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Aproximadamente 643 registro(s) hasta el momento: (journal)

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Recurso libre

Editorial Board for Volume 10 (2005)
,

Formato:	Peer-reviewed Article,
Enlaces:	Descripción completa.
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

On the Non-Convexity of the Time Constant in First-Passage Percolation
Kesten, Harry; Cornell University

Formato:	Peer-reviewed Article,
Enlaces:	We give a counterexample to a conjecture of Hammersley and Welsh (1965) about the convexity of the time constant in first-passage percolation, as a functional on the space of distribution functions. The present counterexample only works for first-passage percolation on…
Fecha:	1996-01-01
Recurso:	Electronic communications in probability

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Moderate Deviations for Martingales with Bounded Jumps
Dembo, Amir; Stanford University

Formato:	Peer-reviewed Article,
Enlaces:	We prove that the Moderate Deviation Principle (MDP) holds for the trajectory of a locally square integrable martingale with bounded jumps as soon as its quadratic covariation, properly scaled, converges in probability at an exponential rate. A consequence of this…
Fecha:	1996-01-01
Recurso:	Electronic communications in probability

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Bounds for Disconnection Exponents
Werner, Wendelin; Université Paris-Sud and IUF

Formato:	Peer-reviewed Article,
Enlaces:	We slightly improve the upper bounds of disconnection exponents for planar Brownian motion that we derived in an earlier paper. We also give a proof of the lower bound $1/(2\pi)$ for the disconnection exponent for one path.
Fecha:	1996-01-01
Recurso:	Electronic communications in probability

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The Dimension of the Frontier of Planar Brownian Motion
Lawler, Gregory F.; Duke University

Formato:	Peer-reviewed Article,
Enlaces:	Let $B$ be a two dimensional Brownian motion and let the frontier of $B[0,1]$ be defined as the set of all points in $B[0,1]$ that are in the closure of the unbounded connected component of its complement. We prove that…
Fecha:	1996-01-01
Recurso:	Electronic communications in probability

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Simulations and Conjectures for Disconnection Exponents
Puckette, Emily E.; Occidental College - Werner, Wendelin; Université Paris-Sud and IUF

Formato:	Peer-reviewed Article,
Enlaces:	Using Monte-Carlo simulations, we estimate numerically disconnection exponents for planar Brownian motions. These simulations tend to confirm conjectures by Duplantier and Mandelbrot.
Fecha:	1996-01-01
Recurso:	Electronic communications in probability

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Excursions Into a New Duality Relation for Diffusion Processes
Jansons, Kalvis M.; University College London

Formato:	Peer-reviewed Article,
Enlaces:	This work was motivated by the recent work by H. Dette, J. Pitman and W.J. Studden on a new duality relation for random walks. In this note we consider the diffusion process limit of their result, and use the alternative…
Fecha:	1996-01-01
Recurso:	Electronic communications in probability

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Geometric Ergodicity and Hybrid Markov Chains
Roberts, Gareth O.; University of Cambridge - Rosenthal, Jeffrey S.; University of Toronto

Formato:	Peer-reviewed Article,
Enlaces:	Various notions of geometric ergodicity for Markov chains on general state spaces exist. In this paper, we review certain relations and implications among them. We then apply these results to a collection of chains commonly used in Markov chain Monte…
Fecha:	1997-01-01
Recurso:	Electronic communications in probability

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Strong Laws and Summability for Sequences of $\phi$-Mixing Random Variables in Banach Spaces
Kiesel, Rädiger; University of London

Formato:	Peer-reviewed Article,
Enlaces:	In this note the almost sure convergence of stationary, $\varphi$-mixing sequences of random variables with values in real, separable Banach spaces according to summability methods is linked to the fulfillment of a certain integrability condition generalizing and extending the results…
Fecha:	1997-01-01
Recurso:	Electronic communications in probability

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10.

Positivity of Brownian Transition Densities
Barlow, Martin; University of British Columbia - Bass, Richard F.; University of Washington - Burdzy, Krzysztof; University of Washington

Formato:	Peer-reviewed Article,
Enlaces:	Let $B$ be a Borel subset of $R^d$ and let $p(t,x,y)$ be the transition densities of Brownian motion killed on leaving $B$. Fix $x$ and $y$ in $B$. If $p(t,x,y)$ is positive for one $t$, it is positive for every…
Fecha:	1997-01-01
Recurso:	Electronic communications in probability

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11.

Superprocess Approximation For a Spatially Homogeneous Branching Walk
Kaj, Ingemar; Uppsala University - Sagitov, Serik; Chalmers University of Technology

Formato:	Peer-reviewed Article,
Enlaces:	We present an alternative particle picture for super-stable motion. It is based on a non-local branching mechanism in discrete time and only trivial space motion.
Fecha:	1997-01-01
Recurso:	Electronic communications in probability

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12.

Wiener Soccer and Its Generalization
Baryshnikov, Yuliy; University of Osnabrueck

Formato:	Peer-reviewed Article,
Enlaces:	The trajectory of the ball in a soccer game is modelled by the Brownian motion on a cylinder, subject to elastic reflections at the boundary points (as proposed in [KPY]). The score is then the number of windings of the…
Fecha:	1998-01-01
Recurso:	Electronic communications in probability

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13.

The Law of Large Numbers for $U$-statistics Under Absolute Regularity
Arcones, Miguel A.; University of Texas

Formato:	Peer-reviewed Article,
Enlaces:	We prove the law of large numbers for $U$-statistics whose underlying sequence of random variables satisfies an absolute regularity condition ($\beta$-mixing condition) under suboptimal conditions.
Fecha:	1998-01-01
Recurso:	Electronic communications in probability

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14.

Weak Convergence of Reflected Brownian Motions
Burdzy, Krzysztof; University of Washington - Chen, Zhen-Qing; Cornell University

Formato:	Peer-reviewed Article,
Enlaces:	We show that if a sequence of domains $D_k$ increases to a domain $D$ then the reflected Brownian motions in $D_k$'s converge to the reflected Brownian motion in $D$, under mild technical assumptions.
Fecha:	1998-01-01
Recurso:	Electronic communications in probability

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15.

Loop-Erased Walks Intersect Infinitely Often in Four Dimensions
Lawler, Gregory F.; Duke University

Formato:	Peer-reviewed Article,
Enlaces:	In this short note we show that the paths two independent loop-erased random walks in four dimensions intersect infinitely often. We actually prove the stronger result that the cut-points of the two walks intersect infinitely often.
Fecha:	1998-01-01
Recurso:	Electronic communications in probability

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16.

Brownian Excursion Conditioned on Its Local Time
Aldous, David J.; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	For a function $\ell$ satisfying suitable integrability (but not continuity) requirements, we construct a process $(B^\ell_u, 0 \leq u \leq 1)$ interpretable as Brownian excursion conditioned to have local time $\ell(\cdot)$ at time $1$. The construction is achieved by first…
Fecha:	1998-01-01
Recurso:	Electronic communications in probability

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17.

The Best Bounds in a Theorem of Russell Lyons
Marchal, Philippe; Université Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	We sharpen a bound in a theorem of Russell Lyons for percolation on a tree and associated random walk.
Fecha:	1998-01-01
Recurso:	Electronic communications in probability

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18.

Fractional Brownian Motion and the Markov Property
Carmona, Philippe; Université Paul Sabatier - Coutin, Laure; Université Paul Sabatier

Formato:	Peer-reviewed Article,
Enlaces:	Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This leads naturally to: An efficient algorithm to approximate the process. An ergodic theorem which…
Fecha:	1998-01-01
Recurso:	Electronic communications in probability

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19.

A Lower Bound for Time Correlation of Lattice Gases
Handa, Kenji; Saga University

Formato:	Peer-reviewed Article,
Enlaces:	The lattice gas model in equilibrium is considered. We give a lower bound of the density-density time correlation for large time, which involves the bulk diffusion matrix in a physically natural way.
Fecha:	1999-01-01
Recurso:	Electronic communications in probability

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20.

On a Result of David Aldous Concerning the Trees in a Conditioned Excursion
Warren, Jon; University of Warwick

Formato:	Peer-reviewed Article,
Enlaces:	The law of a random tree constructed within a Brownian excursion is calculated conditional on knowing the occupation measure of the excursion. In previous work David Aldous has used random walk approximations to obtain this result. Here it is deduced…
Fecha:	1999-01-01
Recurso:	Electronic communications in probability

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21.

Construction of a Brownian Path With a Given Minimum
Bertoin, Jean; Universite Pierre et Marie Curie - Pitman, Jim; University of California, Berkeley - Chavez, Juan Ruiz de; UAM-I

Formato:	Peer-reviewed Article,
Enlaces:	We construct a Brownian path conditioned on its minimum value over a fixed time interval by a simple transformation of a Brownian bridge.
Fecha:	1999-01-01
Recurso:	Electronic communications in probability

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22.

Trees, Not Cubes: Hypercontractivity, Cosiness, and Noise Stability
Schramm, Oded; Microsoft Research - Tsirelson, Boris; Tel Aviv University

Formato:	Peer-reviewed Article,
Enlaces:	Noise sensitivity of functions on the leaves of a binary tree is studied, and a hypercontractive inequality is obtained. We deduce that the spider walk is not noise stable.
Fecha:	1999-01-01
Recurso:	Electronic communications in probability

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23.

On the Occupation Time of Brownian Excursion
Hooghiemstra, Gerard; Technical University Delft

Formato:	Peer-reviewed Article,
Enlaces:	Recently, Kalvin M. Jansons derived in an elegant way the Laplace transform of the time spent by an excursion above a given level $a>0$. This result can also be derived from previous work of the author on the occupation time…
Fecha:	1999-01-01
Recurso:	Electronic communications in probability

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24.

Correlation Measures
Lewis, Thomas M.; Furman University - Pritchard, Geoffrey; University of Auckland

Formato:	Peer-reviewed Article,
Enlaces:	We study a class of Borel probability measures, called correlation measures. Our results are of two types: first, we give explicit constructions of non-trivial correlation measures; second, we examine some of the properties of the set of correlation measures. In…
Fecha:	1999-01-01
Recurso:	Electronic communications in probability

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25.

Edge Occupation Measure for a Reversible Markov Chain
Guillotin, Nadine; Université Claude Bernard - Lyon 1

Formato:	Peer-reviewed Article,
Enlaces:	In this note, we study the Gaussian fluctuations of the edge occupation measure for a reversible Markov chain and give a nice description of the covariance matrix. Then we give some large deviations results concerning this occupation measure.
Fecha:	1999-01-01
Recurso:	Electronic communications in probability

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26.

A Gaussian Correlation Inequality and its Applications to Small Ball Probabilities
Li, Wenbo V.; University of Delaware

Formato:	Peer-reviewed Article,
Enlaces:	We present a Gaussian correlation inequality which is closely related to a result of Schechtman, Schlumprecht and Zinn (1998) on the well-known Gaussian correlation conjecture. The usefulness of the inequality is demonstrated by several important applications to the estimates of…
Fecha:	1999-01-01
Recurso:	Electronic communications in probability

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27.

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

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

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28.

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

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

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29.

Loop-Erased Random Walks, Spanning Trees and Hamiltonian Cycles
Marchal, Philippe; Université Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	We establish a formula for the distribution of loop-erased random walks at certain random times. Several classical results on spanning trees, including Wilson's algorithm, follow easily, as well as a method to construct random Hamiltonian cycles.
Fecha:	2000-01-01
Recurso:	Electronic communications in probability

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30.

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

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

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31.

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

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

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32.

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

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

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33.

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

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

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34.

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

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

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35.

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

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

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36.

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

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

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37.

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

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

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38.

Donsker-Type Theorem for BSDEs
Briand, Philippe; Université Rennes 1 - Delyon, Bernard; Université Rennes 1 - Mémin, Jean; Université Rennes 1

Formato:	Peer-reviewed Article,
Enlaces:	This paper is devoted to the proof of Donsker's theorem for backward stochastic differential equations (BSDEs for short). The main objective is to give a simple method to discretize in time a BSDE. Our approach is based upon the notion…
Fecha:	2001-01-01
Recurso:	Electronic communications in probability

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39.

$L^1$-Norm of Infinitely Divisible Random Vectors and Certain Stochastic Integrals
Marcus, Michael B.; The City College of CUNY - Rosinski, Jan; University of Tennessee

Formato:	Peer-reviewed Article,
Enlaces:	Equivalent upper and lower bounds for the $L^1$ norm of Hilbert space valued infinitely divisible random variables are obtained and used to find bounds for different types of stochastic integrals.
Fecha:	2001-01-01
Recurso:	Electronic communications in probability

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40.

Ballistic Deposition on a Planar Strip
Atar, Rami; Technion - Israel Institute of Technology - Athreya, Siva; University of British Columbia - Kang, Min; Northwestern University

Formato:	Peer-reviewed Article,
Enlaces:	We consider ballistic diffusion limited aggregation on a finite strip $[0, L-1]$ times $\mathbb{Z}_+$ in $\mathbb{Z}^2$ for some $L$ in $\mathbb{Z}_+$. We provide numerical bounds on the growth in the height process.
Fecha:	2001-01-01
Recurso:	Electronic communications in probability

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41.

A Note on Talagrand's Concentration Inequality
Panchenko, Dmitriy; University of New Mexico

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we revisit Talagrand's proof of concentration inequality for empirical processes. We give a different proof of the main technical lemma that guarantees the existence of a certain kernel. Moreover, we generalize the result of Talagrand to a…
Fecha:	2001-01-01
Recurso:	Electronic communications in probability

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42.

Kendall's identity for the first crossing time revisited
Borovkov, Konstantin; University of Melbourne - Burq, Zaeem; University of Melbourne

Formato:	Peer-reviewed Article,
Enlaces:	We give a new relatively compact proof of the famous identity for the distribution of the first hitting time of a linear boundary by a skip-free process with stationary independent increments. The proof uses martingale identities and change of measure.
Fecha:	2001-01-01
Recurso:	Electronic communications in probability

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43.

A Percolation Formula
Schramm, Oded; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	Let $A$ be an arc on the boundary of the unit disk $U$. We prove an asymptotic formula for the probability that there is a percolation cluster $K$ for critical site percolation on the triangular grid in $U$ which intersects…
Fecha:	2001-01-01
Recurso:	Electronic communications in probability

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44.

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

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45.

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

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

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46.

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

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47.

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

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

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48.

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

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

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49.

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

50.

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

51.

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

52.

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

53.

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

54.

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

55.

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

56.

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

57.

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

58.

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

59.

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

60.

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

61.

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

62.

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

63.

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

64.

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

65.

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

66.

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

67.

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

68.

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

69.

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

70.

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

71.

The Center of Mass of the ISE and the Wiener Index of Trees
Janson, Svante; Uppsala University - Chassaing, Philippe; Institut Elie Cartan

Formato:	Peer-reviewed Article,
Enlaces:	We derive the distribution of the center of mass S of the integrated superBrownian excursion (ISE) from the asymptotic distribution of the Wiener index for simple trees. Equivalently, this is the distribution of the integral of a Brownian snake. A…
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

72.

Finite dimensional determinants as characteristic functions of quadratic Wiener functionals
Hara, Keisuke; Ritsumeikan University

Formato:	Peer-reviewed Article,
Enlaces:	We show a method and the structure to calculate the characteristic functions of quadratic Wiener functionals by using classical Weierstrass-Hadamard's theory on entire functions. We also examine the idea by an example for Gaussian processes with multiple Markovian property.
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

73.

Invariance Principles for Ranked Excursion Lengths and Heights
Csaki, Endre; A. Rényi Institute of Mathematics, Hungarian Academy of Sciences - Hu, Yueyun; Universite Paris VI

Formato:	Peer-reviewed Article,
Enlaces:	In this note we prove strong invariance principles between ranked excursion lengths and heights of a simple random walk and those of a standard Brownian motion. Some consequences concerning limiting distributions and strong limit theorems will also be presented.
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

74.

A Condition for Weak Disorder for Directed Polymers in Random Environment
Birkner, Matthias; Weierstrass Institute for Applied Analysis and Stochastics, Germany

Formato:	Peer-reviewed Article,
Enlaces:	We give a sufficient criterion for the weak disorder regime of directed polymers in random environment, which extends a well-known second moment criterion. We use a stochastic representation of the size-biased law of the partition function.
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

75.

Recurrent Graphs where Two Independent Random Walks Collide Finitely Often
Krishnapur, Manjunath; University of California at Berkeley, USA - Peres, Yuval; University of California at Berkeley, USA

Formato:	Peer-reviewed Article,
Enlaces:	We present a class of graphs where simple random walk is recurrent, yet two independent walkers meet only finitely many times almost surely. In particular, the comb lattice, obtained from $Z^2$ by removing all horizontal edges off the $x$-axis, has…
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

76.

Poisson Statistics for the Largest Eigenvalues of Wigner Random Matrices with Heavy Tails
Soshnikov, Alexander; University of California at Davis, USA

Formato:	Peer-reviewed Article,
Enlaces:	We study large Wigner random matrices in the case when the marginal distributions of matrix entries have heavy tails. We prove that the largest eigenvalues of such matrices have Poisson
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

77.

A Gaussian Oscillator
Burdzy, Krzysztof; University of Washington - White, David; University of Washington

Formato:	Peer-reviewed Article,
Enlaces:	We present a stochastic process with sawtooth paths whose distribution is given by a simple rule and whose stationary distribution is Gaussian. The process arose in a natural way in research on interaction of an inert particle with a Brownian…
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

78.

Sharp Bounds for Green and Jumping Functions of Subordinate Killed Brownian Motions
Song, Renming; University of Illinois, Urbana - Vondracek, Zoran; University of Zagreb, Croatia

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we obtain sharp bounds for the Green function and jumping function of a subordinate killed Brownian motion in a bounded $C^{1,1}$ domain, where the subordinating process is a subordinator whose Laplace exponent has certain asymptotic behavior at…
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

79.

Geometric Ergodicity and Perfect Simulation
Kendall, Wilfrid S.; University of Warwick

Formato:	Peer-reviewed Article,
Enlaces:	This note extends the work of Foss and Tweedie (1998), who showed that availability of the classic Coupling from the Past (CFTP) algorithm of Propp and Wilson (1996) is essentially equivalent to uniform ergodicity for a Markov chain (see also…
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

80.

On Standard Normal Convergence of the Multivariate Student $t$-Statistic for Symmetric Random Vectors
Giné, Evarist; University of Connecticut, USA - Götze, Friedrich; Universitat Bielefeld

Formato:	Peer-reviewed Article,
Enlaces:	It is proved that if the multivariate Student $t$-statistic based on i.i.d. symmetric random vectors is asymptotically standard normal, then these random vectors are in the generalized domain of attraction of the normal law. Uniform integrability is also considered, even…
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

81.

Weak Convergence to Ocone Martingales: a Remark
Peccati, Giovanni; Universite Pierre et Marie Curie, France

Formato:	Peer-reviewed Article,
Enlaces:	We show, by a simple counterexample, that the main result in a recent paper by H. Van Zanten [Electronic Communications in Probability 7 (2002), 215-222] is false. We eventually point out the origin of the error.
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

82.

On Long Range Percolation with Heavy Tails
Friedli, Sacha; IMPA, Rio de Janeiro - Borge de Lima, Benoîte; UFMG, Belo Horizonte - Sidoravicius, Vladas; IMPA, Rio de Janeiro

Formato:	Peer-reviewed Article,
Enlaces:	Consider independent long range percolation on $\mathbf{Z}^d$, $d\geq 2$, where edges of length $n$ are open with probability $p_n$. We show that if $\limsup_{n\to\infty}p_n > 0,$ then there exists an integer $N$ such that $P_N(0\leftrightarrow \infty) > 0$, where $P_N$…
Fecha:	2004-01-01
Recurso:	Electronic communications in probability

Recurso libre

83.

FKG Inequality for Brownian Motion and Stochastic Differential Equations
Barbato, David; Università di Pisa, Italy

Formato:	Peer-reviewed Article,
Enlaces:	The purpose of this work is to study some possible application of FKG inequality to the Brownian motion and to Stochastic Differential Equations. We introduce a special ordering on the Wiener space and prove the FKG inequality with respect to…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

84.

A Non-Markovian Process with Unbounded $p$-Variation
Manstavicius, Martynas; University of Connecticut, USA

Formato:	Peer-reviewed Article,
Enlaces:	A recent theorem by M. Manstavicius (2004) provided a link between a certain function of transition probabilities of a strong Markov process and the boundedness of the $p$-variation of its trajectories. Here one assumption of that theorem is relaxed and…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

85.

Measure Concentration for Stable Laws with Index Close to 2
Marchal, Philippe; Université Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	We give upper bounds for the probability $P(\|f(X)-Ef(X)\| > x)$, where $X$ is a stable random variable with index close to 2 and $f$ is a Lipschitz function. While the optimal upper bound is known to be of order $1/x^\alpha$…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

86.

On the Zero-One Law and the Law of Large Numbers for Random Walk in Mixing Random Environment
Rassoul-Agha, Firas; Ohio State University, USA

Formato:	Peer-reviewed Article,
Enlaces:	We prove a weak version of the law of large numbers for multi-dimensional finite range random walks in certain mixing elliptic random environments. This already improves previously existing results, where a law of large numbers was known only under strong…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

87.

Poisson Thinning by Monotone Factors
Ball, Karen; Indiana University, USA

Formato:	Peer-reviewed Article,
Enlaces:	Let $X$ and $Y$ be Poisson point processes on the real numbers with rates $l_1$ and $l_2$ respectively. We show that if $l_1 > l_2$, then there exists a deterministic map $f$ such that $f(X)$ and $Y$ have the same…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

88.

When Does a Randomly Weighted Self-normalized Sum Converge in Distribution?
Mason, David M.; University of Delaware, USA - Zinn, Joel; Texas A&M University, USA

Formato:	Peer-reviewed Article,
Enlaces:	We determine exactly when a certain randomly weighted, self--normalized sum converges in distribution, partially verifying a 1965 conjecture of Leo Breiman. We, then, apply our results to characterize the asymptotic distribution of relative sums and to provide a short proof…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

89.

Some Notes on Topological Recurrence
Carlsson, Niclas; Abo Akademi University, Finland

Formato:	Peer-reviewed Article,
Enlaces:	We review the concept of topological recurrence for weak Feller Markov chains on compact state spaces and explore the implications of this concept for the ergodicity of the processes. We also prove some conditions for existence and uniqueness of invariant…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

90.

On Homogenization of Non-Divergence Form Partial Difference Equations
Conlon, Joseph G.; University of Michigan, USA - Pilizzotto, Ian F.; University of Michigan, USA

Formato:	Peer-reviewed Article,
Enlaces:	In this paper a method for proving homogenization of divergence form elliptic equations is extended to the non-divergence case. A new proof of homogenization is given when the coefficients in the equation are assumed to be stationary and ergodic. A…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

91.

On the Duality between Coalescing Brownian Particles and the Heat Equation Driven by Fisher-Wright Noise
Hobson, Tim; University of Warwick, UK - Tribe, Rodge; University of Warwick, UK

Formato:	Peer-reviewed Article,
Enlaces:	This paper concerns the Markov process duality between the one-dimensional heat equation driven by Fisher-Wright white noise and slowly coalescing Brownian particles. A representation is found for the law of the solution $x \to U(t,x)$ to the stochastic PDE, at…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

92.

A Question about the Parisi Functional
Panchenko, Dmitriy; Massachusetts Institute of Technology, USA

Formato:	Peer-reviewed Article,
Enlaces:	We conjecture that the Parisi functional in the SK model is convex in the functional order parameter and prove a partial result that shows the convexity along one-sided directions. A consequence of this result is the log-convexity of $L_m$ norm…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

93.

Geometry of Stochastic Delay Differential Equations
Catuogno, Pedro José; Universidade Estadual de Campinas, Brazil - Ruffino, Paulo R. C.; Universidade Estadual de Campinas, Brazil

Formato:	Peer-reviewed Article,
Enlaces:	Stochastic delay differential equations (SDDE) on a manifold $M$ depend intrinsically on a connection $\nabla$ in this space. The main geometric result in this notes concerns the horizontal lift of solutions of SDDE on a manifold $M$ to an SDDE…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

94.

An Extreme-Value Analysis of the LIL for Brownian Motion
Khoshnevisan, Davar; University of Utah, USa - Levin, David A.; University of Oregon, USA - Shi, Zhan; Université Paris VI, France

Formato:	Peer-reviewed Article,
Enlaces:	We use excursion theory and the ergodic theorem to present an extreme-value analysis of the classical law of the iterated logarithm (LIL) for Brownian motion. A simplified version of our method also proves, in a paragraph, the classical theorem of…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

95.

Boundary Crossings of Brownian Motion
Hashorva, Enkelejd; University of Bern, Switzerland

Formato:	Peer-reviewed Article,
Enlaces:	Let $B$ be a standard Brownian motion and let $b_\gamma$ be a piecewise linear continuous boundary function. In this paper we obtain an exact asymptotic expansion of $P\{ B(t) < b_\gamma(t), \forall t\in [0,1]\} $ provided that the boundary function…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

96.

Sampling Formulae for Symmetric Selection
Handa, Kenji; Saga University

Formato:	Peer-reviewed Article,
Enlaces:	We study partition distributions in a population genetics model incorporating symmetric selection and mutation. They generalize Ewens distributions in the infinitely-many-neutral-alleles model, an explicit expression of which is known as the Ewens sampling formula. A sampling formula for the generalized…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

97.

Motion of a Rigid Body under Random Perturbation
Liao, Ming; Auburn University, USA - Wang, Longmin; Nankai University, P. R. China

Formato:	Peer-reviewed Article,
Enlaces:	We use stochastic analysis to study the random motion of a rigid body under a white noise perturbation. We obtain a formula for the angular velocity in an average sense and discuss the stability near a principle axis.
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

98.

A Log-scale Limit Theorem for One-dimensional Random Walks in Random Environments
Roitershtein, Alexander; University of British Columbia, Canada

Formato:	Peer-reviewed Article,
Enlaces:	We consider a transient one-dimensional random walk $X_n$ in random environment having zero asymptotic speed. For a class of non-i.i.d. environments we show that $\log X_n / \log n$ converges in probability to a positive constant.
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

99.

Spherical and Hyperbolic Fractional Brownian Motion
Istas, Jacques; Université Pierre Mendès

Formato:	Peer-reviewed Article,
Enlaces:	We define a Fractional Brownian Motion indexed by a sphere, or more generally by a compact rank one symmetric space, and prove that it exists if, and only if, $0 < H \leq 1/2$. We then prove that Fractional Brownian…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability

Recurso libre

100.

A Limit Law for the Root Value of Minimax Trees
Khan, Tämur Ali; Johann Wolfgang Goethe Universität, Germany - Devroye, Luc; McGill University, Canada - Neininger, Ralph; Wolfgang Goethe Universität, Germany

Formato:	Peer-reviewed Article,
Enlaces:	We consider minimax trees with independent, identically distributed leaf values that have a continuous distribution function $F_V$ being strictly increasing on the range where $0 < F_V < 1$. It was shown by Pearl that the root value of such…
Fecha:	2005-01-01
Recurso:	Electronic communications in probability