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Aproximadamente 444 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

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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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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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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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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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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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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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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10.

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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11.

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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12.

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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13.

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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14.

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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15.

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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16.

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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17.

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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18.

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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19.

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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20.

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

Recurso libre

21.

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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22.

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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23.

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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24.

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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25.

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

Recurso libre

26.

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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27.

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

Recurso libre

28.

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

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29.

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

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30.

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

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31.

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

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32.

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

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33.

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

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34.

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

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35.

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

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36.

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

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37.

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

38.

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

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39.

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

40.

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

41.

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

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42.

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

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43.

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

44.

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

45.

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

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46.

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

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47.

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

48.

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

49.

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

50.

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