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Aproximadamente 22 registro(s) hasta el momento: (journal)

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Recurso libre

Large Deviations and Quasi-Potential of a Fleming-Viot Process
Feng, Shui; McMaster University - Xiong, Jie; University of Tennessee

Formato:	Peer-reviewed Article,
Enlaces:	The large deviation principle is established for the Fleming-Viot process with neutral mutation when the process starts from a point on the boundary. Since the diffusion coefficient is degenerate on the boundary, the boundary behavior of the process is investigated…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

Recurso libre

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

Recurso libre

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

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

Recurso libre

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

Recurso libre

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

Recurso libre

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

Recurso libre

Subdiagonal and Almost Uniform Distributions
Ressel, Paul; Katholische Universität Eichstätt

Formato:	Peer-reviewed Article,
Enlaces:	A distribution (function) $F$ on $[0,1]$ with $F(t)$ less or equal $t$ for all $t$ is called subdiagonal. The extreme subdiagonal distributions are identified as those whose distribution functions are almost surely the identity, or equivalently for which $F \circ…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

Recurso libre

A Note on Reflecting Brownian Motions
Soucaliuc, Florin; Université Paris-Sud - Werner, Wendelin; Université Paris-Sud and IUF

Formato:	Peer-reviewed Article,
Enlaces:	We give another proof of the following result from a joint paper with Bálint Tóth: A Brownian motion reflected on an independent time-reversed Brownian motion is a Brownian motion.
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

Recurso libre

10.

On Nodal Lines of Neumann Eigenfunctions
Atar, Rami; Technion - Israel Institute of Technology - Burdzy, Krzysztof; University of Washington

Formato:	Peer-reviewed Article,
Enlaces:	We present a new method for locating the nodal line of the second eigenfunction for the Neumann problem in a planar domain.
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

Recurso libre

11.

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

Recurso libre

12.

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

Recurso libre

13.

Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem
Mikami, Toshio; Hokkaido University

Formato:	Peer-reviewed Article,
Enlaces:	We study the optimal control problem for $\mathbb{R}^d$-valued absolutely continuous stochastic processes with given marginal distributions at every time. When $d=1$, we show the existence and the uniqueness of a minimizer which is a function of a time and an…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

Recurso libre

14.

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

Recurso libre

15.

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

Recurso libre

16.

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

Recurso libre

17.

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

18.

Quantitative Convergence Rates of Markov Chains: A Simple Account
Rosenthal, Jeffrey S.; University of Toronto

Formato:	Peer-reviewed Article,
Enlaces:	We state and prove a simple quantitative bound on the total variation distance after k iterations between two Markov chains with different initial distributions but identical transition probabilities. The result is a simplified and improved version of the result in…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

Recurso libre

19.

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

Recurso libre

20.

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

Recurso libre

21.

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

Recurso libre

22.

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