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"Electronic communications in probability"

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

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51.

Subdiagonal and Almost Uniform Distributions
Ressel, Paul; Katholische Universität Eichstätt

Formato:	Peer-reviewed Article,
Enlaces:	A distribution (function) $F$ on $[0,1]$ with $F(t)$ less or equal $t$ for all $t$ is called subdiagonal. The extreme subdiagonal distributions are identified as those whose distribution functions are almost surely the identity, or equivalently for which $F \circ…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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52.

A Note on Reflecting Brownian Motions
Soucaliuc, Florin; Université Paris-Sud - Werner, Wendelin; Université Paris-Sud and IUF

Formato:	Peer-reviewed Article,
Enlaces:	We give another proof of the following result from a joint paper with Bálint Tóth: A Brownian motion reflected on an independent time-reversed Brownian motion is a Brownian motion.
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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53.

On Nodal Lines of Neumann Eigenfunctions
Atar, Rami; Technion - Israel Institute of Technology - Burdzy, Krzysztof; University of Washington

Formato:	Peer-reviewed Article,
Enlaces:	We present a new method for locating the nodal line of the second eigenfunction for the Neumann problem in a planar domain.
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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54.

Tightness of the Student $t$-Statistic
Griffin, Philip S.; Syracuse University

Formato:	Peer-reviewed Article,
Enlaces:	Let $X, X_1, X_2, \dots $ be a sequence of nondegenerate, independent and identically distributed random variables and set $S_n=X_1+\dots +X_n$, $V_n^2=X_1^2+\dots +X_n^2$. We answer a question of Gotze, Gine and Mason by providing a simple necessary and sufficient condition…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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55.

A Non-Ballistic Law of Large Numbers for Random Walks in I.I.D. Random Environment
Zerner, Martin P. W.; Stanford University

Formato:	Peer-reviewed Article,
Enlaces:	We prove that random walks in i.i.d. random environments which oscillate in a given direction have velocity zero with respect to that direction. This complements existing results thus giving a general law of large numbers under the only assumption of…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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56.

Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem
Mikami, Toshio; Hokkaido University

Formato:	Peer-reviewed Article,
Enlaces:	We study the optimal control problem for $\mathbb{R}^d$-valued absolutely continuous stochastic processes with given marginal distributions at every time. When $d=1$, we show the existence and the uniqueness of a minimizer which is a function of a time and an…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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57.

Continuous Ocone Martingales as Weak Limits of Rescaled Martingales
Zanten, Harry van; Vrije Universiteit Amsterdam

Formato:	Peer-reviewed Article,
Enlaces:	Consider a martingale $M$ with bounded jumps and two sequences $a_n, b_n \to \infty$. We show that if the rescaled martingales $$ M^n_t =\frac{1}{\sqrt{a_n}}M_{b_n t}$$ converge weakly, then the limit is necessarily a continous Ocone martingale. Necessary and sufficient conditions…
Fecha:	2002-01-01
Recurso:	Electronic communications in probability

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58.

The Mean of a Maximum Likelihood Estimator Associated with the Brownian Bridge
Gao, Fuchang; University of Idaho

Formato:	Peer-reviewed Article,
Enlaces:	A closed formula for the mean of a maximum likelihood estimator associated with the Brownian bridge is obtained; the exact relation with that of the Brownian motion is established.
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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59.

Random Walks that Avoid Their Past Convex Hull
Angel, Omer; Weizmann Institute of Science - Benjamini, Itai; Weizmann Institute of Science - Virág, Bálint; MIT

Formato:	Peer-reviewed Article,
Enlaces:	We explore planar random walk conditioned to avoid its past convex hull. We prove that it escapes at a positive lim sup speed. Experimental results show that fluctuations from a limiting direction are on the order of $n^{3/4}$. This behavior…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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60.

SLE and Triangles
Dubédat, Julien; Université Paris-Sud

Formato:	Peer-reviewed Article,
Enlaces:	By analogy with Carleson's observation on Cardy's formula describing crossing probabilities for the scaling limit of critical percolation, we exhibit ``privileged geometries'' for Stochastic Loewner Evolutions with various parameters, for which certain hitting distributions are uniformly distributed. We then examine…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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61.

Central Limit Theorems for the Products of Random Matrices Sampled by a Random Walk
Duheille-Bienvenue, Frédérique; Université Claude Bernard - Lyon 1 - Guillotin-Plantard, Nadine; Université Claude Bernard - Lyon 1

Formato:	Peer-reviewed Article,
Enlaces:	The purpose of the present paper is to study the asymptotic behaviour of the products of random matrices indexed by a random walk following the results obtained by Furstenberg and Kesten (MR53:14670) and by Ishitani (MR 53:14670).
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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62.

Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus
Gobet, Emmanuel; Centre de Mathématiques Appliquées - Kohatsu-Higa, Arturo; Universitat Pompeu Fabra

Formato:	Peer-reviewed Article,
Enlaces:	In this article, we consider the numerical computations associated to the Greeks of barrier and lookback options, using Malliavin calculus. For this, we derive some integration by parts formulae involving the maximum and minimum of a one dimensional diffusion. Numerical…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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63.

Mixing Time of the Rudvalis Shuffle
Wilson, David Bruce; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	We extend a technique for lower-bounding the mixing time of card-shuffling Markov chains, and use it to bound the mixing time of the Rudvalis Markov chain, as well as two variants considered by Diaconis and Saloff-Coste. We show that in…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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64.

Excited Random Walk
Benjamini, Itai; Weizmann Institute, Rehovot 76100, Israel - Wilson, David Bruce; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	A random walk on $\mathbb{Z}^d$ is excited if the first time it visits a vertex there is a bias in one direction, but on subsequent visits to that vertex the walker picks a neighbor uniformly at random. We show that…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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65.

A System of Differential Equations for the Airy Process
Tracy, Craig A; University of California, Davis - Widom, Harold; University of California, Santa Cruz

Formato:	Peer-reviewed Article,
Enlaces:	The Airy process is characterized by its $m$-dimensional distribution functions. For $m=1$ it is known that this distribution function is expressible in terms of a solution to Painleve II. We show that each finite-dimensional distribution function is expressible in terms…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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66.

Smoothness of the law of the supremum of the fractional Brownian motion
Zaïdi, Noureddine Lanjri; Université Ibn Tofaïl, Kénitra, Maroc - Nualart, David; Universitat de Barcelona

Formato:	Peer-reviewed Article,
Enlaces:	This note is devoted to prove that the supremum of a fractional Brownian motion with Hurst parameter $H\in \left( 0,1\right)$ has an infinitely differentiable density on $\left( 0,\infty \right)$. The proof of this result is based on the techniques of…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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67.

Microscopic structure of a decreasing shock for the asymmetric $k$-step exclusion process
Guiol, Herve; IMA-EPFL - Ravishankar, Krishnamurthi; SUNY, College at New Paltz - Saada, Ellen; CNRS Rouen

Formato:	Peer-reviewed Article,
Enlaces:	The asymmetric $k$-step exclusion processes are the simplest interacting particle systems whose hydrodynamic equation may exhibit both increasing and decreasing entropic shocks under Euler scaling. We prove that, under Riemann initial condition with right density zero and adequate left density,…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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68.

Strict Convexity of the Limit Shape in First-Passage Percolation
Lalley, Steven P.; Department of Statistics, University of Chicago

Formato:	Peer-reviewed Article,
Enlaces:	Sufficient conditions are given for the strict convexity of the limit shape in standard first-passage percolation. These conditions involve (1) asymptotic ``straightness'' of the geodesics, and (2) existence of mean-zero limit distributions for the first-passage times.
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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69.

Path transformations of first passage bridges
Bertoin, Jean; Universite Pierre et Marie Curie - Chaumont, Loic; Universite Pierre et Marie Curie - Pitman, Jim; University of California at Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	We define the first passage bridge from 0 to $\lambda$ as the Brownian motion on the time interval $[0,1]$ conditioned to first hit $\lambda$ at time 1. We show that this process may be related to the Brownian bridge, the…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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70.

Inequality of Two Critical Probabilities for Percolation
Kahn, Jeff; Rutgers University, USA

Formato:	Peer-reviewed Article,
Enlaces:	We disprove a conjecture of Russ Lyons---that for every locally finite, connected graph $G$, the critical probability for (Bernoulli bond) percolation on $G$ is equal to the "first moment method" lower bound on this probability---and propose a possible alternative.
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

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71.

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

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

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72.

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

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

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73.

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

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

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74.

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

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

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75.

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

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

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76.

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

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

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77.

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

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

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78.

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

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

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79.

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

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

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80.

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

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

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81.

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

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

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82.

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

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

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83.

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

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

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84.

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

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

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85.

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

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

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86.

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

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

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87.

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

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

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88.

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

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

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89.

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

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

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90.

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

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

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91.

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

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

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92.

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

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

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93.

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

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

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94.

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

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

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95.

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

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

Recurso libre

96.

Sampling Formulae for Symmetric Selection
Handa, Kenji; Saga University

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

Recurso libre

97.

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

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

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98.

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

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

Recurso libre

99.

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

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

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100.

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

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