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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