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Aproximadamente 559 registro(s) hasta el momento: (journal)

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101.

Small Deviations for Beta Ensembles
Ledoux, Michel; Université de Toulouse - Rider, Brian; University of Colorado Boulder

Formato:	Peer-reviewed Article,
Enlaces:	We establish various small deviation inequalities for the extremal (soft edge) eigenvalues in the beta-Hermite and beta-Laguerre ensembles. In both settings, upper bounds on the variance of the largest eigenvalue of the anticipated order follow immediately.
Fecha:	2010-01-01
Recurso:	Electronic journal of probability

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102.

Exponential Estimates for Stochastic Convolutions in 2-Smooth Banach Spaces
Seidler, Jan; Czech Academy of Sciences

Formato:	Peer-reviewed Article,
Enlaces:	Sharp constants in a (one-sided) Burkholder-Davis-Gundy type estimate for stochastic integrals in a 2-smooth Banach space are found. As a consequence, exponential tail estimates for stochastic convolutions are obtained via Zygmund's extrapolation theorem.
Fecha:	2010-01-01
Recurso:	Electronic journal of probability

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103.

Well Posedness and Asymptotic Behavior for Stochastic Reaction-Diffusion Equations with Multiplicative Poisson Noise
Marinelli, Carlo; University of Bolzano - Roeckner, Michael; University of Bielefeld

Formato:	Peer-reviewed Article,
Enlaces:	We establish well-posedness in the mild sense for a class of stochastic semilinear evolution equations with a polynomially growing quasi-monotone nonlinearity and multiplicative Poisson noise. We also study existence and uniqueness of invariant measures for the associated semigroup in the…
Fecha:	2010-01-01
Recurso:	Electronic journal of probability

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104.

Multivariate Records Based on Dominance
Hwang, Hsien-Kuei; Academia Sinica Taipei - Tsai, Tsung-Hsi; Academia Sinica Taipei

Formato:	Peer-reviewed Article,
Enlaces:	We consider three types of multivariate records in this paper and derive the mean and the variance of their numbers for independent and uniform random samples from two prototype regions: hypercubes $[0,1]^d$ and d-dimensional simplex. Central limit theorems with convergence…
Fecha:	2010-01-01
Recurso:	Electronic journal of probability

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105.

The Maximum of Brownian Motion Minus a Parabola
Groeneboom, Piet; Delft University of Technology

Formato:	Peer-reviewed Article,
Enlaces:	We derive a simple integral representation for the distribution of the maximum of Brownian motion minus a parabola, which can be used for computing the density and moments of the distribution, both for one-sided and two-sided Brownian motion.
Fecha:	2010-01-01
Recurso:	Electronic journal of probability

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106.

The Maximum of Brownian Motion with Parabolic Drift
Janson, Svante; Uppsala University - Louchard, Guy; Université Libre de Bruxelles - Martin-Löf, Anders; Stockholm University

Formato:	Peer-reviewed Article,
Enlaces:	We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. We give…
Fecha:	2010-01-01
Recurso:	Electronic journal of probability

Recurso libre

107.

Existence and Exponential Mixing of Infinite White $\alpha$-Stable Systems with Unbounded Interactions
Xu, Lihu; Technische Universität Berlin - Zegarlinski, Boguslaw; Imperial College London

Formato:	Peer-reviewed Article,
Enlaces:	We study an infinite white $\alpha$-stable systems with unbounded interactions, and prove the existence of a solution by Galerkin approximation and an exponential mixing property by an $\alpha$-stable version of gradient bounds.
Fecha:	2010-01-01
Recurso:	Electronic journal of probability

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108.

Trees, Animals, and Percolation on Hyperbolic Lattices
Madras, Neal; York University - Wu, C. Chris; Penn State University

Formato:	Peer-reviewed Article,
Enlaces:	We study lattice trees, lattice animals, and percolation on non-Euclidean lattices that correspond to regular tessellations of two- and three-dimensional hyperbolic space. We prove that critical exponents of these models take on their mean field values. Our methods are mainly…
Fecha:	2010-01-01
Recurso:	Electronic journal of probability

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109.

G distributions and the beta-gamma algebra
Dufresne, Daniel; University of Melbourne

Formato:	Peer-reviewed Article,
Enlaces:	This paper has four interrelated themes: (1) express Laplace and Mellin transforms of sums of positive random variables in terms of the Mellin transform of the summands; (2) show the equivalence of the two Barnes' lemmas with known properties of…
Fecha:	2010-01-01
Recurso:	Electronic journal of probability

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110.

Integrability of Seminorms
Basse-O'Connor, Andreas; University of Aarhus

Formato:	Peer-reviewed Article,
Enlaces:	We study integrability and equivalence of $L^p$-norms of polynomial chaos elements. Relying on known results for Banach space valued polynomials, we extend and unify integrability for seminorms results to random elements that are not necessarily limits of Banach space valued…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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111.

Bulk Scaling Limit of the Laguerre Ensemble
Jacquot, Stephanie; University of Cambridge - Valko, Benedek; University of Wisconsin Madison

Formato:	Peer-reviewed Article,
Enlaces:	We consider the $\beta$-Laguerre ensemble, a family of distributions generalizing the joint eigenvalue distribution of the Wishart random matrices. We show that the bulk scaling limit of these ensembles exists for all $\beta>0$ for a general family of parameters and…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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112.

(Non)Differentiability and Asymptotics for Potential Densities of Subordinators
Döring, Leif; Technische Universität Berlin - Savov, Mladen; Oxford University

Formato:	Peer-reviewed Article,
Enlaces:	For subordinators with positive drift we extend recent results on the structure of the potential measures and the renewal densities. Applying Fourier analysis a new representation of the potential densities is derived from which we deduce asymptotic results and show…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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113.

Survival Probability of the Branching Random Walk Killed Below a Linear Boundary
Bérard, Jean; Université Claude Bernard - Lyon 1 - Gouéré, Jean-Baptiste; Université d'Orléans

Formato:	Peer-reviewed Article,
Enlaces:	We give an alternative proof of a result by N. Gantert, Y. Hu and Z. Shi on the asymptotic behavior of the survival probability of the branching random walk killed below a linear boundary, in the special case of deterministic…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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114.

Sharp and Strict $L^p$-Inequalities for Hilbert-Space-Valued Orthogonal Martingales
Osekowski, Adam; University of Warsaw

Formato:	Peer-reviewed Article,
Enlaces:	The paper contains the proofs of sharp moment estimates for Hilbert-space valued martingales under the assumptions of differential subordination and orthogonality. The results generalize those obtained by Banuelos and Wang. As an application, we sharpen an inequality for stochastic integrals…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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115.

Stochastic Order Methods Applied to Stochastic Travelling Waves
Tribe, Roger; University of Warwick - Woodward, Nicholas; University of Warwick

Formato:	Peer-reviewed Article,
Enlaces:	This paper considers some one dimensional reaction diffusion equations driven by a one dimensional multiplicative white noise. The existence of a stochastic travelling wave solution is established, as well as a sufficient condition to be in its domain of attraction.…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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116.

Pathwise Differentiability for SDEs in a Smooth Domain with Reflection
Andres, Sebastian; University of British Columbia

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we study a Skorohod SDE in a smooth domain with normal reflection at the boundary, in particular we prove that the solution is pathwise differentiable with respect to the deterministic starting point. The resulting derivatives evolve according…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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117.

Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion
Fukasawa, Masaaki; ETH Zürich

Formato:	Peer-reviewed Article,
Enlaces:	The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes price and is uniform in…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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118.

Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients
Zhang, Xicheng; Wuhan University

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we prove the stochastic homeomorphism flow property and the strong Feller property for stochastic differential equations with sigular time dependent drifts and Sobolev diffusion coefficients. Moreover, the local well posedness under local assumptions are also obtained. In…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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119.

Interpolation Percolation
Zerner, Martin P.W.; University of Tuebingen

Formato:	Peer-reviewed Article,
Enlaces:	Let $X$ be a countably infinite set of real numbers and let $(Y_x)_{x\in X}$ be an independent family of stationary random subsets of the real numbers, e.g. homogeneous Poisson point processes. We give criteria for the almost sure existence of…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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120.

Spatial Random Permutations and Poisson-Dirichlet Law of Cycle Lengths
Betz, Volker; University of Warwick - Ueltschi, Daniel; University of Warwick

Formato:	Peer-reviewed Article,
Enlaces:	We study spatial permutations with cycle weights that are bounded or slowly diverging. We show that a phase transition occurs at an explicit critical density. The long cycles are macroscopic and their cycle lengths satisfy a Poisson-Dirichlet law.
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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121.

Local Degree Distribution in Scale Free Random Graphs
Backhausz, Agnes; Eotvos Lorand University - Mori, Tamas F.; Eotvos Lorand University

Formato:	Peer-reviewed Article,
Enlaces:	In several scale free graph models the asymptotic degree distribution and the characteristic exponent change when only a smaller set of vertices is considered. Looking at the common properties of these models, we present sufficient conditions for the almost sure…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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122.

Branching Random Walks in Random Environment are Diffusive in the Regular Growth Phase
Heil, Hadrian; Universität Tübingen - Makoto, Nakashima; Kyoto University - Nobuo, Yoshida; Kyoto University

Formato:	Peer-reviewed Article,
Enlaces:	We treat branching random walks in random environment using the framework of Linear Stochastic Evolution. In spatial dimensions three or larger, we establish diusive behaviour in the entire growth phase. This can be seen through a Central Limit Theorem with…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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123.

Stochastic Flows Related to Walsh Brownian Motion
Hajri, Hatem; Université Paris Sud Orsay

Formato:	Peer-reviewed Article,
Enlaces:	We define an equation on a simple graph which is an extension of Tanaka's equation and the skew Brownian motion equation. We then apply the theory of transition kernels developed by Le Jan and Raimond and show that all the…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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124.

The First Hitting Time of a Single Point for Random Walks
Uchiyama, Kohei; Tokyo Institute of Technology

Formato:	Peer-reviewed Article,
Enlaces:	This paper concerns the first hitting time $T_0$ of the origin for random walks on $d$-dimensional integer lattice with zero mean and a finite $2+\delta$ absolute moment ($\delta\geq0$). We derive detailed asymptotic estimates of the probabilities $\mathbb{P}_x(T_0=n)$ as $n\to\infty$ that…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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125.

Products of Independent non-Hermitian Random Matrices
O'Rourke, Sean; Rutgers University - Soshnikov, Alexander B.; University of California Davis

Formato:	Peer-reviewed Article,
Enlaces:	We consider the product of a finite number of non-Hermitian random matrices with i.i.d. centered entries of growing size. We assume that the entries have a finite moment of order bigger than two. We show that the empirical spectral distribution…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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126.

A Note on Rate of Convergence in Probability to Semicircular Law
Bai, Zhidong; Northeast Normal University - Hu, Jiang; Northeast Normal University - Pan, Guangming; Nanyang Technological University - Zhou, Wang; National University of Singapore

Formato:	Peer-reviewed Article,
Enlaces:	In the present paper, we prove that under the assumption of the finite sixth moment for elements of a Wigner matrix, the convergence rate of its empirical spectral distribution to the Wigner semicircular law in probability is $O(n^{-1/2})$ when the…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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127.

Asymptotic Moments of Near Neighbor Distances for the Gaussian Distribution
Liitiäinen, Elia; Aalto University

Formato:	Peer-reviewed Article,
Enlaces:	We study the moments of the k-th nearest neighbor distance for independent identically distributed points in $\mathbb{R}^n$. In the earlier literature, the case with power higher than n has been analyzed by assuming a bounded support for the underlying density.…
Fecha:	2011-01-01
Recurso:	Electronic journal of probability

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128.

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

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129.

Avoiding-Probabilities For Brownian Snakes and Super-Brownian Motion
Abraham, Romain; Université René Descartes (Paris 5) - Werner, Wendelin; Université Paris-Sud and IUF

Formato:	Peer-reviewed Article,
Enlaces:	We investigate the asymptotic behaviour of the probability that a normalized $d$-dimensional Brownian snake (for instance when the life-time process is an excursion of height 1) avoids 0 when starting at distance $\varepsilon$ from the origin. In particular we show…
Fecha:	1997-01-01
Recurso:	Electronic journal of probability

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130.

Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s
Dalang, Robert C.; Ecole Polytechnique Fédérale

Formato:	Peer-reviewed Article,
Enlaces:	We extend the definition of Walsh's martingale measure stochastic integral so as to be able to solve stochastic partial differential equations whose Green's function is not a function but a Schwartz distribution. This is the case for the wave equation…
Fecha:	1999-01-01
Recurso:	Electronic journal of probability

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131.

The Law of the Maximum of a Bessel Bridge
Pitman, Jim; University of California, Berkeley - Yor, Marc; Université Pierre et Marie Curie

Formato:	Peer-reviewed Article,
Enlaces:	Let $M_d$ be the maximum of a standard Bessel bridge of dimension $d$. A series formula for $P(M_d \le a)$ due to Gikhman and Kiefer for $d = 1,2, \ldots$ is shown to be valid for all real $d >0$.…
Fecha:	1999-01-01
Recurso:	Electronic journal of probability

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132.

On Semi-Martingale Characterizations of Functionals of Symmetric Markov Processes
Fukushima, Masatoshi; Kansai University

Formato:	Peer-reviewed Article,
Enlaces:	For a quasi-regular (symmetric) Dirichlet space $( {\cal E}, {\cal F})$ and an associated symmetric standard process $(X_t, P_x)$, we show that, for $u in {\cal F}$, the additive functional $u^(X_t) - u^(X_0)$ is a semimartingale if and only if…
Fecha:	1999-01-01
Recurso:	Electronic journal of probability

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133.

Martingales on Random Sets and the Strong Martingale Property
Sharpe, Michael J.; University of California, San Diego

Formato:	Peer-reviewed Article,
Enlaces:	Let $X$ be a process defined on an optional random set. The paper develops two different conditions on $X$ guaranteeing that it is the restriction of a uniformly integrable martingale. In each case, it is supposed that $X$ is the…
Fecha:	2000-01-01
Recurso:	Electronic journal of probability

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134.

Limit Distributions and Random Trees Derived from the Birthday Problem with Unequal Probabilities
Camarri, Michael; University of California, Berkeley - Pitman, Jim; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	Given an arbitrary distribution on a countable set, consider the number of independent samples required until the first repeated value is seen. Exact and asymptotic formulae are derived for the distribution of this time and of the times until subsequent…
Fecha:	2000-01-01
Recurso:	Electronic journal of probability

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135.

Two Coalescents Derived from the Ranges of Stable Subordinators
Bertoin, Jean; Université Paris VI - Pitman, Jim; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	Let $M_\alpha$ be the closure of the range of a stable subordinator of index $\alpha\in ]0,1[$. There are two natural constructions of the $M_{\alpha}$'s simultaneously for all $\alpha\in ]0,1[$, so that $M_{\alpha}\subseteq M_{\beta}$ for $0< \alpha < \beta < 1$:…
Fecha:	2000-01-01
Recurso:	Electronic journal of probability

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136.

The FBM Itô's Formula Through Analytic Continuation
Feyel, D.; Université de Evry - de La Pradelle, A.; Université Paris VI

Formato:	Peer-reviewed Article,
Enlaces:	The Fractional Brownian Motion can be extended to complex values of the parameter $\alpha $ for $\Re\alpha >{1\over 2}$. This is a useful tool. Indeed, the obtained process depends holomorphically on the parameter, so that many formulas, as Itô formula,…
Fecha:	2001-01-01
Recurso:	Electronic journal of probability

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137.

Asymptotics of Certain Coagulation-Fragmentation Processes and Invariant Poisson-Dirichlet Measures
Mayer-Wolf, Eddy; Technion - Zeitouni, Ofer; Technion - Zerner, Martin P.W.; Stanford University

Formato:	Peer-reviewed Article,
Enlaces:	We consider Markov chains on the space of (countable) partitions of the interval $[0,1]$, obtained first by size biased sampling twice (allowing repetitions) and then merging the parts with probability $\beta_m$ (if the sampled parts are distinct) or splitting the…
Fecha:	2002-01-01
Recurso:	Electronic journal of probability

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138.

On the Convergence of Stochastic Integrals Driven by Processes Converging on account of a Homogenization Property
Lejay, Antoine; INRIA Lorraine

Formato:	Peer-reviewed Article,
Enlaces:	We study the limit of functionals of stochastic processes for which an homogenization result holds. All these functionals involve stochastic integrals. Among them, we consider more particularly the Levy area and those giving the solutions of some SDEs. The main…
Fecha:	2002-01-01
Recurso:	Electronic journal of probability

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139.

Some Non-Linear S.P.D.E's That Are Second Order In Time
Dalang, Robert C.; Ecole Polytechnique Fédérale - Mueller, Carl; University of Rochester

Formato:	Peer-reviewed Article,
Enlaces:	We extend J.B. Walsh's theory of martingale measures in order to deal with stochastic partial differential equations that are second order in time, such as the wave equation and the beam equation, and driven by spatially homogeneous Gaussian noise. For…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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140.

Reflected Backward Stochastic Differential Equation with Jumps and Random Obstacle
Hamadène, Said; Universite du Maine - Ouknine, Youssef; Universite Cadi Ayyad

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we give a solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process. We prove existence and uniqueness of the solution in using…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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141.

Fractional Ornstein-Uhlenbeck processes
Cheridito, Patrick; ETH Zurich - Kawaguchi, Hideyuki; Keio University and Sumitomo Mitsui Banking Corporation - Maejima, Makoto; Keio University

Formato:	Peer-reviewed Article,
Enlaces:	The classical stationary Ornstein-Uhlenbeck process can be obtained in two different ways. On the one hand, it is a stationary solution of the Langevin equation with Brownian motion noise. On the other hand, it can be obtained from Brownian motion…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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142.

On Convergence of Population Processes in Random Environments to the Stochastic Heat Equation with Colored Noise
Sturm, Anja; Technische Universität Berlin

Formato:	Peer-reviewed Article,
Enlaces:	We consider the stochastic heat equation with a multiplicative colored noise term on the real space for dimensions greater or equal to 1. First, we prove convergence of a branching particle system in a random environment to this stochastic heat…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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143.

The Norm of the Product of a Large Matrix and a Random Vector
Böttcher, Albrecht; TU Chemnitz - Grudsky, Sergei; CINVESTAV del I.P.N.

Formato:	Peer-reviewed Article,
Enlaces:	Given a real or complex $n \times n$ matrix $A_n$, we compute the expected value and the variance of the random variable $\\| A_n x\\|^2/\\| A_n \\|^2$, where $x$ is uniformly distributed on the unit sphere of $R^n$ or $C^n$.…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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144.

Competing Species Superprocesses with Infinite Variance
Fleischmann, Klaus; Weierstrass Institute for Applied Analysis and Stochastics - Mytnik, Leonid; Technion - Israel Institute of Technology

Formato:	Peer-reviewed Article,
Enlaces:	We study pairs of interacting measure-valued branching processes (superprocesses) with alpha-stable migration and $(1+\beta)$-branching mechanism. The interaction is realized via some killing procedure. The collision local time for such processes is constructed as a limit of approximating collision local times.…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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145.

Berry-Esseen Bounds for the Number of Maxima in Planar Regions
Bai, Zhi-Dong; National University of Singapore and Northeast Normal University - Hwang, Hsien-Kuei; Academia Sinica, Taipei - Tsai, Tsung-Hsi; Academia Sinica, Taipei

Formato:	Peer-reviewed Article,
Enlaces:	We derive the optimal convergence rate $O(n^{-1/4})$ in the central limit theorem for the number of maxima in random samples chosen uniformly at random from the right equilateral triangle with two sides parallel to the axes, the hypotenuse with the…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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146.

Brownian Motion on Compact Manifolds: Cover Time and Late Points
Dembo, Amir; Stanford University - Peres, Yuval; University of California, Berkeley - Rosen, Jay; College of Staten Island, CUNY

Formato:	Peer-reviewed Article,
Enlaces:	Let $M$ be a smooth, compact, connected Riemannian manifold of dimension $d>2$ and without boundary. Denote by $T(x,r)$ the hitting time of the ball of radius $r$ centered at $x$ by Brownian motion on $M$. Then, $C_r(M)=\sup_{x \in M} T(x,r)$…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

Recurso libre

147.

Clustering Behavior of a Continuous-Sites Stepping-Stone Model with Brownian Migration
Zhou, Xiaowen; Department of Mathematics and Statistics, Concordia university

Formato:	Peer-reviewed Article,
Enlaces:	Clustering behavior is studied for a continuous-sites stepping-stone model with Brownian migration. It is shown that, if the model starts with the same mixture of different types of individuals over each site, then it will evolve in a way such…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

Recurso libre

148.

Homogeneous Random Measures and Strongly Supermedian Kernels of a Markov Process
Fitzsimmons, Patrick J.; UCSD - Getoor, Ronald K.; UCSD

Formato:	Peer-reviewed Article,
Enlaces:	The potential kernel of a positive left additive functional (of a strong Markov process $X$) maps positive functions to strongly supermedian functions and satisfies a variant of the classical domination principle of potential theory. Such a kernel $V$ is called…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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149.

Large Deviation Principle for a Stochastic Heat Equation With Spatially Correlated Noise
Marquez-Carreras, David; Universitat de Barcelona - Sarra, Monica; Universitat de Barcelona

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we prove a large deviation principle (LDP) for a perturbed stochastic heat equation defined on $[0,T]\times [0,1]^d$. This equation is driven by a Gaussian noise, white in time and correlated in space. Firstly, we show the Holder…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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150.

Comparison Theorems for Small Deviations of Random Series
Gao, Fuchang; University of Idaho - Hannig, Jan; Colorado State University - Torcaso, Fred; Johns Hopkins University

Formato:	Peer-reviewed Article,
Enlaces:	Let ${\xi_n}$ be a sequence of i.i.d. positive random variables with common distribution function $F(x)$. Let ${a_n}$ and ${b_n}$ be two positive non-increasing summable sequences such that ${\prod_{n=1}^{\infty}(a_n/b_n)}$ converges. Under some mild assumptions on $F$, we prove the following comparison…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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151.

Laplace Transforms via Hadamard Factorization
Gao, Fuchang; University of Idaho - Hannig, Jan; Colorado State University - Lee, Tzong-Yow; University of Maryland - Torcaso, Fred; The Johns Hopkins University

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we consider the Laplace transforms of some random series, in particular, the random series derived as the squared $L_2$ norm of a Gaussian stochastic process. Except for some special cases, closed form expressions for Laplace transforms are,…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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152.

Large Deviations for the Emprirical Measures of Reflecting Brownian Motion and Related Constrained Processes in $R_+$
Budhiraja, Amarjit; University of North Carolina at Chapel Hill - Dupuis, Paul; Brown University

Formato:	Peer-reviewed Article,
Enlaces:	We consider the large deviations properties of the empirical measure for one dimensional constrained processes, such as reflecting Brownian motion, the M/M/1 queue, and discrete time analogues. Because these processes do not satisfy the strong stability assumptions that are usually…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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153.

Long-Memory Stable Ornstein-Uhlenbeck Processes
Maejima, Makoto; Department of Mathematics, Keio University - Yamamoto, Kenji; Department of Mathematics, Keio University

Formato:	Peer-reviewed Article,
Enlaces:	The solution of the Langevin equation driven by a Lévy process noise has been well studied, under the name of Ornstein-Uhlenbeck type process. It is a stationary Markov process. When the noise is fractional Brownian motion, the covariance of the…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

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154.

Exponential Asymptotic Stability of Linear Ito-Volterra Equation with Damped Stochastic Perturbations
Appleby, John A. D.; Dublin City University, Ireland - Freeman, Alan; Dublin City University, Ireland

Formato:	Peer-reviewed Article,
Enlaces:	This paper studies the convergence rate of solutions of the linear Ito-Volterra equation $$ dX(t) = \left(AX(t) + \int_{0}^{t} K(t-s)X(s),ds\right)\,dt + \Sigma(t)\,dW(t) \tag{1} $$ where $K$ and $\Sigma$ are continuous matrix-valued functions defined on $\mathbb{R}^{+}$, and $(W(t))_{t \geq 0}$ is…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

Recurso libre

155.

Degenerate Variance Control in the One-dimensional Stationary Case
Ocone, Daniel L; Rutgers University - Weerasinghe, Ananda; Iowa State University

Formato:	Peer-reviewed Article,
Enlaces:	We study the problem of stationary control by adaptive choice of the diffusion coefficient in the case that control degeneracy is allowed and the drift admits a unique, asymptotically stable equilibrium point. We characterize the optimal value and obtain it…
Fecha:	2003-01-01
Recurso:	Electronic journal of probability

Recurso libre

156.

Chains with Complete Connections and One-Dimensional Gibbs Measures
Fernandez, Roberto; Laboratoire de mathematiques Raphael Salem, Universite de Rouen - Maillard, Gregory; Laboratoire de mathematiques Raphael Salem, Universite de Rouen

Formato:	Peer-reviewed Article,
Enlaces:	We discuss the relationship between one-dimensional Gibbs measures and discrete-time processes (chains). We consider finite-alphabet (finite-spin) systems, possibly with a grammar (exclusion rule). We establish conditions for a stochastic process to define a Gibbs measure and vice versa. Our conditions…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

157.

Level Sets of Multiparameter Brownian Motions
Nualart, Eulalia; Université de Paris 6 - Mountford, Thomas S.; Ecole Polytechnique Fédérale de Lausanne

Formato:	Peer-reviewed Article,
Enlaces:	We use Girsanov's theorem to establish a conjecture of Khoshnevisan, Xiao and Zhong that $\phi(r) = r^{N-d/2} (\log \log (\frac{1}{r}))^{d/2}$ is the exact Hausdorff measure function for the zero level set of an $N$-parameter $d$-dimensional additive Brownian motion. We extend…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

158.

A non-uniform bound for translated Poisson approximation
Barbour, Andrew D; Universitat Zurich - Choi, Kwok Pui; National University of Singapore

Formato:	Peer-reviewed Article,
Enlaces:	Let $X_1, \ldots , X_n$ be independent, integer valued random variables, with $p^{\text{th}}$ moments, $p >2$, and let $W$ denote their sum. We prove bounds analogous to the classical non-uniform estimates of the error in the central limit theorem, but…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

159.

Brownian Bridge Asymptotics for Random $p$-Mappings
Aldous, David; University of California, Berkeley - Miermont, Gregory; Ecole Normale Superieure - Pitman, Jim; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	The Joyal bijection between doubly-rooted trees and mappings can be lifted to a transformation on function space which takes tree-walks to mapping-walks. Applying known results on weak convergence of random tree walks to Brownian excursion, we give a conceptually simpler…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

160.

The Genealogy of Self-similar Fragmentations with Negative Index as a Continuum Random Tree
Haas, Bénédicte; Université Pierre et Marie Curie - Miermont, Grégory; DMA, Ecole Normale Supérieure, et Université Paris VI

Formato:	Peer-reviewed Article,
Enlaces:	We encode a certain class of stochastic fragmentation processes, namely self-similar fragmentation processes with a negative index of self-similarity, into a metric family tree which belongs to the family of Continuum Random Trees of Aldous. When the splitting times of…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

161.

A Singular Parabolic Anderson Model
Mueller, Carl E; University of Rochester - Tribe, Roger; University of Warwick

Formato:	Peer-reviewed Article,
Enlaces:	We consider the heat equation with a singular random potential term. The potential is Gaussian with mean 0 and covariance given by a small constant times the inverse square of the distance. Solutions exist as singular measures, under suitable assumptions…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

162.

Differential Operators and Spectral Distributions of Invariant Ensembles from the Classical Orthogonal Polynomials. The Continuous Case
Ledoux, Michel; Université de Toulouse

Formato:	Peer-reviewed Article,
Enlaces:	Following the investigation by U. Haagerup and S. Thorbjornsen, we present a simple differential approach to the limit theorems for empirical spectral distributions of complex random matrices from the Gaussian, Laguerre and Jacobi Unitary Ensembles. In the framework of abstract…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

163.

Percolation Transition for Some Excursion Sets
Garet, Olivier; Université d'Orléans, France

Formato:	Peer-reviewed Article,
Enlaces:	We consider a random field $(X_n)_{n\in\mathbb{Z}^d}$ and investigate when the set $A_h=\{k\in\mathbb{Z}^d; \vert X_k\vert \ge h\}$ has infinite clusters. The main problem is to decide whether the critical level $$h_c=\sup\{h\in R : P(A_h\text{ has an infinite cluster })>0\}$$ is neither…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

164.

Hierarchical Equilibria of Branching Populations
Dawson, Donald A.; Carleton University - Gorostiza, Luis G.; Centro de Investigacion y de Estudios Avanzados, Mexico D.F., Mexico - Wakolbinger, Anton; Goethe Universitat, Frankfurt am Main, Germany

Formato:	Peer-reviewed Article,
Enlaces:	Abstract. The objective of this paper is the study of the equilibrium behavior of a population on the hierarchical group $\Omega_N$ consisting of families of individuals undergoing critical branching random walk and in addition these families also develop according to…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

165.

Coupling Iterated Kolmogorov Diffusions
Kendall, Wilfrid S; University of Warwick - Price, Catherine J.; Lehman Brothers

Formato:	Peer-reviewed Article,
Enlaces:	The Kolmogorov-1934 diffusion is the two-dimensional diffusion generated by real Brownian motion and its time integral. In this paper we construct successful co-adapted couplings for iterated Kolmogorov diffusions defined by adding iterated time integrals as further components to the original…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

166.

Intrinsic Coupling on Riemannian Manifolds and Polyhedra
von Renesse, Max-K.; Technical University Berlin

Formato:	Peer-reviewed Article,
Enlaces:	Starting from a central limit theorem for geometric random walks we give an elementary construction of couplings between Brownian motions on Riemannian manifolds. This approach shows that cut locus phenomena are indeed inessential for Kendall's and Cranston's stochastic proof of…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

167.

Reconstructing a Multicolor Random Scenery seen along a Random Walk Path with Bounded Jumps
Loewe, Matthias; University Muenster - Matzinger, Heinrich; Georgia Tech - Merkl, Franz; Leiden University

Formato:	Peer-reviewed Article,
Enlaces:	Kesten noticed that the scenery reconstruction method proposed by Matzinger in his PhD thesis relies heavily on the skip-free property of the random walk. He asked if one can still reconstruct an i.i.d. scenery seen along the path of a…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

168.

Multifractal Analysis of a Class of Additive Processes with Correlated Non-Stationary Increments
Barral, Julien; INRIA Rocquencourt, France - Véhel, Jacques Lévy; NRIA Rocquencourt, France

Formato:	Peer-reviewed Article,
Enlaces:	We consider a family of stochastic processes built from infinite sums of independent positive random functions on $R_+$. Each of these functions increases linearly between two consecutive negative jumps, with the jump points following a Poisson point process on $R_+$.…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

169.

Asymptotic Distributions and Berry-Esseen Bounds for Sums of Record Values
Shao, Qi-Man; University of Oregon and National University of Singapore - Su, Chun; University of Science an Technology of China - Wei, Gang; Hong Kong Baptist University

Formato:	Peer-reviewed Article,
Enlaces:	Let $\{U_n, n \geq 1\}$ be independent uniformly distributed random variables, and $\{Y_n, n \geq 1\}$ be independent and identically distributed non-negative random variables with finite third moments. Denote $S_n = \sum_{i=1}^n Y_i$ and assume that $ (U_1, \cdots, U_n)$…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

170.

Nonliner Filtering for Reflecting Diffusions in Random Enviroments via Nonparametric Estimation
Kouritzin, Michael A.; University of Alberta, Canada - Sun, Wei; University of Alberta and Concordia University, Canada - Xiong, Jie; University of Tennessee

Formato:	Peer-reviewed Article,
Enlaces:	We study a nonlinear filtering problem in which the signal to be estimated is a reflecting diffusion in a random environment. Under the assumption that the observation noise is independent of the signal, we develop a nonparametric functional estimation method…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

171.

Asymptotic Laws for Nonconservative Self-similar Fragmentations
Bertoin, Jean; Université Paris VI - Gnedin, Alexander V.; Rijksuniversiteit Utrecht, The Netherlands

Formato:	Peer-reviewed Article,
Enlaces:	We consider a self-similar fragmentation process in which the generic particle of mass $x$ is replaced by the offspring particles at probability rate $x^\alpha$, with positive parameter $\alpha$. The total of offspring masses may be both larger or smaller than…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

172.

A General Analytical Result for Non-linear SPDE's and Applications
Denis, Laurent; Université du Maine, France - Stoica, L.; University of Bucharest, Romania

Formato:	Peer-reviewed Article,
Enlaces:	Using analytical methods, we prove existence uniqueness and estimates for s.p.d.e. of the type $$ du_t+Au_tdt+f ( t,u_t ) dt+R g(t, u_t ) dt=h(t,x,u_t) dB_t, $$ where $A$ is a linear non-negative self-adjoint (unbounded) operator, $f$ is a nonlinear function…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

173.

The Beurling Estimate for a Class of Random Walks
Lawler, Gregory F; Cornell University - Limic, Vlada; University of British Columbia

Formato:	Peer-reviewed Article,
Enlaces:	An estimate of Beurling states that if $K$ is a curve from $0$ to the unit circle in the complex plane, then the probability that a Brownian motion starting at $-\varepsilon$ reaches the unit circle without hitting the curve is…
Fecha:	2004-01-01
Recurso:	Electronic journal of probability

Recurso libre

174.

Semi-martingales and rough paths theory
Coutin, Laure; Laboratoire de Statistique et Probabilités, Université Paul Sabatier - Lejay, Antoine; Projet OMEGA (INRIA Lorraine/IECN)

Formato:	Peer-reviewed Article,
Enlaces:	We prove that the theory of rough paths, which is used to define path-wise integrals and path-wise differential equations, can be used with continuous semi-martingales. We provide then an almost sure theorem of type Wong-Zakai. Moreover, we show that the…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

175.

Large Deviations on Moment Spaces
Lozada-Chang, Li-Vang; Université Paul Sabatier, France

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we study asymptotic behavior of some moment spaces. We consider two different settings. In the first one, we work with ordinary multi-dimensional moments on the standard $m$-simplex. In the second one, we deal with the trigonometric moments…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

176.

Competing super-Brownian motions as limits of interacting particle systems
Durrett, Richard; Cornell University - Mytnik, Leonid; Technion - Perkins, Edwin; The University of British Columbia

Formato:	Peer-reviewed Article,
Enlaces:	We study two-type branching random walks in which the birth or death rate of each type can depend on the number of neighbors of the opposite type. This competing species model contains variants of Durrett's predator-prey model and Durrett and…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

177.

An Almost Sure Invariance Principle for Renormalized Intersection Local Times
Bass, Richard F.; University of Connecticut, USA - Rosen, Jay; City University of New York, USA

Formato:	Peer-reviewed Article,
Enlaces:	Let $\beta_k(n)$ be the number of self-intersections of order $k$, appropriately renormalized, for a mean zero planar random walk with $2+\delta$ moments. On a suitable probability space we can construct the random walk and a planar Brownian motion $W_t$ such…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

178.

Distance Estimates for Poisson Process Approximations of Dependent Thinnings
Schuhmacher, Dominic; Université Zürich, Switzerland

Formato:	Peer-reviewed Article,
Enlaces:	It is well known, that under certain conditions, gradual thinning of a point process on $R^d_+$, accompanied by a contraction of space to compensate for the thinning, leads in the weak limit to a Cox process. In this article, we…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

179.

Alpha-Stable Branching and Beta-Coalescents
Birkner, Matthias; Weierstrass Institute for Applied Analysis and Stochastics, Germany - Blath, Jochen; University of Oxford, UK - Capaldo, Marcella; University of Oxford, UK - Etheridge, Alison M.; University of Oxford, UK - Möhle, Martin; University of Tübingen, Germany - Schweinsberg, Jason; University of California at San Diego, USA - Wakolbinger, Anton; J. W. Goethe Universität

Formato:	Peer-reviewed Article,
Enlaces:	We determine that the continuous-state branching processes for which the genealogy, suitably time-changed, can be described by an autonomous Markov process are precisely those arising from $\alpha$-stable branching mechanisms. The random ancestral partition is then a time-changed $\Lambda$-coalescent, where $\Lambda$…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

180.

Quadratic Variations along Irregular Subdivisions for Gaussian Processes
Begyn, Arnaud; Laboratoire de statistiques et probabilites, Universit&eacute Paul Sabatier, Fra

Formato:	Peer-reviewed Article,
Enlaces:	In this paper we deal with second order quadratic variations along general subdivisions for processes with Gaussian increments. These have almost surely a deterministic limit under conditions on the mesh of the subdivisions. This limit depends on the singularity function…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

181.

Fixed Points of the Smoothing Transform: the Boundary Case
Biggins, John D; University of Sheffield - Kyprianou, Andreas E; Heriot-Watt University

Formato:	Peer-reviewed Article,
Enlaces:	Let $A=(A_1,A_2,A_3,\ldots)$ be a random sequence of non-negative numbers that are ultimately zero with $E[\sum A_i]=1$ and $E \left[\sum A_{i} \log A_i \right] \leq 0$. The uniqueness of the non-negative fixed points of the associated smoothing transform is considered. These…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

182.

Large Deviations for Local Times of Stable Processes and Stable Random Walks in 1 Dimension
Chen, Xia; University of Tennessee, USA - Li, Wenbo; University of Delaware, USA - Rosen, Jay; College of Staten Island, CUNY, USA

Formato:	Peer-reviewed Article,
Enlaces:	In Chen and Li (2004), large deviations were obtained for the spatial $L^p$ norms of products of independent Brownian local times and local times of random walks with finite second moment. The methods of that paper depended heavily on the…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

183.

On Lévy processes conditioned to stay positive.
Chaumont, Loïc; LPMA - Université Paris 6 - Doney, Ronald Arthur; Department of Mathematics- University of Manchester

Formato:	Peer-reviewed Article,
Enlaces:	We construct the law of Lévy processes conditioned to stay positive under general hypotheses. We obtain a Williams type path decomposition at the minimum of these processes. This result is then applied to prove the weak convergence of the law…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

184.

One-dimensional Random Field Kac's Model: Localization of the Phases
Cassandro, Marzio; Dipartimento di Fisica, universita di Roma La Sapienza, Italy - Orlandi, Enza; Dipartimento di Matematica, Universita di Roma Tre, Italy - Picco, Pierre; CPT-CNRS, UMR 6207,Luminy Marseille, France - Vares, Maria Eulalia; CBPF, Rio de Janeiro, Brasil

Formato:	Peer-reviewed Article,
Enlaces:	We study the typical profiles of a one dimensional random field Kac model, for values of the temperature and magnitude of the field in the region of two absolute minima for the free energy of the corresponding random field Curie…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

185.

Random Recursive Trees and the Bolthausen-Sznitman Coalesent
Goldschmidt, Christina; Statistical Laboratory and Pembroke College, University of Cambridge, UK - Martin, James B.; CNRS and Université Paris 7, France

Formato:	Peer-reviewed Article,
Enlaces:	We describe a representation of the Bolthausen-Sznitman coalescent in terms of the cutting of random recursive trees. Using this representation, we prove results concerning the final collision of the coalescent restricted to $[n]$: we show that the distribution of the…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

186.

On the Hedging of American Options in Discrete Time with Proportional Transaction Costs
Bouchard, Bruno; Université Paris 6 and CREST, France - Teman, Emmanuel; Université Paris 6, France

Formato:	Peer-reviewed Article,
Enlaces:	In this note, we consider a general discrete time financial market with proportional transaction costs as in Kabanov and Stricker (2001), Kabanov et al. (2002), Kabanov et al. (2003) and Schachermayer (2004). We provide a dual formulation for the set…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

187.

Stein's Method and Descents after Riffle Shuffles
Fulman, Jason; University of Pittsburgh, USA

Formato:	Peer-reviewed Article,
Enlaces:	Abstract. Berestycki and Durrett used techniques from random graph theory to prove that the distance to the identity after iterating the random transposition shuffle undergoes a transition from Poisson to normal behavior. This paper establishes an analogous result for distance…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

188.

Equilibrium Fluctuations for a One-Dimensional Interface in the Solid on Solid Approximation
Posta, Gustavo; Politecnico di Milano, Italy

Formato:	Peer-reviewed Article,
Enlaces:	An unbounded one-dimensional solid-on-solid model with integer heights is studied. Unbounded here means that there is no a priori restrictions on the discrete gradient of the interface. The interaction Hamiltonian of the interface is given by a finite range part,…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

189.

A General Stochastic Maximum Principle for Singular Control Problems
Bahlali, Seid; University Med Khider, Algeria - Mezerdi, Brahim; University Med Khider, Algeria

Formato:	Peer-reviewed Article,
Enlaces:	We consider the stochastic control problem in which the control domain need not be convex, the control variable has two components, the first being absolutely continuous and the second singular. The coefficients of the state equation are non linear and…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

190.

Sample Path Large Deviations Principles for Poisson Shot Noise Processes and Applications
Ganesh, Ayalvadi; Microsoft Research - Macci, Claudio; Universita degli Studi di Roma - Torrisi, Giovanni Luca; Istituto per le Applicazioni del Calcolo

Formato:	Peer-reviewed Article,
Enlaces:	This paper concerns sample path large deviations for Poisson shot noise processes, and applications in queueing theory. We first show that, under an exponential tail condition, Poisson shot noise processes satisfy a sample path large deviations principle with respect to…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

191.

Distributions of Invariant Ensembles from the Classical Orthogonal Polynimials: the Discrete Case
Ledoux, Michel; Université Toulouse

Formato:	Peer-reviewed Article,
Enlaces:	We examine the Charlier, Meixner, Krawtchouk and Hahn discrete orthogonal polynomial ensembles, deeply investigated by K. Johansson, using integration by parts for the underlying Markov operators, differential equations on Laplace transforms and moment equations. As for the matrix ensembles, equilibrium…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

192.

A Rate-Optimal Trigonometric Series Expansion of the Fractional Brownian Motion
Iglói, Endre; University of Debrecen

Formato:	Peer-reviewed Article,
Enlaces:	Let $B^{(H)}(t),t\in\lbrack -1,1]$, be the fractional Brownian motion with Hurst parameter $H\in (1/2,1)$. In this paper we present the series representation $B^{(H)}(t)=a_{0}t\xi_{0}+\sum_{j =1}^{\infty }a_{j}( (1-\cos (j\pi t))\xi_{j}+\sin (j\pi t)\widetilde{\xi }_{j}), t\in \lbrack -1,1]$, where $a_{j},j\in \mathbb{N}\cup {0}$, are constants given…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

193.

Limit Theorems for Self-Normalized Large Deviation
Wang, Qiying; University of Sydney

Formato:	Peer-reviewed Article,
Enlaces:	Let $X, X_1, X_2, \cdots $ be i.i.d. random variables with zero mean and finite variance $\sigma^2$. It is well known that a finite exponential moment assumption is necessary to study limit theorems for large deviation for the standardized partial…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

194.

The Exact Asymptotic of the Time to Collision
Puchala, Zbigniew; Wroclaw University - Rolski, Tomasz; Wroclaw University

Formato:	Peer-reviewed Article,
Enlaces:	In this note we consider the time of the collision $\tau$ for $n$ independent copies of Markov processes $X^1_t,. . .,X^n_t$, each starting from $x_i$,where $x_1 <. . .< x_n$. We show that for the continuous time random walk $P_{x}(\tau…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

195.

Random Walks on Groups and Monoids with a Markovian Harmonic Measure
Jean, Mairesse; CNRS - Universite Paris 7

Formato:	Peer-reviewed Article,
Enlaces:	We consider a transient nearest neighbor random walk on a group $G$ with finite set of generators $S$. The pair $(G,S)$ is assumed to admit a natural notion of normal form words where only the last letter is modified by…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

196.

The Steepest Descent Method for Forward-Backward SDEs
Cvitanic, Jaksa; California Institute of Technology, USA - Zhang, Jianfeng; University of Southern California, USA

Formato:	Peer-reviewed Article,
Enlaces:	This paper aims to open a door to Monte-Carlo methods for numerically solving Forward-Backward SDEs, without computing over all Cartesian grids as usually done in the literature. We transform the FBSDE to a control problem and propose the steepest descent…
Fecha:	2005-01-01
Recurso:	Electronic journal of probability

Recurso libre

197.

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

198.

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

199.

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

200.

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