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Aproximadamente 894 registro(s) hasta el momento: (journal)

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Recurso libre

BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game
Hamadene, Said; Universite du Maine, France - Hassani, Mohammed; Universite du Maine, France

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we study BSDEs with two reflecting barriers driven by a Brownian motion and an independent Poisson process. We show the existence and uniqueness of $local$ and global solutions. As an application we solve the related zero-sum Dynkin…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

Brownian local minima, random dense countable sets and random equivalence classes
Tsirelson, Boris; Tel Aviv University

Formato:	Peer-reviewed Article,
Enlaces:	A random dense countable set is characterized (in distribution) by independence and stationarity. Two examples are `Brownian local minima' and `unordered infinite sample'. They are identically distributed. A framework for such concepts, proposed here, includes a wide class of random…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients
Etoré, Pierre; IECN, UHP Nancy I, France

Formato:	Peer-reviewed Article,
Enlaces:	In this paper, we provide a scheme for simulating one-dimensional processes generated by divergence or non-divergence form operators with discontinuous coefficients. We use a space bijection to transform such a process in another one that behaves locally like a Skew…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

Sharp asymptotic behavior for wetting models in (1+1)-dimension
Caravenna, Francesco; Universitaet Zuerich, Switzerland - Giacomin, Giambattista; Universite' Paris 7, France - Zambotti, Lorenzo; Politecnico di Milano, Italy

Formato:	Peer-reviewed Article,
Enlaces:	We consider continuous and discrete (1+1)-dimensional wetting models which undergo a localization/delocalization phase transition. Using a simple approach based on Renewal Theory we determine the precise asymptotic behavior of the partition function, from which we obtain the scaling limits of…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

Fragmentation of Ordered Partitions and Intervals
Basdevant, Anne-Laure; Université Paris VI

Formato:	Peer-reviewed Article,
Enlaces:	Fragmentation processes of exchangeable partitions have already been studied by several authors. This paper deals with fragmentations of exchangeable compositions, i.e. partitions of $\mathbb{N}$ in which the order of the blocks matters. We will prove that such a fragmentation is…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

Parabolic SPDEs Degenerating on the Boundary of Non-Smooth Domain
Kim, Kyeong-Hun; Korea University

Formato:	Peer-reviewed Article,
Enlaces:	Degenerate stochastic partial differential equations of divergence and non-divergence forms are considered in non-smooth domains. Existence and uniqueness results are given in weighted Sobolev spaces, and Holder estimates of the solutions are presented.
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

Random Walks in a Dirichlet Environment
Sabot, Christophe; Université Lyon 1 - Enriquez, Nathanaël; Université Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	This paper states a law of large numbers for a random walk in a random iid environment on $Z^d$, where the environment follows some Dirichlet distribution. Moreover, we give explicit bounds for the asymptotic velocity of the process and also…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

Curvilinear Integrals Along Enriched Paths
Feyel, Denis; Université d'Evry - de La Pradelle, Arnaud; Université Pierre-et-Marie-Curie

Formato:	Peer-reviewed Article,
Enlaces:	Inspired by the fundamental work of T.J. Lyons, we develop a theory of curvilinear integrals along a new kind of enriched paths in $R^d$. We apply these methods to the fractional Brownian Motion, and prove a support theorem for SDE…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

Moderate deviations and laws of the iterated logarithm for the renormalized self-intersection local times of planar random walks
Bass, Richard F; University of Connecticut - Chen, Xia; University of Tennessee - Rosen, Jay; College of Staten Island, CUNY

Formato:	Peer-reviewed Article,
Enlaces:	We study moderate deviations for the renormalized self-intersection local time of planar random walks. We also prove laws of the iterated logarithm for such local times.
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

10.

Eigenvalues of GUE Minors
Johansson, Kurt; Swedish Royal Institute of Technology (KTH) - Nordenstam, Eric; Swedish Royal Institute of Technology (KTH)

Formato:	Peer-reviewed Article,
Enlaces:	Consider an infinite random matrix $H=(h_{ij})_{0 < i,j}$ picked from the Gaussian Unitary Ensemble (GUE). Denote its main minors by $H_i=(h_{rs})_{1\leq r,s\leq i}$ and let the $j$:th largest eigenvalue of $H_i$ be $\mu^i_j$. We show that the configuration of all…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

11.

A Stochastic Fixed Point Equation Related to Weighted Branching with Deterministic Weights
Alsmeyer, Gerold; Inst. Math. Statistics, Dept. Math. and Computer Science, University of Münster - Rösler, Uwe; Math. Seminar, University of Kiel

Formato:	Peer-reviewed Article,
Enlaces:	For real numbers $C,T_{1},T_{2},...$ we find all solutions $\mu$ to the stochastic fixed point equation $W \sim\sum_{j\ge 1}T_{j}W_{j}+C$, where $W,W_{1},W_{2},...$ are independent real-valued random variables with distribution $\mu$ and $\sim$ means equality in distribution. All solutions are infinitely divisible. The…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

12.

Mixing Time Bounds via the Spectral Profile
Goel, Sharad; Standford University, USA - Montenegro, Ravi; University of Massachusetts Lowell, USA - Tetali, Prasad; Georgia Institute of Technology, USA

Formato:	Peer-reviewed Article,
Enlaces:	On complete, non-compact manifolds and infinite graphs, Faber-Krahn inequalities have been used to estimate the rate of decay of the heat kernel. We develop this technique in the setting of finite Markov chains, proving upper and lower $L^{\infty}$ mixing time…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

13.

Insensitivity to Negative Dependence of the Asymptotic Behavior of Precise Large Deviations
Tang, Qihe; Department of Statistics and Actuarial Science, The University of Iowa

Formato:	Peer-reviewed Article,
Enlaces:	Since the pioneering works of C.C. Heyde, A.V. Nagaev, and S.V. Nagaev in 1960's and 1970's, the precise asymptotic behavior of large-deviation probabilities of sums of heavy-tailed random variables has been extensively investigated by many people, but mostly it is…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

14.

Two-sided Estimates on the Density of the Feynman-Kac Semigroups of Stable-like Processes
Song, Renming; University of Illinois

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we establish two-sided estimates for the density of the Feynman-Kac semigroups of stable-like processes with potentials given by signed measures belonging to the Kato class. We also provide similar estimates for the densities of two other kinds…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

15.

Brownian excursions, stochastic integrals, and representation of Wiener functionals
Picard, Jean; Labo. de Mathématiques, Université Blaise Pascal

Formato:	Peer-reviewed Article,
Enlaces:	A stochastic calculus similar to Malliavin's calculus is worked out for Brownian excursions. The analogue of the Malliavin derivative in this calculus is not a differential operator, but its adjoint is (like the Skorohod integral) an extension of the Itô…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

16.

Recurrence of Reinforced Random Walk on a Ladder
Sellke, Thomas; Purdue University

Formato:	Peer-reviewed Article,
Enlaces:	Consider reinforced random walk on a graph that looks like a doubly infinite ladder. All edges have initial weight 1, and the reinforcement convention is to add $\delta > 0$ to the weight of an edge upon first crossing, with…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

17.

Computation of Greeks using Malliavin's calculus in jump type market models
Bavouzet, Marie Pierre; INRIA Rocquencourt, MATHFI project - Messaoud, Marouen; IXIS and INRIA Rocquencourt

Formato:	Peer-reviewed Article,
Enlaces:	We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European and Asian options with underlying following a jump type diffusion. The main point is to settle an integration by parts formula (similar to the one…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

18.

Tagged Particle Limit for a Fleming-Viot Type System
Grigorescu, Ilie A.; University of Miami - Kang, Min; North Carolina State University

Formato:	Peer-reviewed Article,
Enlaces:	We consider a branching system of $N$ Brownian particles evolving independently in a domain $D$ during any time interval between boundary hits. As soon as one particle reaches the boundary it is killed and one of the other particles splits…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

19.

The spatial $\Lambda$-coalescent
Limic, Vlada; University of British Columbia - Sturm, Anja; University of Delaware

Formato:	Peer-reviewed Article,
Enlaces:	This paper extends the notion of the $\Lambda$-coalescent of Pitman (1999) to the spatial setting. The partition elements of the spatial $\Lambda$-coalescent migrate in a (finite) geographical space and may only coalesce if located at the same site of the…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

20.

Nonmonotonic Coexistence Regions for the Two-Type Richardson Model on Graphs
Deijfen, Maria; Stockholm University, Sweden - Haggstrom, Olle; Chalmers University of Technology, Sweden

Formato:	Peer-reviewed Article,
Enlaces:	In the two-type Richardson model on a graph $G=(V,E)$, each vertex is at a given time in state $0$, $1$ or $2$. A $0$ flips to a $1$ (resp.\ $2$) at rate $\lambda_1$ ($\lambda_2$) times the number of neighboring $1$'s…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

21.

The Metastability Threshold for Modified Bootstrap Percolation in $d$ Dimensions
Holroyd, Alexander E; Department of Mathematics, University of British Columbia

Formato:	Peer-reviewed Article,
Enlaces:	In the modified bootstrap percolation model, sites in the cube $\{1,\ldots,L\}^d$ are initially declared active independently with probability $p$. At subsequent steps, an inactive site becomes active if it has at least one active nearest neighbour in each of the…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

22.

Convex Concentration Inequalities and Forward-Backward Stochastic Calculus
Klein, Thierry; Universite Paul Sabatier - Ma, Yutao; Universite de La Rochelle - Privault, Nicolas; Universite de La Rochelle

Formato:	Peer-reviewed Article,
Enlaces:	Given $(M_t)_{t\in \mathbb{R}_+}$ and $(M^_t)_{t\in \mathbb{R}_+}$ respectively a forward and a backward martingale with jumps and continuous parts, we prove that $E[\phi (M_t+M^_t)]$ is non-increasing in $t$ when $\phi$ is a convex function, provided the local characteristics of $(M_t)_{t\in \mathbb{R}_+}$…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

23.

Existence of multi-dimensional infinite volume self-organized critical forest-fire models
Maximilian, Duerre; Mathematisches Institut der Université München

Formato:	Peer-reviewed Article,
Enlaces:	Consider the following forest-fire model where the possible locations of trees are the sites of a cubic lattice. Each site has two possible states: 'vacant' or 'occupied'. Vacant sites become occupied according to independent rate 1 Poisson processes. Independently, at…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

24.

Spatial Smoothness of the Stationary Solutions of the $3D$ Navier-Stokes Equations
Odasso, Cyril; ENS Cachan, Ker Lann

Formato:	Peer-reviewed Article,
Enlaces:	Abstract. We consider stationary solutions of the three dimensional Navier--Stokes equations (NS3D) with periodic boundary conditions and driven by an external force which might have a deterministic and a random part. The random part of the force is white in…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

25.

Examples of Condition $(T)$ for Diffusions in a Random Environment
Schmitz, Tom; ETH Zurich

Formato:	Peer-reviewed Article,
Enlaces:	With the help of the methods developed in our previous article [Schmitz, to appear in Annales de l'I.H.P., in press], we highlight condition $(T)$ as a source of new examples of 'ballistic' diffusions in a random environment when $d>1$ ('ballistic'…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

26.

Some Properties of Annulus SLE
Zhan, Dapeng; U. C. Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	An annulus SLEκ trace tends to a single point on the target circle, and the density function of the end point satisfies some differential equation. Some martingales or local martingales are found for annulus SLE4, SLE8 and SLE8/3. From the…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

27.

Behavior of a second class particle in Hammersley's process
Cator, Eric; Delft University of Technology - Dobrynin, Sergei; Delft University of Technology

Formato:	Peer-reviewed Article,
Enlaces:	In the case of a rarefaction fan in a non-stationary Hammersley process, we explicitly calculate the asymptotic behavior of the process as we move out along a ray, and the asymptotic distribution of the angle within the rarefaction fan of…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

28.

Renormalization analysis of catalytic Wright-Fisher diffusions
Swart, Jan M.; UTIA - Fleischmann, Klaus; WIAS Berlin

Formato:	Peer-reviewed Article,
Enlaces:	Recently, several authors have studied maps where a function, describing the local diffusion matrix of a diffusion process with a linear drift towards an attraction point, is mapped into the average of that function with respect to the unique invariant…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

29.

High Resolution Quantization and Entropy Coding for Fractional Brownian Motion
Dereich, Steffen; TU Berlin - Scheutzow, Michael; TU Berlin

Formato:	Peer-reviewed Article,
Enlaces:	We establish the precise asymptotics of the quantization and entropy coding errors for fractional Brownian motion with respect to the supremum norm and $L^p [0,1]$-norm distortions. We show that all moments in the quantization problem lead to the same asymptotics.…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

30.

Transience of percolation clusters on wedges
Berger, Noam; University of California, Los Angeles - Benjamini, Itai; The Weizmann Institute - Angel, Omer; University of British Columbia - Peres, Yuval; The University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	We study random walks on supercritical percolation clusters on wedges in $Z^3$, and show that the infinite percolation cluster is (a.s.) transient whenever the wedge is transient. This solves a question raised by O. Häggström and E. Mossel. We also show…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

31.

Hydrodynamic Limit Fluctuations of Super-Brownian Motion with a Stable Catalyst
Fleischmann, Klaus; Weierstrass Institute for Applied Analysis and Stochastics, Berlin - Mörters, Peter; University of Bath - Wachtel, Vitali; Weierstrass Institute for Applied Analysis and Stochastics, Berlin

Formato:	Peer-reviewed Article,
Enlaces:	We consider the behaviour of a continuous super-Brownian motion catalysed by a random medium with infinite overall density under the hydrodynamic scaling of mass, time, and space. We show that, in supercritical dimensions, the scaled process converges to a macroscopic…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

32.

Convergence Results and Sharp Estimates for the Voter Model Interfaces
Belhaouari, Samir; EPFL - Mountford, Thomas; EPFL - Sun, Rongfeng; EURANDOM - Valle, Glauco; EPFL / DME-IM-UFRJ

Formato:	Peer-reviewed Article,
Enlaces:	We study the evolution of the interface for the one-dimensional voter model. We show that if the random walk kernel associated with the voter model has finite $\gamma$-th moment for some $\gamma > 3$, then the evolution of the interface…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

33.

Weighted uniform consistency of kernel density estimators with general bandwidth sequences
Dony, Julia; Free University of Brussels (VUB) - Einmahl, Uwe; Free University of Brussels (VUB)

Formato:	Peer-reviewed Article,
Enlaces:	Let $f_{n,h}$ be a kernel density estimator of a continuous and bounded $d$-dimensional density $f$. Let $\psi(t)$ be a positive continuous function such that $\\|\psi f^\beta\\| _\infty < \infty$ for some $0< \beta < 1/2$. We are interested in the…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

34.

Post-gelation behavior of a spatial coagulation model
Wagner, Wolfgang; Weierstrass Institute for Applied Analysis and Stochastics

Formato:	Peer-reviewed Article,
Enlaces:	A coagulation model on a finite spatial grid is considered. Particles of discrete masses jump randomly between sites and, while located at the same site, stick together according to some coagulation kernel. The asymptotic behavior (for increasing particle numbers) of…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

35.

Cube Root Fluctuations for the Corner Growth Model Associated to the Exclusion Process
Balazs, Marton; BUTE, Inst. of Mathematics - Cator, Eric; Delft Univ. of Technology, Faculty EWI - Seppalainen, Timo; University of Wisconsin-Madison, Mathematics Dept.

Formato:	Peer-reviewed Article,
Enlaces:	We study the last-passage growth model on the planar integer lattice with exponential weights. With boundary conditions that represent the equilibrium exclusion process as seen from a particle right after its jump we prove that the variance of the last-passage…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

36.

Discounted optimal stopping for maxima in diffusion models with finite horizon
Gapeev, Pavel V.; WIAS Berlin

Formato:	Peer-reviewed Article,
Enlaces:	We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

37.

On normal domination of (super)martingales
Pinelis, Iosif; Michigan Technological University

Formato:	Peer-reviewed Article,
Enlaces:	Let $(S_0,S_1,\dots)$ be a supermartingale relative to a nondecreasing sequence of $\sigma$-algebras $(H_{\le0},H_{\le1},\dots)$, with $S_0\le0$ almost surely (a.s.) and differences $X_i:=S_i-S_{i-1}$. Suppose that for every $i=1,2,\dots$ there exist $H_{\le(i-1)}$-measurable r.v.'s $C_{i-1}$ and $D_{i-1}$ and a positive real number $s_i$ such…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

38.

Relative entropy and waiting times for continuous-time Markov processes
Chazottes, Jean-René; CPht, CNRS, Ecole Polytechnique, 91128 Palaiseau Cedex, France. - Giardina, Cristian; Eurandom, Postbus 513, 5600 MB Eindhoven, the Netherlands - Redig, Frank; Mathematical Institute Leiden university

Formato:	Peer-reviewed Article,
Enlaces:	For discrete-time stochastic processes, there is a close connection between return (resp. waiting) times and entropy (resp. relative entropy). Such a connection cannot be straightforwardly extended to the continuous-time setting. Contrarily to the discrete-time case one needs a reference measure…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

39.

Asymptotic Behaviour of the Simple Random Walk on the 2-dimensional Comb
Bertacchi, Daniela; Universita` di Milano-Bicocca

Formato:	Peer-reviewed Article,
Enlaces:	We analyze the differences between the horizontal and the vertical component of the simple random walk on the 2-dimensional comb. In particular we evaluate by combinatorial methods the asymptotic behaviour of the expected value of the distance from the origin,…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

40.

Gaussian Fluctuations in Complex Sample Covariance Matrices
Su, Zhonggen; Zhejiang University

Formato:	Peer-reviewed Article,
Enlaces:	Let $X=(X_{i,j})_{m\times n}, m\ge n$, be a complex Gaussian random matrix with mean zero and variance $\frac 1n$, let $S=X^*X$ be a sample covariance matrix. In this paper we are mainly interested in the limiting behavior of eigenvalues when $\frac…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

41.

Small Deviations of Gaussian Random Fields in $L_q$-Spaces
Lifshits, Mikhail; St.Petersburg State University - Linde, Werner; FSU Jena - Shi, Zhan; Universite Paris VI

Formato:	Peer-reviewed Article,
Enlaces:	We investigate small deviation properties of Gaussian random fields in the space $L_q(R^N,\mu)$ where $\mu$ is an arbitrary finite compactly supported Borel measure. Of special interest are hereby "thin" measures $\mu$, i.e., those which are singular with respect to the…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

42.

Infinitely Divisible Random Probability Distributions with an Application to a Random Motion in a Random Environment
Shiga, Tokuzo; Tokyo Institute of Technology - Tanaka, Hiroshi; Keio University

Formato:	Peer-reviewed Article,
Enlaces:	The infinite divisibility of probability distributions on the space $P (R )$ of probability distributions on $R$ is defined and related fundamental results such as the Levy-Khintchin formula, representation of Ito type of infinitely divisible RPD, stable RPD and Levy…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

43.

Discrete small world networks
Barbour, Andrew D; University of Zurich - Reinert, Gesine D; University of Oxford

Formato:	Peer-reviewed Article,
Enlaces:	Small world models are networks consisting of many local links and fewer long range `shortcuts', used to model networks with a high degree of local clustering but relatively small diameter. Here, we concern ourselves with the distribution of typical inter-point…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

44.

The Lower Envelope of Positive Self-Similar Markov Processes
Chaumont, Loic; Laboratoire de probabilités et modèles aléatoires - Pardo Millan, Juan Carlos; Laboratoire de probabilités et modèles aléatoires

Formato:	Peer-reviewed Article,
Enlaces:	We establish integral tests and laws of the iterated logarithm for the lower envelope of positive self-similar Markov processes at 0 and $+\infty$. Our proofs are based on the Lamperti representation and time reversal arguments. These results extend laws of…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

45.

Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes
Cheridito, Patrick; Princeton University, USA - Delbaen, Freddy; ETH Zürich, Switzerland - Kupper, Michael; ETH Zürich, Switzerland

Formato:	Peer-reviewed Article,
Enlaces:	We study dynamic monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a dynamic risk measure time-consistent if it assigns to a process of…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

46.

Laws of the iterated logarithm for α-time Brownian motion
Nane, Erkan; Purdue university

Formato:	Peer-reviewed Article,
Enlaces:	We introduce a class of iterated processes called $\alpha$-time Brownian motion for $0<\alpha \leq 2$. These are obtained by taking Brownian motion and replacing the time parameter with a symmetric $\alpha$-stable process. We prove a Chung-type law of the iterated…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

47.

Large systems of path-repellent Brownian motions in a trap at positive temperature
Adams, Stefan; Max Planck Institute for Mathematics in the Sciences - Bru, Jean-Bernard; Johannes-Gutenberg-Universitat Mainz - Koenig, Wolfgang; Universitat Leipzig

Formato:	Peer-reviewed Article,
Enlaces:	We study a model of $ N $ mutually repellent Brownian motions under confinement to stay in some bounded region of space. Our model is defined in terms of a transformed path measure under a trap Hamiltonian, which prevents the…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

48.

Sectorial Local Non-Determinism and the Geometry of the Brownian Sheet
Xiao, Yimin; Michigan State University - Khoshnevisan, Davar; The University of Utah - Wu, Dongsheng; Michigan State University

Formato:	Peer-reviewed Article,
Enlaces:	We prove the following results about the images and multiple points of an $N$-parameter, $d$-dimensional Brownian sheet $B =\{B(t)\}_{t \in R_+^N}$: (1) If $\text{dim}_H F \leq d/2$, then $B(F)$ is almost surely a Salem set. (2) If $N \leq d/2$,…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

49.

Reflected Diffusions Defined via the Extended Skorokhod Map
Ramanan, Kavita; Carnegie Mellon University

Formato:	Peer-reviewed Article,
Enlaces:	This work introduces the extended Skorokhod problem (ESP) and associated extended Skorokhod map (ESM) that enable a pathwise construction of reflected diffusions that are not necessarily semimartingales. Roughly speaking, given the closure $G$ of an open connected set in ${\mathbb…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

50.

The Cluster Size Distribution for a Forest-Fire Process on $Z$
Brouwer, Rachel M; CWI - Pennanen, Juho; University of Helsinki

Formato:	Peer-reviewed Article,
Enlaces:	Consider the following forest-fire model where trees are located on sites of $\mathbb{Z}$. A site can be vacant or be occupied by a tree. Each vacant site becomes occupied at rate $1$, independently of the other sites. Each site is…
Fecha:	2006-01-01
Recurso:	Electronic journal of probability

Recurso libre

51.

Evolution of the interfaces in a two dimensional Potts model
Valle, Glauco; UFRJ

Formato:	Peer-reviewed Article,
Enlaces:	We investigate the evolution of the random interfaces in a two dimensional Potts model at zero temperature under Glauber dynamics for some particular initial conditions. We prove that under space-time diffusive scaling the shape of the interfaces converges in probability…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

52.

Exit Times of Symmetric Stable Processes from Unbounded Convex Domains
Mendez, Pedro J; Universidad de Costa Rica

Formato:	Peer-reviewed Article,
Enlaces:	We provide several inequalities on the asymptotic behavior of the harmonic measure of the first exit position of a $d$-dimensional symmetric stable process from a unbounded convex domain. Our results on the harmonic measure will determine the asymptotic behavior of…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

53.

Dyson's Brownian motions, intertwining and interlacing
Warren, Jon; University of Warwick

Formato:	Peer-reviewed Article,
Enlaces:	A reflected Brownian motion in the Gelfand-Tsetlin cone is used to construct Dyson's process of non-colliding Brownian motions. The key step of the construction is to consider two interlaced families of Brownian paths with paths belonging to the second family…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

54.

The Chain Records
Gnedin, Alexander V.; Rijksuniversiteit Utrecht, The Netherlands

Formato:	Peer-reviewed Article,
Enlaces:	Chain records is a new type of multidimensional record. We discuss how often the chain records occur when the background sampling is from the unit cube with uniform distribution (or, more generally, from an arbitrary continuous product distribution in d…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

55.

The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
Kurtz, Thomas G; University of Wisconsin-Madison

Formato:	Peer-reviewed Article,
Enlaces:	A general version of the Yamada-Watanabe and Engelbert results relating existence and uniqueness of strong and weak solutions for stochastic equations is given. The results apply to a wide variety of stochastic equations including classical stochastic differential equations, stochastic partial…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

56.

Large deviations and isoperimetry over convex probability measures with heavy tails
Bobkov, Sergey G; University of Minnesota

Formato:	Peer-reviewed Article,
Enlaces:	Large deviations and isoperimetric inequalities are considered for probability distributions, satisfying convexity conditions of the Brunn-Minkowski-type
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

57.

Isoperimetry between exponential and Gaussian
Barthe, Franck; Institut de Mathematiques - Cattiaux, Patrick; Ecole Polytechnique et MODALX - Roberto, Cyril; Université de Marne La Vallée

Formato:	Peer-reviewed Article,
Enlaces:	We study the isoperimetric problem for product probability measures with tails between the exponential and the Gaussian regime. In particular we exhibit many examples where coordinate half-spaces are approximate solutions of the isoperimetric problem
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

58.

Edgeworth Expansions for a Sample Sum from a Finite Set of Independent Random Variables
Hu, Zhishui; University of Science and Technology of China - Robinson, John; The University of Sydney - Wang, Qiying; The University of Sydney

Formato:	Peer-reviewed Article,
Enlaces:	Let $\{X_1,\cdots ,X_N\}$ be a set of $N$ independent random variables, and let $S_n$ be a sum of $n$ random variables chosen without replacement from the set $\{X_1, \cdots , X_N\}$ with equal probabilities. In this paper we give a…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

59.

Random walks on infinite self-similar graphs
Neunhäuserer, Jörg; TFH Berlin

Formato:	Peer-reviewed Article,
Enlaces:	We introduce a class of rooted infinite self-similar graphs containing the well known Fibonacci graph and graphs associated with Pisot numbers. We consider directed random walks on these graphs and study their entropy and their limit measures. We prove that…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

60.

On the Number of Collisions in Lambda-Coalescents
Gnedin, Alexander; Utrecht University - Yakubovich, Yuri; PDMI, St.Petersburg, Russia

Formato:	Peer-reviewed Article,
Enlaces:	We examine the total number of collisions $C_n$ in the $\Lambda$-coalescent process which starts with $n$ particles. A linear growth and a stable limit law for $C_n$ are shown under the assumption of a power-like behaviour of the measure $\Lambda$…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

61.

Processes with inert drift
White, David W; Belmont University

Formato:	Peer-reviewed Article,
Enlaces:	We construct a stochastic process whose drift is a function of the process's local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian particle and an inert particle in a paper by…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

62.

Convergence of values in optimal stopping and convergence of optimal stopping times
Coquet, François; CREST-ENSAI and LMAH Université du Havre - Toldo, Sandrine; IRMAR, Antenne de Bretagne de l'ENS Cachan

Formato:	Peer-reviewed Article,
Enlaces:	Under the hypothesis of convergence in probability of a sequence of càdlàg processes $(X^n)$ to a càdlàg process $X$, we are interested in the convergence of corresponding values in optimal stopping and also in the convergence of optimal stopping times.…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

63.

Frequent Points for Random Walks in Two Dimensions
Bass, Richard F.; University of Connecticut - Rosen, Jay; College of Staten Island, CUNY

Formato:	Peer-reviewed Article,
Enlaces:	For a symmetric random walk in $Z^2$ which does not necessarily have bounded jumps we study those points which are visited an unusually large number of times. We prove the analogue of the Erdös-Taylor conjecture and obtain the asymptotics for…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

64.

A Compensator Characterization of Point Processes on TopologicalLattices
Ivanoff, B.Gail; University of Ottawa - Merzbach, Ely; Bar-Ilan University - Plante, Mathieu; No affiliation

Formato:	Peer-reviewed Article,
Enlaces:	We resolve the longstanding question of how to define the compensator of a point process on a general partially ordered set in such a way that the compensator exists, is unique, and characterizes the law of the process. We define…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

65.

Asymptotic distributions and chaos for the supermarket model
Luczak, Malwina J; London School of Economics - McDiarmid, Colin; University of Oxford

Formato:	Peer-reviewed Article,
Enlaces:	In the supermarket model there are $n$ queues, each with a unit rate server. Customers arrive in a Poisson process at rate $\lambda n$, where $0<\lambda<1$. Each customer chooses $d \geq 2$ queues uniformly at random, and joins a shortest…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

66.

Point shift characterization of Palm measures on Abelian groups
Heveling, Matthias; Karlsruhe University - Last, Gunter; Karlsruhe University

Formato:	Peer-reviewed Article,
Enlaces:	Our first aim in this paper is to characterize Palm measures of stationary point processes through point stationarity. This generalizes earlier results from the Euclidean case to the case of an Abelian group. While a stationary point process looks statistically…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

67.

Integral representations of periodic and cyclic fractional stable motions
Pipiras, Vladas; University of North Carolina - Taqqu, Murad S.; Boston University

Formato:	Peer-reviewed Article,
Enlaces:	Stable non-Gaussian self-similar mixed moving averages can be decomposed into several components. Two of these are the periodic and cyclic fractional stable motions which are the subject of this study. We focus on the structure of their integral representations and…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

68.

Asymptotics of Bernoulli random walks, bridges, excursions and meanders with a given number of peaks
Labarbe, Jean-Maxime; LMV, Université de Versailles Saint-Quentin en Yvelines - Marckert, Jean-Francois; LaBRI, Université Bordeaux 1

Formato:	Peer-reviewed Article,
Enlaces:	A Bernoulli random walk is a random trajectory starting from 0 and having i.i.d. increments, each of them being +1 or -1, equally likely. The other families quoted in the title are Bernoulli random walks under various conditions. A peak…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

69.

First Hitting Time and Place, Monopoles and Multipoles for Pseudo-Processes Driven by the Equation $\partial u/\partial t=\pm\partial^N u/\partial x^N$
Lachal, Aimé; INSA de Lyon

Formato:	Peer-reviewed Article,
Enlaces:	Consider the high-order heat-type equation $\partial u/\partial t=\pm\partial^N u/\partial x^N$ for an integer $N>2$ and introduce the related Markov pseudo-process $(X(t))_{t\ge 0}$. In this paper, we study several functionals related to $(X(t))_{t\ge 0}$: the maximum $M(t)$ and minimum $m(t)$ up…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

70.

Regularizing Properties for Transition Semigroups and Semilinear Parabolic Equations in Banach Spaces
Masiero, Federica; Universita di Milano-Bicocca

Formato:	Peer-reviewed Article,
Enlaces:	We study regularizing properties for transition semigroups related to Ornstein Uhlenbeck processes with values in a Banach space $E$ which is continuously and densely embedded in a real and separable Hilbert space $H$. Namely we study conditions under which the…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

71.

Stable convergence of generalized $L^2$ stochastic integrals and the principle of conditioning
Giovanni, Peccati; Université Paris VI - Taqqu, Murad S; Boston University

Formato:	Peer-reviewed Article,
Enlaces:	We consider generalized adapted stochastic integrals with respect to independently scattered random measures with second moments, and use a decoupling technique, formulated as a «principle of conditioning», to study their stable convergence towards mixtures of infinitely divisible distributions. The goal…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

72.

On the Range of the Simple Random Walk Bridge on Groups
Benjamini, Itai; Weizmann Institute of Science - Izkovsky, Roey; Weizmann Institute of Science - Kesten, Harry; Cornell University

Formato:	Peer-reviewed Article,
Enlaces:	Let $G$ be a vertex transitive graph. A study of the range of simple random walk on $G$ and of its bridge is proposed. While it is expected that on a graph of polynomial growth the sizes of the range…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

73.

Detecting a Local Perturbation in a Continuous Scenery
Matzinger, Heinrich; Georgia Institute of Technology - Popov, Serguei; Universidade de São Paulo

Formato:	Peer-reviewed Article,
Enlaces:	A continuous one-dimensional scenery is a double-infinite sequence of points (thought of as locations of bells) in $R$. Assume that a scenery $X$ is observed along the path of a Brownian motion in the following way: when the Brownian motion encounters a bell…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

74.

Correlation Lengths for Random Polymer Models and for Some Renewal Sequences
Toninelli, Fabio Lucio; ENS LYON

Formato:	Peer-reviewed Article,
Enlaces:	We consider models of directed polymers interacting with a one-dimensional defect line on which random charges are placed. More abstractly, one starts from renewal sequence on $Z$ and gives a random (site-dependent) reward or penalty to the occurrence of a…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

75.

Stochastic Nonlinear Schrödinger Equations Driven by a Fractional Noise. Well-Posedness, Large Deviations and Support
Gautier, Eric; Yale University and CREST

Formato:	Peer-reviewed Article,
Enlaces:	We consider stochastic nonlinear Schrodinger equations driven by an additive noise. The noise is fractional in time with Hurst parameter $H \in (0,1)$ and colored in space with a nuclear space correlation operator. We study local well-posedness. Under adequate assumptions…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

76.

Large Deviations for Dirichlet Processes and Poisson-Dirichlet Distribution with Two Parameters
Feng, Shui; McMaster University

Formato:	Peer-reviewed Article,
Enlaces:	Large deviation principles are established for the two-parameter Poisson-Dirichlet distribution and two-parameter Dirichlet process when parameter $\theta$ approaches infinity. The motivation for these results is to understand the differences in terms of large deviations between the two-parameter models and their…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

77.

Number variance from a probabilistic perspective: infinite systems of independent Brownian motions and symmetric alpha stable processes.
Hambly, Ben M; University of Oxford - Jones, Liza A; University of Oxford

Formato:	Peer-reviewed Article,
Enlaces:	Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct explicit new examples of processes which exhibit both divergent and saturating number variance behaviour. We derive…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

78.

Asymptotics for Rooted Bipartite Planar Maps and Scaling Limits of Two-Type Spatial Trees
Weill, Mathilde; DMA-ENS

Formato:	Peer-reviewed Article,
Enlaces:	We prove some asymptotic results for the radius and the profile of large random bipartite planar maps. Using a bijection due to Bouttier, Di Francesco and Guitter between rooted bipartite planar maps and certain two-type trees with positive labels, we…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

79.

Random Graph-Homomorphisms and Logarithmic Degree
Benjamini, Itai; Weizmann Institute - Yadin, Ariel; Weizmann Institute - Yehudayoff, Amir; Weizmann Institute

Formato:	Peer-reviewed Article,
Enlaces:	A graph homomorphism between two graphs is a map from the vertex set of one graph to the vertex set of the other graph, that maps edges to edges. In this note we study the range of a uniformly chosen…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

80.

Gaussian Limts for Random Geometric Measures
Penrose, Mathew D.; University of Bath

Formato:	Peer-reviewed Article,
Enlaces:	Given $n$ independent random marked $d$-vectors $X_i$ with a common density, define the measure $\nu_n = \sum_i \xi_i $, where $\xi_i$ is a measure (not necessarily a point measure) determined by the (suitably rescaled) set of points near $X_i$. Technically,…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

81.

On a Multivariate Version of Bernstein's Inequality
Major, Peter; Renyi Mathematical Institute of the Hungarian Academy of Sciences

Formato:	Peer-reviewed Article,
Enlaces:	We prove such a multivariate version of Bernstein's inequality about the tail distribution of degenerate $U$-statistics which is an improvement of some former results. This estimate will be compared with an analogous bound about the tail distribution of multiple Wiener-Ito…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

82.

Record Indices and Age-Ordered Frequencies in Exchangeable Gibbs Partitions
Griffiths, Robert C.; University of Oxford - Spano, Dario; University of Oxford

Formato:	Peer-reviewed Article,
Enlaces:	The frequencies of an exchangeable Gibbs random partition of the integers (Gnedin and Pitman 2005) are considered in their age-order, i.e. their size-biased order. We study their dependence on the sequence of record indices (i.e. the least elements) of the…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

83.

Interpolation of Random Hyperplanes
Arias-Castro, Ery; University of California, San Diego

Formato:	Peer-reviewed Article,
Enlaces:	Let $\{(Z_i,W_i):i=1,\dots,n\}$ be uniformly distributed in $[0,1]^d \times \mathbb{G}(k,d)$, where $\mathbb{G}(k,d)$ denotes the space of $k$-dimensional linear subspaces of $\mathbb{R}^d$. For a differentiable function $f: [0,1]^k \rightarrow [0,1]^d$, we say that $f$ interpolates $(z,w) \in [0,1]^d \times \mathbb{G}(k,d)$ if there…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

84.

Continuity of the percolation threshold in randomly grown graphs.
Turova, Tatyana S.; Lund University, Sweden

Formato:	Peer-reviewed Article,
Enlaces:	We consider various models of randomly grown graphs. In these models the vertices and the edges accumulate within time according to certain rules. We study a phase transition in these models along a parameter which refers to the mean life-time…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

85.

Large deviations for the largest eigenvalue of rank one deformations of Gaussian ensembles
Maida, Mylène; Université Paris-Sud

Formato:	Peer-reviewed Article,
Enlaces:	We establish a large deviation principle for the largest eigenvalue of a rank one deformation of a matrix from the GUE or GOE. As a corollary, we get another proof of the phenomenon, well-known in learning theory and finance, that…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

86.

Time Reversal for Drifted Fractional Brownian Motion with Hurst Index $H>1/2$
Darses, Sebastien; University Paris 6 - Saussereau, Bruno; University of Franche-Comte

Formato:	Peer-reviewed Article,
Enlaces:	Let $X$ be a drifted fractional Brownian motion with Hurst index $H > 1/2$. We prove that there exists a fractional backward representation of $X$, i.e. the time reversed process is a drifted fractional Brownian motion, which continuously extends the…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

87.

Complex Determinantal Processes and $H1$ Noise
Rider, Brian; University of Colorado, Boulder - Virag, Balint; University of Toronto

Formato:	Peer-reviewed Article,
Enlaces:	For the plane, sphere, and hyperbolic plane we consider the canonical invariant determinantal point processes $\mathcal Z_\rho$ with intensity $\rho d\nu$, where $\nu$ is the corresponding invariant measure. We show that as $\rho\to\infty$, after centering, these processes converge to invariant…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

88.

Ergodic Properties of Multidimensional Brownian Motion with Rebirth
Grigorescu, Ilie; University of Miami - Kang, Min; North Carolina State University

Formato:	Peer-reviewed Article,
Enlaces:	In a bounded open region of the $d$ dimensional space we consider a Brownian motion which is reborn at a fixed interior point as soon as it reaches the boundary. The evolution is invariant with respect to a density equal,…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

89.

Functional CLT for Random Walk Among Bounded Random Conductances
Biskup, Marek; UCLA - Prescott, Timothy M; UCLA

Formato:	Peer-reviewed Article,
Enlaces:	We consider the nearest-neighbor simple random walk on $Z^d$, $d\ge2$, driven by a field of i.i.d. random nearest-neighbor conductances $\omega_{xy}\in[0,1]$. Apart from the requirement that the bonds with positive conductances percolate, we pose no restriction on the law of the…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

90.

Local extinction for superprocesses in random environments
Mytnik, Leonid; Technion - Xiong, Jie; University of Tennessee and Hebei Normal University

Formato:	Peer-reviewed Article,
Enlaces:	We consider a superprocess in a random environment represented by a random measure which is white in time and colored in space with correlation kernel $g(x,y)$. Suppose that $g(x,y)$ decays at a rate of $\|x-y\|^{-\alpha}$, $0\leq \alpha\leq 2$, as $\|x-y\|\to\infty$.…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

91.

The number of unbounded components in the Poisson Boolean model of continuum percolation in hyperbolic space
Tykesson, Johan Harald; Chalmers University of Technology

Formato:	Peer-reviewed Article,
Enlaces:	We consider the Poisson Boolean model of continuum percolation with balls of fixed radius $R$ in $n$-dimensional hyperbolic space $H^n$. Let $\lambda$ be the intensity of the underlying Poisson process, and let $N_C$ denote the number of unbounded components in…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

92.

Classical and Variational Differentiability of BSDEs with Quadratic Growth
Ankirchner, Stefan; Humboldt Uiversitaet Berlin - Imkeller, Peter; Humboldt Uiversitaet Berlin - Dos Reis, Goncalo JN; Humboldt Uiversitaet Berlin

Formato:	Peer-reviewed Article,
Enlaces:	We consider Backward Stochastic Differential Equations (BSDEs) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the terminal condition and the generator to depend on a vector parameter $x$. We give…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

93.

Processes on Unimodular Random Networks
Aldous, David J.; University of California, Berkeley - Lyons, Russell; Indiana University

Formato:	Peer-reviewed Article,
Enlaces:	We investigate unimodular random networks. Our motivations include their characterization via reversibility of an associated random walk and their similarities to unimodular quasi-transitive graphs. We extend various theorems concerning random walks, percolation, spanning forests, and amenability from the known context…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

94.

A Generalized Ito's Formula in Two-Dimensions and Stochastic Lebesgue-Stieltjes Integrals
Feng, Chunrong; Loughborough University - Zhao, Huaizhong; Loughborough University

Formato:	Peer-reviewed Article,
Enlaces:	In this paper, a generalized It${\hat {\rm o}}$'s formula for continuous functions of two-dimensional continuous semimartingales is proved. The formula uses the local time of each coordinate process of the semimartingale, the left space first derivatives and the second derivative…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

95.

Tail estimates for the Brownian excursion area and other Brownian areas
Janson, Svante; Uppsala University - Louchard, Guy; ULB

Formato:	Peer-reviewed Article,
Enlaces:	Brownian areas are considered in this paper: the Brownian excursion area, the Brownian bridge area, the Brownian motion area, the Brownian meander area, the Brownian double meander area, the positive part of Brownian bridge area, the positive part of Brownian…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

96.

Erratum to Eigenvalues of GUE Minors
Johansson, Kurt; Swedish Royal Institute of Technology - Nordenstam, Eric; Swedish Royal Institute of Technology

Formato:	Peer-reviewed Article,
Enlaces:	In the paper [1] two expressions for the so called GUE minor kernel are presented, one in definition 1.2 and one in the the formulas (5.6) and (5.7). The expressions given in (5.6) and (5.7) are correct, but the expression…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

97.

Asymptotic Estimates Of The Green Functions And Transition Probabilities For Markov Additive Processes
Uchiyama, Kouhei; Tokyo Institute of Technology

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we shall derive asymptotic expansions of the Green function and the transition probabilities of Markov additive (MA) processes $(\xi_n, S_n)$ whose first component satisfies Doeblin's condition and the second one takes valued in $Z^d$. The derivation is…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

98.

Robust Mixing
Ganapathy, Murali; Google Inc

Formato:	Peer-reviewed Article,
Enlaces:	In this paper, we develop a new "robust mixing" framework for reasoning about adversarially modified Markov Chains (AMMC). Let $\mathbb{P}$ be the transition matrix of an irreducible Markov Chain with stationary distribution $\pi$. An adversary announces a sequence of stochastic…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

99.

Quasi-Stationary Distributions and the Continuous-State Branching Process Conditioned to Be Never Extinct
Lambert, Amaury; University Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	We consider continuous-state branching (CB) processes which become extinct (i.e., hit 0) with positive probability. We characterize all the quasi-stationary distributions (QSD) for the CB-process as a stochastically monotone family indexed by a real number. We prove that the minimal…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability

Recurso libre

100.

Sampling 3-colourings of regular bipartite graphs
Galvin, David J; University of Pennsylvania

Formato:	Peer-reviewed Article,
Enlaces:	We show that if $G=(V,E)$ is a regular bipartite graph for which the expansion of subsets of a single parity of $V$ is reasonably good and which satisfies a certain local condition (that the union of the neighbourhoods of adjacent…
Fecha:	2007-01-01
Recurso:	Electronic journal of probability