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Aproximadamente 21 registro(s) hasta el momento: (journal)

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Recurso libre

The Mean of a Maximum Likelihood Estimator Associated with the Brownian Bridge
Gao, Fuchang; University of Idaho

Formato:	Peer-reviewed Article,
Enlaces:	A closed formula for the mean of a maximum likelihood estimator associated with the Brownian bridge is obtained; the exact relation with that of the Brownian motion is established.
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Random Walks that Avoid Their Past Convex Hull
Angel, Omer; Weizmann Institute of Science - Benjamini, Itai; Weizmann Institute of Science - Virág, Bálint; MIT

Formato:	Peer-reviewed Article,
Enlaces:	We explore planar random walk conditioned to avoid its past convex hull. We prove that it escapes at a positive lim sup speed. Experimental results show that fluctuations from a limiting direction are on the order of $n^{3/4}$. This behavior…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

SLE and Triangles
Dubédat, Julien; Université Paris-Sud

Formato:	Peer-reviewed Article,
Enlaces:	By analogy with Carleson's observation on Cardy's formula describing crossing probabilities for the scaling limit of critical percolation, we exhibit ``privileged geometries'' for Stochastic Loewner Evolutions with various parameters, for which certain hitting distributions are uniformly distributed. We then examine…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Central Limit Theorems for the Products of Random Matrices Sampled by a Random Walk
Duheille-Bienvenue, Frédérique; Université Claude Bernard - Lyon 1 - Guillotin-Plantard, Nadine; Université Claude Bernard - Lyon 1

Formato:	Peer-reviewed Article,
Enlaces:	The purpose of the present paper is to study the asymptotic behaviour of the products of random matrices indexed by a random walk following the results obtained by Furstenberg and Kesten (MR53:14670) and by Ishitani (MR 53:14670).
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus
Gobet, Emmanuel; Centre de Mathématiques Appliquées - Kohatsu-Higa, Arturo; Universitat Pompeu Fabra

Formato:	Peer-reviewed Article,
Enlaces:	In this article, we consider the numerical computations associated to the Greeks of barrier and lookback options, using Malliavin calculus. For this, we derive some integration by parts formulae involving the maximum and minimum of a one dimensional diffusion. Numerical…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Mixing Time of the Rudvalis Shuffle
Wilson, David Bruce; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	We extend a technique for lower-bounding the mixing time of card-shuffling Markov chains, and use it to bound the mixing time of the Rudvalis Markov chain, as well as two variants considered by Diaconis and Saloff-Coste. We show that in…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Excited Random Walk
Benjamini, Itai; Weizmann Institute, Rehovot 76100, Israel - Wilson, David Bruce; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	A random walk on $\mathbb{Z}^d$ is excited if the first time it visits a vertex there is a bias in one direction, but on subsequent visits to that vertex the walker picks a neighbor uniformly at random. We show that…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

A System of Differential Equations for the Airy Process
Tracy, Craig A; University of California, Davis - Widom, Harold; University of California, Santa Cruz

Formato:	Peer-reviewed Article,
Enlaces:	The Airy process is characterized by its $m$-dimensional distribution functions. For $m=1$ it is known that this distribution function is expressible in terms of a solution to Painleve II. We show that each finite-dimensional distribution function is expressible in terms…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Smoothness of the law of the supremum of the fractional Brownian motion
Zaïdi, Noureddine Lanjri; Université Ibn Tofaïl, Kénitra, Maroc - Nualart, David; Universitat de Barcelona

Formato:	Peer-reviewed Article,
Enlaces:	This note is devoted to prove that the supremum of a fractional Brownian motion with Hurst parameter $H\in \left( 0,1\right)$ has an infinitely differentiable density on $\left( 0,\infty \right)$. The proof of this result is based on the techniques of…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

10.

Microscopic structure of a decreasing shock for the asymmetric $k$-step exclusion process
Guiol, Herve; IMA-EPFL - Ravishankar, Krishnamurthi; SUNY, College at New Paltz - Saada, Ellen; CNRS Rouen

Formato:	Peer-reviewed Article,
Enlaces:	The asymmetric $k$-step exclusion processes are the simplest interacting particle systems whose hydrodynamic equation may exhibit both increasing and decreasing entropic shocks under Euler scaling. We prove that, under Riemann initial condition with right density zero and adequate left density,…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

11.

Strict Convexity of the Limit Shape in First-Passage Percolation
Lalley, Steven P.; Department of Statistics, University of Chicago

Formato:	Peer-reviewed Article,
Enlaces:	Sufficient conditions are given for the strict convexity of the limit shape in standard first-passage percolation. These conditions involve (1) asymptotic ``straightness'' of the geodesics, and (2) existence of mean-zero limit distributions for the first-passage times.
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

12.

Path transformations of first passage bridges
Bertoin, Jean; Universite Pierre et Marie Curie - Chaumont, Loic; Universite Pierre et Marie Curie - Pitman, Jim; University of California at Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	We define the first passage bridge from 0 to $\lambda$ as the Brownian motion on the time interval $[0,1]$ conditioned to first hit $\lambda$ at time 1. We show that this process may be related to the Brownian bridge, the…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

13.

Inequality of Two Critical Probabilities for Percolation
Kahn, Jeff; Rutgers University, USA

Formato:	Peer-reviewed Article,
Enlaces:	We disprove a conjecture of Russ Lyons---that for every locally finite, connected graph $G$, the critical probability for (Bernoulli bond) percolation on $G$ is equal to the "first moment method" lower bound on this probability---and propose a possible alternative.
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

14.

Trees and Matchings from Point Processes
Holroyd, Alexander E.; University of California, Berkeley - Peres, Yuval; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	A factor graph of a point process is a graph whose vertices are the points of the process, and which is constructed from the process in a deterministic isometry-invariant way. We prove that the d-dimensional Poisson process has a one-ended…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

15.

A Law of the Iterated Logarithm for the Sample Covariance Matrix
Sepanski, Steven J.; Saginaw Valley State University

Formato:	Peer-reviewed Article,
Enlaces:	For a sequence of independent identically distributed Euclidean random vectors, we prove a law of the iterated logarithm for the sample covariance matrix when o(log log n) terms are omitted. The result is proved under the hypothesis that the random…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

16.

Noncolliding Brownian motions and Harish-Chandra formula
Katori, Makoto; Chuo university - Tanemura, Hideki; Chiba university

Formato:	Peer-reviewed Article,
Enlaces:	We consider a system of noncolliding Brownian motions introduced in our previous paper, in which the noncolliding condition is imposed in a finite time interval $(0,T]$. This is a temporally inhomogeneous diffusion process whose transition probability density depends on a…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

17.

Positive correlation for increasing events with disjoint dependencies does not imply positive correlation for all increasing events
Weininger, Nicholas; Rutgers University

Formato:	Peer-reviewed Article,
Enlaces:	A probability measure $\mu$ on the lattice $2^{[n]}$ is said to be positively associated if any two increasing functions on the lattice are positively correlated with respect to $\mu$. Pemantle asked whether, in order to establish positive association for a…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

18.

On a SDE driven by a fractional Brownian motion and with monotone drift
Boufoussi, Brahim; Department of Mathematics, Cadi Ayyad University FSSM - Ouknine, Youssef; Universite Cadi Ayyad

Formato:	Peer-reviewed Article,
Enlaces:	Let ${B_{t}^{H},t\in \lbrack 0,T]}$ be a fractional Brownian motion with Hurst parameter $H > \frac{1}{2}$. We prove the existence of a weak solution for a stochastic differential equation of the form $X_{t}=x+B_{t}^{H}+ \int_{0}^{t}\left( b_{1}(s,X_{s})+b_{2}(s,X_{s})\right) ds$, where $ b_{1}(s,x)$ is a…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

19.

Heat Kernel Asymptotics on the Lamplighter Group
Revelle, David; UC Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	We show that, for one generating set, the on-diagonal decay of the heat kernel on the lamplighter group is asymptotic to $c_1 n^{1/6}\exp[-c_2 n^{1/3}]$. We also make off-diagonal estimates which show that there is a sharp threshold for which elements…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

20.

A note on the richness of convex hulls of VC classes
Lugosi, Gábor; Pompeu Fabra University, Spain - Mendelson, Shahar; The Australian National University, Australia - Koltchinskii, Vladimir; The University of New Mexico, USA

Formato:	Peer-reviewed Article,
Enlaces:	We prove the existence of a class $A$ of subsets of $\mathbb{R}^d$ of VC dimension 1 such that the symmetric convex hull $F$ of the class of characteristic functions of sets in $A$ is rich in the following sense. For…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

21.

Linear Speed Large Deviations for Percolation Clusters
Kovchegov, Yevgeniy; UCLA Mathematics Department, USA - Sheffield, Scott Roger; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	Let $C_n$ be the origin-containing cluster in subcritical percolation on the lattice $\frac{1}{n} \mathbb Z^d$, viewed as a random variable in the space $\Omega$ of compact, connected, origin-containing subsets of $\mathbb R^d$, endowed with the Hausdorff metric $\delta$. When $d…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability