon 1 - Pène, Françoise; Brest University

Formato:	Peer-reviewed Article
Enlaces:	In this work, we establish renewal-type theorems, with precise asymptotics, in in the context of random walk in random sceneries.
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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31.

Lower bound estimate of the spectral gap for simple exclusion process with degenerate rates
Nagahata, Yukio; Niigata University

Formato:	Peer-reviewed Article
Enlaces:	We consider exclusion process with degenerate rates in a finite torus with size $n$. This model is a simplified model for some peculiar phenomena of the "glassy" dynamics. We prove that the spectral gap is bounded below by $C\rho^4/n^2$, where $\rho =…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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32.

Ergodic theory on stationary random graphs
Benjamini, Itai; Weizmann institute of science - Curien, Nicolas; ÉNS Paris

Formato:	Peer-reviewed Article
Enlaces:	A stationary random graph is a random rooted graph whose distribution is invariant under re-rooting along the simple random walk. We adapt the entropy technique developed for Cayley graphs and show in particular that stationary random graphs of subexponential growth…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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33.

Jump type SDEs for self-similar processes
Döring, Leif; Université Paris 6 - Barczy, Matyas; University of Debrecen

Formato:	Peer-reviewed Article
Enlaces:	We present a new approach to positive self-similar Markov processes (pssMps) by reformulating Lamperti's transformation via jump type SDEs. As applications, we give direct constructions of pssMps (re)started continuously at zero if the Lamperti transformed Lévy process is spectrally negative. Our paper…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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34.

A quantitative central limit theorem for the random walk among random conductances
Mourrat, Jean-Christophe; EPFL

Formato:	Peer-reviewed Article
Enlaces:	We consider the random walk among random conductances on $\mathbb{Z}^d$. We assume that the conductances are independent, identically distributed and uniformly bounded away from $0$ and infinity. We obtain a quantitative version of the central limit theorem for this random…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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35.

Numerical schemes for G-Expectations
Dolinsky, Yan; ETH Zurich and Hebrew University of Jerusalem

Formato:	Peer-reviewed Article
Enlaces:	We consider a discrete time analog of $G$-expectations and we prove that in the case where the time step goes to zero the corresponding values converge to the original $G$-expectation. Furthermore we provide error estimates for the convergence rate. This paper is continuation of…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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36.

Correlation-length bounds, and estimates for intermittent islands in parabolic SPDEs
Conus, Daniel; Lehigh University - Joseph, Mathew; University of Utah - Khoshnevisan, Davar; University of Utah

Formato:	Peer-reviewed Article
Enlaces:	We consider the nonlinear stochastic heat equation in one dimension. Under some conditions on the nonlinearity, we show that the "peaks" of the solution are rare, almost fractal like. We also provide an upper bound on the length of the "islands", the regions…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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37.

Reflected BSDEs with monotone generator
Klimsiak, Tomasz; Nicolaus Copernicus University in Torun

Formato:	Peer-reviewed Article
Enlaces:	We give necessary and sufficient condition for existence and uniqueness of $\mathbb{L}^{p}$-solutions of reflected BSDEs with continuous barrier, generator monotone with respect to $y$ and Lipschitz continuous with respect to $z$, and with data in $\mathbb{L}^{p}$, $p\ge 1$. We also…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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38.

Convergence of mixing times for sequences of random walks on finite graphs
Croydon, David A; University of Warwick - Hambly, Ben M; University of Oxford - Kumagai, Takashi; Kyoto University

Formato:	Peer-reviewed Article
Enlaces:	We establish conditions on sequences of graphs which ensure that the mixing times of the random walks on the graphs in the sequence converge. The main assumption is that the graphs, associated measures and heat kernels converge in a suitable…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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39.

Ordered random walks with heavy tails
Denisov, Denis E; Cardiff University - Wachtel, Vitali; University of Munich

Formato:	Peer-reviewed Article
Enlaces:	This note continues paper of Denisov and Wachtel (2010), where we have constructed a $k$-dimensional random walk conditioned to stay in the Weyl chamber of type $A$. The construction was done under the assumption that the original random walk has…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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40.

Limit theorems for empirical processes based on dependent data
Berti, Patrizia; University of Modena and Reggio-Emilia - Pratelli, Luca; Accademia Navale di Livorno - Rigo, Pietro; University of Pavia

Formato:	Peer-reviewed Article
Enlaces:	Let $(X_n)$ be any sequence of random variables adapted to a filtration $(\mathcal{G}_n)$. Define $a_n(\cdot)=P\bigl(X_{n+1}\in\cdot\mid\mathcal{G}_n\bigr)$, $b_n=\frac{1}{n}\sum_{i=0}^{n-1}a_i$, and $\mu_n=\frac{1}{n}\,\sum_{i=1}^n\delta_{X_i}$. Convergence in distribution of the empirical processes $$ B_n=\sqrt{n}\,(\mu_n-b_n)\quad\text{and}\quad C_n=\sqrt{n}\,(\mu_n-a_n)$$ is investigated under uniform distance. If $(X_n)$ is conditionally identically distributed, convergence of…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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41.

Extinction of Fleming-Viot-type particle systems with strong drift
Bieniek, Mariusz; Maria Curie-Skƚodowska University - Burdzy, Krzysztof; University of Washington - Pal, Soumik; University of Washington

Formato:	Peer-reviewed Article
Enlaces:	We consider a Fleming-Viot-type particle system consisting of independently moving particles that are killed on the boundary of a domain. At the time of death of a particle, another particle branches. If there are only two particles and the underlying…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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42.

The need for speed: maximizing the speed of random walk in fixed environments
Procaccia, Eviatar Ben; Weizmann Institute of Science - Rosenthal, Ron; The Hebrew University of Jerusalem

Formato:	Peer-reviewed Article
Enlaces:	We study nearest neighbor random walks in fixed environments of $\mathbb{Z}$ composed of two point types : $(\frac{1}{2},\frac{1}{2})$ and$(p,1-p)$ for $p>\frac{1}{2}$. We show that for every environmentwith density of $p$ drifts bounded by $\lambda$ we have $\limsup_{n\rightarrow\infty}\frac{X_n}{n}\leq (2p-1)\lambda$, where $X_n$…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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43.

Vertices of high degree in the preferential attachment tree
Brightwell, Graham; London School of Economics - Luczak, Malwina; University of Sheffield

Formato:	Peer-reviewed Article
Enlaces:	We study the basic preferential attachment process, which generates a sequence of random trees, each obtained from the previous one by introducing a new vertex and joining it to one existing vertex, chosen with probability proportional to its degree. We investigate the…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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44.

Spectral analysis of 1D nearest-neighbor random walks and applications to subdiffusive trap and barrier models
Faggionato, Alessandra; University La Sapienza, Rome

Formato:	Peer-reviewed Article
Enlaces:	We consider a sequence $X^{(n)}$, $n \geq 1 $, of continuous-time nearest-neighbor random walks on the one dimensional lattice $\mathbb{Z}$. We reduce the spectral analysis of the Markov generator of $X^{(n)}$ with Dirichlet conditions outside $(0,n)$ to the analogous problem …
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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45.

On optimal stationary couplings between stationary processes
Rüschendorf, Ludger; University of Freiburg - Sei, Tomonari; Keio University

Formato:	Peer-reviewed Article
Enlaces:	By a classical result of Gray, Neuhoff and Shields (1975) the rhobar-distance between stationary processes is identified with an optimal stationary coupling problem of the corresponding stationary measures on the infinite product spaces. This is a modification of the optimal…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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46.

Two-sided random walks conditioned to have no intersections
Shiraishi, Daisuke; Kyoto University

Formato:	Peer-reviewed Article
Enlaces:	Let $S^{1},S^{2}$ be independent simple random walks in $\mathbb{Z}^{d}$ ($d=2,3$) started at the origin. We construct two-sided random walk paths conditioned that $S^{1}[0,\infty ) \cap S^{2}[1, \infty ) = \emptyset$ by showing the existence of the following limit:\begin{equation*}\lim _{n \rightarrow…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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47.

Parrondo's paradox via redistribution of wealth
Ethier, Stewart N.; University of Utah - Lee, Jiyeon; Yeungnam University

Formato:	Peer-reviewed Article
Enlaces:	In Toral's games, at each turn one member of an ensemble of $N\ge2$ players is selected at random to play. He plays either game $A'$, which involves transferring one unit of capital to a second randomly chosen player, or game…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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48.

Large deviations for self-intersection local times in subcritical dimensions
Laurent, Clément; Université de Provence

Formato:	Peer-reviewed Article
Enlaces:	Let $(X_t,t\geq 0)$ be a simple symmetric random walk on $\mathbb{Z}^d$ and for any $x\in\mathbb{Z}^d$, let $ l_t(x)$ be its local time at site $x$. For any $p>1$, we denote by$ I_t= \sum\limits_{x\in\mathbb{Z}^d} l_t(x)^p $ the p-fold self-intersection local times…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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49.

Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation
Casserini, Matteo; ETH Zürich - Delbaen, Freddy; ETH Zürich

Formato:	Peer-reviewed Article
Enlaces:	In this article, we study predictable projections of stochastic integrals with respect to the conformal Brownian motion, extending the connection between powers of the conformal Brownian motion and the corresponding Hermite polynomials. As a consequence of this result, we then…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability

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50.

A quasi-sure approach to the control of non-Markovian stochastic differential equations
Nutz, Marcel; Columbia University

Formato:	Peer-reviewed Article
Enlaces:	We study stochastic differential equations (SDEs) whose drift and diffusion coefficients are path-dependent and controlled. We construct a value process on the canonical path space, considered simultaneously under a family of singular measures, rather than the usual family of processes…
Fecha:	2012-01-01
Recurso:	Electronic journal of probability