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The location of the unique supremum of a stationary process on an interval does not need to be uniformly distributed over that interval. We describe all possible distributions of the supremum location for a broad class of such stationary processes. |
Let $G=G(n,p_n)$ be a homogeneous Erdös-Rényi graph, and $A$ its adjacency matrix with eigenvalues $\lambda_1(A) \geq \lambda_2(A) \geq ... \geq \lambda_n(A). $ Local laws have been used to show that $lambda_2(A)$ can exhibit fundamentally different behaviors: Tracy-Widom ($p_n \gg n^{-2/3}$), normal ($n^{-7/9} \ll p_n... |
A direct approach to linear backward filtering equations for SDE systems is proposed. This preprint is a corrected version of the paper 1995 in the LMS Lecture Notes combined with another paper by the author on the direct approach to linear SPDEs for SDEs. |
In the literatur there exist approximation methods for McKean-Vlasov stochastic differential equations which have a computational effort of order $3$. In this article we introduce full-history recursive multilevel Picard (MLP) approximations for McKean-Vlasov stochastic differential equations. |
To profit from price oscillations, investors frequently use threshold-type strategies where changes in the portfolio position are triggered by some indicators reaching prescribed levels. In this paper, we investigate threshold-type strategies in the context of ergodic control. |
Let $\Xi$ be an open and bounded subset of $\bb R^d$, and let $F:\Xi\to\bb R$ be a twice continuously differentiable function. Denote by $\Xi_N$ th discretization of $\Xi$, $\Xi_N = \Xi \cap (N^{-1} \bb Z^d)$, and denote by $X_N(t)$ the continuous-time, nearest-neighbor, random walk on $\Xi_N$ which jumps from $\bs x$... |
We prove that the spectral gap of the Swendsen-Wang dynamics for the random-cluster model is larger than the spectral gap of a single-bond dynamics, that updates only a single edge per step. For this we give a representation of the algorithms on the joint (Potts/random-cluster) model. |
We derive a perturbation expansion for general self-interacting random walks, where steps are made on the basis of the history of the path. Examples of models where this expansion applies are reinforced random walk, excited random walk, the true (weakly) self-avoiding walk, loop-erased random walk, and annealed random... |
We look at the semigroup generated by a system of heat equations. Applications to testing normality and option pricing are addressed. |
We present three sets of results for the stationary distribution of a two-dimensional semimartingale reflecting Brownian motion (SRBM) that lives in the nonnegative quadrant. The SRBM data can equivalently be specified by three geometric objects, an ellipse and two lines, in the two-dimensional Euclidean space. |
We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate conditions, we show that the game has a value and construct a saddle pair of optim... |
Let $(X_t,t\geq0)$ be a continuous time simple random walk on $\mathbb{Z}^d$ ($d\geq3$), and let $l_T(x)$ be the time spent by $(X_t,t\geq0)$ on the site $x$ up to time $T$. We prove a large deviations principle for the $q$-fold self-intersection local time $I_T=\sum_{x\in\mathbb{Z}^d}l_T(x)^q$ in the critical case $q... |
We consider the planar Ising model in rectangle $(\Omega; x^L, x^R, y^R, y^L)$ with alternating boundary condition: $\ominus$ along $(x^Lx^R)$ and $(y^Ry^L)$, $\xi^R\in\{\oplus, \text{free}\}$ along $(x^Ry^R)$, and $\xi^L\in\{\oplus, \text{free}\}$ along $(y^Lx^L)$. We prove that the interface of critical Ising model ... |
We study the convergence to the multiple Wiener-Itô integral from processes with absolutely continuous paths. More precisely, consider a family of processes, with paths in the Cameron-Martin space, that converges weakly to a standard Brownian motion in $\mathcal C_0([0,T])$. |
We prove that random triangulations of types I, II, and III with a simple boundary under the critical Boltzmann weight converge in the scaling limit to the Brownian disk. The proof uses a bijection due to Poulalhon and Schaeffer between type III triangulations of the $p$-gon and so-called blossoming forests. |
We investigate the number of real zeros of a univariate $k$-sparse polynomial $f$ over the reals, when the coefficients of $f$ come from independent standard normal distributions. Recently Bürgisser, Ergür and Tonelli-Cueto showed that the expected number of real zeros of $f$ in such cases is bounded by $O(\sqrt{k} \l... |
This paper considers an approximation usually used when implementing Ramaswami's recursion for the stationary distribution of the M/G/1-type Markov chain. The approximation is called the level-increment-truncation approximation because it truncates level increment at a given threshold. |
We consider Markov processes that alternate continuous motions and jumps in a general locally compact polish space. Starting from a mechanistic construction, a first contribution of this article is to provide conditions on the dynamics so that the associated transition kernel forms a Feller semigroup, and to deduce th... |
The aim of this paper is to study the behavior of the weighted empirical measures of the decreasing step Euler scheme of a one-dimensional diffusion process having multiple invariant measures. This situation can occur when the drift and the diffusion coefficient are vanish simultaneously. |
This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a probabilistic representation. Assuming that there is a solution to the BSDE or to the co... |
We consider networks where each node represents a server with a queue. An active node deactivates at unit rate. |
When the arrival processes are Poisson, queueing networks are well-understood in terms of the product-form structure of the number of jobs $N_i$ at the individual queues; much less is known about the waiting time $W$ across the whole network. In turn, for non-Poisson arrivals, little is known about either $N_i$'s ... |
We establish estimates for the coalescence time of semi-infinite directed geodesics in the planar corner growth model with i.i.d. exponential weights. There are four estimates: upper and lower bounds on the probabilities of both fast and slow coalescence on the correct spatial scale with exponent $3/2$. |
Let $\{\mu(\cdot,t):t\geq0\}$ be the family of probability measures corresponding to the solution of the inelastic Kac model introduced in Pulvirenti and Toscani [\textit{J. Stat. |
We prove limit theorems for sums of functions of subtrees of binary search trees and random recursive trees. In particular, we give simple new proofs of the fact that the number of fringe trees of size $ k=k_n $ in the binary search tree and the random recursive tree (of total size $ n $) asymptotically has a Poisson ... |
In this paper we give an explicit solution of Dzherbashyan-Caputo-fractional Cauchy problems related to equations with derivatives of order $\nu k$, for $k$ non-negative integer and $\nu>0$. The solution is obtained by connecting the differential equation with the roots of the characteristic polynomial and it is ex... |
We consider two independent random variables with the given tail asymptotic (e.g. power or exponential). We find tail asymptotic for their sum and product. |
We consider regenerative processes with values in some Polish space. We define their \epsilon-big excursions as excursions e such that f(e)>\epsilon, where f is some given functional on the space of excursions which can be thought of as, e.g., the length or the height of e. |
In this paper we investigate the existence and uniqueness of weak solutions for kinetic stochastic differential equations with Hölder diffusion and unbounded singular drifts in Kato's class. Moreover, we also establish sharp two-sided estimates for the density of the solution. |
We consider the standard first passage percolation model in the rescaled graph $\mathbb{Z}^d/n$ for $d\geq 2$, and a domain $\Omega$ of boundary $\Gamma$ in $\mathbb{R}^d$. Let $\Gamma^1$ and $\Gamma^2$ be two disjoint open subsets of $\Gamma$, representing the parts of $\Gamma$ through which some water can enter and ... |
For a long time it is well-known that high-dimensional linear parabolic partial differential equations (PDEs) can be approximated by Monte Carlo methods with a computational effort which grows polynomially both in the dimension and in the reciprocal of the prescribed accuracy. In other words, linear PDEs do not suffer... |
We prove the triviality of the first L2 cohomology class of based path spaces of Riemannian manifolds furnished with Brownian motion measure, and the consequent vanishing of L2 harmonic one-forms. We give explicit formulae for closed and co-closed one-forms expressed as differentials of functions and co-differentials ... |
We provide a probabilistic analysis of the output of Quicksort when comparisons can err. |
In this paper, the Neyman-Pearson lemma for general sublinear expectations is studied. We weaken the assumptions for sublinear expectations in [1] and give a completely new method to study this problem. |
In this paper we study the existence of a unique solution to a general class of Young delay differential equations driven by a Hölder continuous function with parameter greater that 1/2 via the Young integration setting. Then some estimates of the solution are obtained, which allow to show that the solution of a delay... |
We study the hydrodynamic limit for some conservative particle systems with degenerate rates, namely with nearest neighbor exchange rates which vanish for certain configurations. These models belong to the class of {\sl kinetically constrained lattice gases} (KCLG) which have been introduced and intensively studied in... |
Sharp Besov regularities in time and space variables are investigated for $\left(u(t,x),\; t\in [0,T],\; x\in \mathbb{R}\right)$, the mild solution to the stochastic heat equation driven by space-time white noise. Existence, Hölder continuity, and Besov regularity of local times are established for $u(t,x)$ viewed eit... |
We present a unified approach to a couple of central limit theorems for radial random walks on hyperbolic spaces and time-homogeneous Markov chains on the positive half line whose transition probabilities are defined in terms of the Jacobi convolutions. The proofs of all results are based on limit results for the asso... |
The heat kernel on the symmetric space of positive definite Hermitian matrices is used to endow the spaces of Bergman metrics of degree k on a Riemann surface M with a family of probability measures depending on a choice of the background metric. Under a certain matrix-metric correspondence, each positive definite Her... |
For $N,n\in\mathbb N$, consider the sample covariance matrix $$S_N(T)=\frac{1}{N}XX^*$$ from a data set $X=C_N^{1/2}ZT_n^{1/2}$, where $Z=(Z_{i,j})$ is a $N\times n$ matrix having i.i.d. entries with mean zero and variance one, and $C_N, T_n$ are deterministic positive semi-definite Hermitian matrices of dimension $N$ ... |
We consider $n\times n$ random matrices $M_{n}=\sum_{\alpha =1}^{m}{\tau _{\alpha }}\mathbf{y}_{\alpha }\otimes \mathbf{y}_{\alpha }$, where $\tau _{\alpha }\in \mathbb{R}$, $\{\mathbf{y}_{\alpha }\}_{\alpha =1}^{m}$ are i.i.d. isotropic random vectors of $\mathbb{R}^n$, whose components are not necessarily independent... |
Stein operators are differential operators which arise within the so-called Stein's method for stochastic approximation. We propose a new mechanism for constructing such operators for arbitrary (continuous or discrete) parametric distributions with continuous dependence on the parameter. |
We consider the ``visible'' Wigner matrix, a Wigner matrix whose $(i, j)$-th entry is coerced to zero if $i, j$ are co-prime. Using a recent result from elementary number theory on co-primality patterns in integers, we show that the limiting spectral distribution of this matrix exists, and give explicit descri... |
A new method is described for constructing a generalized solution of a stochastic evolution equation. Existence, uniqueness, regularity and a probabilistic representation of this Wiener Chaos solution are established for a large class of equations. |
We investigate Gaussian Laplacian eigenfunctions (Arithmetic Random Waves) on the three-dimensional standard flat torus, in particular the asymptotic distribution of the nodal intersection length against a fixed regular reference surface. Expectation and variance have been addressed by Maffucci (2019) who found that t... |
We focus in this paper on the stochastic stabilization problems of PDEs by Levy noise. Sufficient conditions under which the perturbed systems decay exponentially with a general rate function are provided and some examples are constructed to demonstrate the applications of our theory. |
We derive a non-linear version of the Feynman-Kac formula for the solutions of the vorticity equation in dimension 2 with space periodic boundary conditions. We prove the existence (global in time) and uniqueness for a stochastic terminal value problem associated with the vorticity equation in dimension 2. |
A stochastic mode reduction strategy is applied to multiscale models with a deterministic energy-conserving fast sub-system. Specifically, we consider situations where the slow variables are driven stochastically and interact with the fast sub-system in an energy-conserving fashion. |
We consider Glauber dynamics for the low-temperature, ferromagnetic Ising Model set on the n-dimensional hypercube. We derive precise asymptotic results for the crossover time (the time it takes for the dynamics to go from the configuration with a "-1" at every vertex, to the configuration with a "+1" ... |
In this paper, we prove the well-posedness and op- timal trajectory regularity for the solution of stochastic evolution equations driven by general multiplicative noises in martingale type 2 Banach spaces. The main idea of our method is to combine the approach in [HL] dealing with Hilbert setting and a version of Burk... |
We study the mixing time of the noisy SIS (Susceptible-Infected-Susceptible) model on graphs. The noisy SIS model is a variant of the standard SIS model, which allows individuals to become infected not just due to contacts with infected individuals but also due to external noise. |
We consider a L\' evy process in $\R^d$ $ (d\geq 3)$ with the characteristic exponent \[ \Phi(\xi)=\frac{|\xi|^2}{\ln(1+|\xi|^2)}-1. \] The scale invariant Harnack inequality and apriori estimates of harmonic functions in H\" older spaces are proved. |
This paper studies the asymptotic behavior of the steady-state waiting time, W_infty, of the M/G/1 queue with subexponenential processing times for different combinations of traffic intensities and overflow levels. In particular, we provide insights into the regions of large deviations where the so-called heavy traffi... |
We construct a class of reflection laws for billiard processes in the unit interval whose stationary distribution for the billiard position and its velocity is the product of the uniform distribution and the standard normal distribution. These billiard processes have Markovian reflection laws, meaning their velocity i... |
Stochastic conservation laws are often challenging when it comes to proving existence of non-negative solutions. In a recent work by J. Fischer and G. Grün (2018, Existence of positive solutions to stochastic thin-film equations, SIAM J. Math. Anal.), existence of positive martingale solutions to a conservative stocha... |
In this paper, a many-sources large deviations principle (LDP) for the transient workload of a multi-queue single-server system is established where the service rates are chosen from a compact, convex and coordinate-convex rate region and where the service discipline is the max-weight policy. Under the assumption that... |
We show in this paper that there exists no $H$-fractional Brownian field indexed by the cylinder $\mathbb{S}^1 \times ]0,\varepsilon[$ endowed with its product distance $d$ for any $\varepsilon>0$ and $H>0$. This is equivalent to say that $d^{2H}$ is not a negative definite kernel, which also leaves us without a... |
Under quasi-monotone assumptions for coefficients, we show one kind of comparison theorem for multi-dimensional\textbf{\}backward doubly stochastic differential equations on infinite horizon. An example is given as well. |
We prove a sufficient condition for the two-point function of a statistical mechanical model on $\mathbb{Z}^d$, $d > 2$, to be bounded uniformly near a critical point by $|x|^{-(d-2)} \exp [ -c|x| / \xi ]$, where $\xi$ is the correlation length. The condition is given in terms of a convolution equation satisfied by... |
In many areas of engineering and sciences, decision rules and control strategies are usually designed based on nominal values of relevant system parameters. To ensure that a control strategy or decision rule will work properly when the relevant parameters vary within certain range, it is crucial to investigate how the... |
In this paper we define an infinite-dimensional controlled piecewise deterministic Markov process (PDMP) and we study an optimal control problem with finite time horizon and unbounded cost. This process is a coupling between a continuous time Markov Chain and a set of semilinear parabolic partial differential equation... |
The size of the largest common subtree (maximum agreement subtree) of two independent uniform random binary trees on $n$ leaves is known to be between orders $n^{1/8}$ and $n^{1/2}$. By a construction based on recursive splitting and analyzable by standard "stochastic fragmentation" methods, we improve the low... |
We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying process and with absorption. |
For Brownian surfaces with boundary and an interior marked point, a natural observable to consider is the distance profile, defined as the process of distances from the marked point to a variable point $x$ lying on the boundary. When the boundary is parametrized by the natural length measure on it, this distance profi... |
Let $F$ be a class of functions on a probability space $(\Omega,\mu)$ and let $X_1,...,X_k$ be independent random variables distributed according to $\mu$. We establish high probability tail estimates of the form $\sup_{f \in F} |\{i : |f(X_i)| \geq t \}$ using a natural parameter associated with $F$. |
We present a short, elementary proof not involving Fourier transforms of the theorem of Cramér and Wold that a Borel probability measure is determined by its values on half-spaces. |
Accurate estimation of tail probabilities of projections of high-dimensional probability measures is of relevance in high-dimensional statistics and asymptotic geometric analysis. Whereas large deviation principles identify the asymptotic exponential decay rate of probabilities, sharp large deviation estimates also pr... |
Computing the size of maximum independent sets is a NP-hard problem for fixed graphs. Characterizing and designing efficient algorithms to estimate this independence number for random graphs are notoriously difficult and still largely open issues. |
We review some recent results on connections between Brownian motion, Whittaker functions, random matrices and representation theory. |
We consider two methods to establish log-Sobolev inequalities for the invariant measure of a diffusion process when its density is not explicit and the curvature is not positive everywhere. In the first approach, based on the Holley-Stroock and Aida-Shigekawa perturbation arguments [J. Stat. Phys., 46(5-6):1159-1194, ... |
It is well know that $SLE_\kappa$ curves exhibit a phase transition at $\kappa=4$. For $\kappa\le 4$ they are simple curves with probability one, for $\kappa>4$ they are not. |
We describe simple properties of some soups of unoriented Markov loops and of some soups of oriented Markov loops that can be interpreted as a spatial Markov property of these loop-soups. This property of the latter soup is related to well-known features of the uniform spanning trees (such as Wilson's algorithm) w... |
In this paper, we introduce the concept of $S^{2}$-weighted pseudo almost automorphy for stochastic processes. We study the existence and uniqueness of square-mean weighted pseudo almost automorphic solutions for the semilinear stochastic integral equation $x |
We consider a two-player search game on a tree $T$. One vertex (unknown to the players) is randomly selected as the target. |
Let $\DD$ be a simply connected, smooth enough domain of $\bbR^2$. For $L>0$ consider the continuous time, zero-temperature heat bath dynamics for the nearest-neighbor Ising model on $\mathbb Z^2$ with initial condition such that $\sigma_x=-1$ if $x\in L\DD$ and $\sigma_x=+1$ otherwise. |
We obtain the limiting distribution of the nodal area of random Gaussian Laplace eigenfunctions on $\mathbb{T}^3= \mathbb{R}^3/ \mathbb{Z}^3$ ($3$-dimensional 'arithmetic random waves'). We prove that, as the multiplicity of the eigenspace goes to infinity, the nodal area converges to a universal, non-Gaussian... |
We derive the joint density of market weights, at fixed times and suitable stopping times, of the volatility-stabilized market models introduced by Fernholz and Karatzas in [Ann. Finan. 1 (2005) 149-177]. The argument rests on computing the exit density of a collection of independent Bessel-square processes of possibl... |
We present two variational formulae for the capacity in the context of non-selfadjoint elliptic operators. The minimizers of these variational problems are expressed as solutions of boundary-value elliptic equations. |
In the computation of the TAP complexity, originally carried out by Bray and Moore, a fundamental step is to calculate the determinant of a random Hessian. As the replica method does not give a clear prescription, physicists debated how to perform this computation and its consequences on the TAP complexity for a long ... |
We prove that the absolute spectral gap of any monotone Markov chain coincides with its optimal Ollivier-Ricci curvature, where the word `optimal' refers to the choice of the underlying metric. Moreover, we provide a new expression in terms of local variations of increasing functions, which has several practical a... |
The standard method to check for the independence of two real-valued random variables -- demonstrating that the bivariate joint distribution factors into the product of its marginals -- is both necessary and sufficient. Here we present a simple necessary condition based on the support sets of the random variables, whi... |
We derive an Itô-type formula for a measure-valued process that has a decomposition analogous to a classical semimartingale. The derivation begins with a time partitioning approach similar to the classical proof of Itô's formula. |
In this paper, we study the maximum waiting time $\max_{i\leq N}W_i(\cdot)$ in an $N$-server fork-join queue with heavy-tailed services as $N\to\infty$. The service times are the product of two random variables. |
We study nearest-neighbors branching random walks started from a point at the interior of a hypercube. We show that the probability that the process escapes the hypercube is monotonically decreasing with respect to the distance of its starting point from the boundary. |
We study the mixing time of systematic scan Markov chains on finite spin systems. It is known that, in a single site setting, the mixing time of systematic scan can be bounded in terms of the influences sites have on each other. |
We construct games of chance from simpler games of chance. We show that it may happen that the simpler games of chance are fair or unfavourable to a player andyet the new combined game is favourable -- this is a counter-intuitive phenomenoknown as Parrondo's paradox. |
Hadwiger integrals employ the intrinsic volumes as measures for integration of real-valued functions. We provide a formula for the expected values of Hadwiger integrals of Gaussian-related random fields. |
We establish basic properties of the heat flow on entire holomorphic functions that have order at most 2. We then look specifically at the action of the heat flow on the Gaussian analytic function (GAF). |
We prove the global existence of solution to the small data mass critical stochastic nonlinear Schrödinger equation in $d=1$. We further show the stability of the solution under perturbation of initial data. |
In this note, we establish the convergence in distribution of the maxima of i.i.d. random variables to the Gumbel distribution with the associated normalizing sequences for several examples that are related to the normal distribution. Motivated by tests for jumps in high-frequency data, our main interest is in the hal... |
In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H in (1/3,1/2). More precisely, we resort to the Kac-Stroock type approximation using a Poisson process studied in Bardina, Jolis and Tudor (2003) and ... |
The abelian sandpile model defines a Markov chain whose states are integer-valued functions on the vertices of a simple connected graph $G$. By viewing this chain as a (nonreversible) random walk on an abelian group, we give a formula for its eigenvalues and eigenvectors in terms of `multiplicative harmonic functions&... |
We determine the exact probabilities of the different isomorphism classes of tournaments that result from random sets of three and four independent dice drawn from the balanced uniform model of 3-sided dice. |
For a random polynomial with standard normal coefficients, two cases of the K-level crossings have been considered by Farahmand. When the coefficients are independent, Farahmand was able to derive an asymptotic value for the expected number of level crossings, even if K is allowed to grow to infinity. |
In this paper we present new versions of the classical Brunn-Minkowski inequality for different classes of measures and sets. We show that the inequality \[ <br>\mu(\lambda A + (1-\lambda)B)^{1/n} \geq \lambda \mu(A)^{1/n} + (1-\lambda)\mu(B)^{1/n} \] holds true for an unconditional product measure $\mu$ with decreasi... |
In this paper, we study the asymptotic behavior of randomly perturbed path-dependent stochastic differential equations with small parameter $\vartheta_{\varepsilon}$, when $\varepsilon \rightarrow 0$, $\vartheta_\varepsilon$ goes to $0$. When $\varepsilon \rightarrow 0$, we establish large deviation principle. |
This article discusses the usage of a partiton based Fubini calculus for Poisson processes. The approach is an amplification of Bayesian techniques developed in Lo and Weng for gamma/Dirichlet processes. |
Approximating the solution of the nonlinear filtering problem with Gaussian mixtures has been a very popular method since the 1970s. However, the vast majority of such approximations are introduced in an ad-hoc manner without theoretical grounding. |
We consider a simple symmetric random walk on a spider, that is a collection of half lines (we call them legs) joined at the origin. Our main question is the following: if the walker makes $n$ steps how high can he go up on all legs. |
The topology of weak convergence does not account for the growth of information over time that is captured in the filtration of an adapted stochastic process. For example, two adapted stochastic processes can have very similar laws but give completely different results in applications such as optimal stopping, queuing... |
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