text large_stringlengths 7 3.02k |
|---|
We present the explicit construction of a stable queue with several servers and impatient customers, under stationary ergodic assumptions. Using a stochastic comparison of the (multivariate) workload sequence with two monotonic stochastic recursions, we propose a sufficient condition of existence of a unique stationar... |
A method for computing integrals of polynomial functions on compact symmetric spaces is given. Those integrals are expressed as sums of functions on symmetric groups. |
In this paper, we establish sharp two-sided estimates for the transition densities of relativistic stable processes [i.e., for the heat kernels of the operators $m-(m^{2/\alpha}-\Delta)^{\alpha/2}$] in $C^{1,1}$ open sets. Here $m>0$ and $\alpha\in(0,2)$. |
The myopic (or `true') self-avoiding walk model (MSAW) was introduced in the physics literature by Amit, Parisi and Peliti (1983). It is a random motion in Z^d pushed towards domains less visited in the past by a kind of negative gradient of the occupation time measure. |
In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimensional case. In these BSDEs, the generator, which is of quadratic growth in Z, involves not only the present information of solution (Y, Z) ... |
Our model is a generalized linear programming relaxation of a much studied random K-SAT problem. Specifically, a set of linear constraints C on K variables is fixed. |
By a well-known result of Bayer and Diaconis, the maximum entropy model of the common riffle shuffle implies that the number of riffle shuffles necessary to mix a standard deck of 52 cards is either 7 or 11--with the former number applying when the metric used to define mixing is the total variation distance and the la... |
We consider a symmetric finite-range contact process on $\mathbb{Z}$ with two types of particles (or infections), which propagate according to the same supercritical rate and die (or heal) at rate $1$. Particles of type 1 can occupy any site in $(-\infty, 0]$ that is empty or occupied by a particle of type 2 and, anal... |
This work focuses on a class of semi-linear functional stochastic partial differential equations with Markovian switching, in which the switching component may have finite or countably infinite states. The well-posedness of the underlying process is obtained by Skorokhod's representation of the switching component... |
We consider a modified quadratic variation of the Hermite process based on some well-chosen increments of this process. These special increments have the very useful property to be independent and identically distributed up to asymptotically negligible remainders. |
We prove strong well-posedness for a class of stochastic evolution equations in Hilbert spaces H when the drift term is Holder continuous. This class includes examples of semilinear stochastic damped wave equations which describe elastic systems with structural damping (for such equations even existence of solutions i... |
It is well known that a simple, supercritical Bienaymé-Galton-Watson process turns into a subcritical such process, if conditioned to die out. We prove that the corresponding holds true for general, multi-type branching, where child-bearing may occur at different ages, life span may depend upon reproduction, and the w... |
We prove non-asymptotic error bounds for Sequential MCMC methods in the case of multimodal target distributions. Our bounds depend in an explicit way on upper bounds on relative densities, on constants associated with local mixing properties of the MCMC dynamics, namely, local spectral gaps and local hyperboundedness,... |
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are neither semimartingales, nor Markov processes in general. |
The present paper is devoted to the study of the long term dynamics of diffusion processes modelling a single species that experiences both demographic and environmental stochasticity. In our setting, the long term dynamics of the diffusion process in the absence of demographic stochasticity is determined by the sign ... |
We consider the continuous model of log-infinitely divisible multifractal random measures (MRM) introduced in \cite{bacry} . If M is a non degenerate multifractal measure with associated metric $\rho(x,y)=M([x,y])$ and structure function $\zet a$, we show that we have the following relation between the (Euclidian) Hau... |
It is known that the distribution of an integrable random vector $\xi$ in $\mathbb{R}^d$ is uniquely determined by a $(d+1)$-dimensional convex body called the lift zonoid of $\xi$. This concept is generalised to define the lift expectation of random convex bodies. |
The objective of this work is to establish an upper bound for the almost sure convergence rate for a class of push-sum algorithms. The current work extends the methods and results of the authors on a similar low-complexity bound on push-sum algorithms with some particular synchronous message passing schemes and comple... |
We establish a strict asymptotic inequality between a class of graph partition problems on the sparse End\H{o]s-Rényi and random regular graph ensembles with the same average degree. Along the way, we establish a variational representation for the ground state energy for generalized mixed $p$-spin glasses and derive s... |
We establish a new comparison between the Legendre transform of the cumulant generating function and the half-space depth of an arbitrary log-concave probability distribution on the real line, that carries on to the multidimensional setting. Combined with sharp estimates for the Cramér transform of rotationally invari... |
In the present paper, we give some examples of stochastic differential equations which have delicateness in the Markov and strong Markov properties, the uniqueness locally in time and globally in time, and initial conditions. Moreover, we show that such stochastic differential equations appear in the limits of stochas... |
Let $(T,d)$ be a metric space and $\phi:\mathbb{R}_+\to \mathbb{R}$ an increasing, convex function with $\phi(0)=0$. We prove that if $m$ is a probability measure $m$ on $T$ which is majorizing with respect to $d,\phi$, that is, $\mathcal{S}:=\sup_{x\in T}\int^{D(T)}_0\phi^{-1}(\frac{1}{m(B(x,\epsilon))}) d\epsilon &l... |
Linear filtering problem for infinite-dimensional Gaussian processes is studied, the observation process being finite-dimensional. Integral equations for the filter and for covariance of the error are derived. |
We study the solution $V$ of the Poisson equation $LV + f=0$ where $L$ is the backward generator of an irreducible (finite) Markov jump process and $f$ is a given centered state function. Bounds on $V$ are obtained using a graphical representation derived from the Matrix Forest Theorem and using a relation with mean f... |
We prove local limit theorems for mod-{\phi} convergent sequences of random variables, {\phi} being a stable distribution. In particular, we give two new proofs of a local limit theorem in the framework of mod-phi convergence: one proof based on the notion of zone of control, and one proof based on the notion of mod-{... |
We show that if the density of the absolutely continuous part of a copula is bounded away from zero on a set of Lebesgue measure 1, then that copula generates \textquotedblleft lower $\psi$-mixing\textquotedblright\ stationary Markov chains. This conclusion implies $\phi$-mixing, $\rho$-mixing, $\beta$-mixing and \tex... |
This paper examines a discrete-time queuing system with applications to telecommunications traffic. The arrival process is a particular Markov modulated process which belongs to the class of discrete batched Markovian arrival processes. |
The Moderate Deviations Principle (MDP) is well-understood for sums of independent random variables, worse understood for stationary random sequences, and scantily understood for random fields. Here it is established for splittable random fields integrated against test functions. |
English version of the abstract. <br>We study path-wise uniqueness property of a class of stochastic differential equations with local time and sojourn time in the boundary. |
A random graph evolution based on the interactions of N vertices is studied. During the evolution both the preferential attachment method and the uniform choice of vertices are allowed. |
We investigate uniform random block lower bidiagonal matrices over the finite field $\mathbb{F}_q$, and prove that their rank undergoes a phase transition. <br>First, we consider block lower bidiagonal matrices with $(k_n+1)\times k_n$ blocks where each block is of size $n\times n$. |
Suppose that a coin with bias theta is tossed at renewal times of a renewal process, and a fair coin is tossed at all other times. Let mu_\theta be the distribution of the observed sequence of coin tosses, and let u_n denote the chance of a renewal at time n. |
A class of probability distributions is characterized via equalities in law between two order statistics shifted by independent exponential variables. An explicit formula for the quintile function of the identified family of distributions is obtained. |
We study the welfare function of the deterministic and stochastic shallow lake problem. We show that the welfare function is the viscosity solution of the associated Bellman equation, we establish several properties including its asymptotic behaviour at infinity and we present a convergent monotone numerical scheme. |
We study a continuous time Markov process whose state space consists of an assignment of +1 or -1 to each vertex of a graph G. The graphs that we treat are related to homogeneous trees of degree K $\geq$ 3, such as finite or infinite stacks of such trees. The initial spin configuration is chosen from a Bernoulli produ... |
Random walks as well as diffusions in random media are considered. Methods are developed that allow one to establish large deviation results for both the `quenched' and the `averaged' case. |
Kesten et al. ( 1975) proved the stable law for the transient RWRE (here we refer it as the $\kappa$-transient RWRE). |
We consider a hidden Markov model with multiplicative noise emerging from studies of software reliability. We show the stability of the optimal filter with respect to general initial conditions in the total variation- and $L^p$-norm and deduce explicit rates. |
Restricted Boltzmann machines are energy models made of a visible and a hidden layer. We identify an effective energy function describing the zero-temperature landscape on the visible units and depending only on the tail behaviour of the hidden layer prior distribution. |
We derive new variants of the quantitative Borel--Cantelli lemma and apply them to analysis of statistical properties for some dynamical systems. We consider intermittent maps of $(0,1]$ which have absolutely continuous invariant probability measures. In particular, we prove that every sequence of intervals with left e... |
We discuss the escape rate of the Brownian motion on a hyperbolic space. We point out that the escape rate is determined by using the Brownian expression of the radial part and a generalized Kolmogorov's test for the one dimensional Brownian motion. |
In rough stochastic PDE theory of Hairer type, rough path lifts with respect to the space variable of two-parameter continuous Gaussian processes play a main role. A prominent example of such processes is the solution of the stochastic heat equation under the periodic condition. |
Suppose that $X$ is a subcritical superprocess. Under some asymptotic conditions on the mean semigroup of $X$, we prove the Yaglom limit of $X$ exists and identify all quasi-stationary distributions of $X$. |
We introduce a new general concept of surrogate random variable, the ``surrogate by exchangeability'' that allows to study the class of random variables that can be decomposed by means of an independent randomisation. <br>As an example, we treat the case of the Curie-Weiss model using the explicit construction... |
In this paper, we focus on the following question. Assume $\phi$ is a discrete Gaussian free field (GFF) on $\Lambda \subset \frac 1 n \mathbb{Z}^2$ and that we are given $e^{iT \phi}$, or equivalently $\phi \pmod{\frac {2\pi} T}$. |
This paper continues our earlier investigations into the inversion of random functions in a general (abstract) setting. In Section 2 we investigate a concept of invertibility and the invertibility of the composition of random functions. |
We study a two-parameter family $a_{n}(p,t)$ of deformations of the Fuss numbers. We show a sufficient condition for positive definiteness of $a_n(p,t)$ and prove that some of the corresponding probability measures are infinitely divisible with respect to the additive free convolution. |
Determining the mixing time of Kac's random walk on the sphere $\mathrm{S}^{n-1}$ is a long-standing open problem. We show that the total variation mixing time of Kac's walk on $\mathrm{S}^{n-1}$ is between $\frac{1}{2} \, n \log(n)$ and $200 \,n \log(n)$. |
For the last passage percolation (LPP) on $\mathbb{Z}^2$ with exponential passage times, let $T_{n}$ denote the passage time from $(1,1)$ to $(n,n)$. We investigate the law of iterated logarithm of the sequence $\{T_{n}\}_{n\geq 1}$; we show that $\liminf_{n\to \infty} \frac{T_{n}-4n}{n^{1/3}(\log \log n)^{1/3}}$ almo... |
We construct the analogue of Gaussian multiplicative chaos measures for the local times of planar Brownian motion by exponentiating the square root of the local times of small circles. We also consider a flat measure supported on points whose local time is within a constant of the desired thickness level and show a si... |
This article offers a simplified approach to the distribution theory of randomly weighted averages or $P$-means $M_P(X):= \sum_{j} X_j P_j$, for a sequence of <a href="http://i.i.d.random" rel="external noopener nofollow" class="link-external link-http">this http URL</a> variables $X, X_1, X_2, \ldots$, and independent... |
This paper is the first of a series of works on the conformal bootstrap in Liouville conformal field theory (CFT) with boundaries. We focus here on the case of the annulus with two boundary insertions, each of which lies on the different connected components of the boundary. |
In this paper we introduce a transformation technique, which can on the one hand be used to prove existence and uniqueness for a class of SDEs with discontinuous drift coefficient. One the other hand we present a numerical method based on transforming the Euler-Maruyama scheme for such a class of SDEs. |
These lecture notes provide a rapid introduction to a number of rigorous results on self-avoiding walks, with emphasis on the critical behaviour. Following an introductory overview of the central problems, an account is given of the Hammersley--Welsh bound on the number of self-avoiding walks and its consequences for ... |
In the paper we consider the partial sum process $\sum_{k=1}^{[nt]}X_k^{(n)}$, where $\{X_k^{(n)}=\sum_{j=0}^{\infty} a_{j}^{(n)}\xi_{k-j}(b(n)), \ k\in \bz\},\ n\ge 1,$ is a series of linear processes with tapered filter $a_{j}^{(n)}=a_{j}\ind{[0\le j\le ł(n)]}$ and heavy-tailed tapered innovations $\xi_{j}(b(n), \ j\... |
The expected signature kernel arises in statistical learning tasks as a similarity measure of probability measures on path space. Computing this kernel for known classes of stochastic processes is an important problem that, in particular, can help reduce computational costs. |
We study various generalizations of concentration of measure on the unit sphere, in particular by means of log-Sobolev inequalities. First, we show Sudakov-type concentration results and local semicircular laws for weighted random matrices. |
In this note we provide conditions for local invariance of finite dimensional submanifolds for solutions to stochastic partial differential equations (SPDEs) in the framework of the variational approach. For this purpose, we provide a connection to SPDEs in continuously embedded spaces. |
We show that the spectral gap of a random walk on the domain of normal attraction of an $\alpha$-stable law is of order $\mathcal O(n^{\alpha})$ when restricted to boxes of size $n$. The proof is based on a comparison principle that may be of independent interest. |
We deal with a class of abstract nonlinear stochastic models, which covers many 2D hydrodynamical models including 2D Navier-Stokes equations, 2D MHD models and 2D magnetic Bénard problem and also some shell models of turbulence. We first prove the existence and uniqueness theorem for the class considered. |
We analyze the hydrodynamic behavior of the porous medium model in a discrete space $\{0,\ldots, n\}$, where the sites $0$ and $n$ stand for reservoirs. Our strategy relies on the entropy method of Guo, Papanicolau and Varadhan. |
We studied universality of Wishart ensembles whose covariance matrix has 2 distinct eigenvalues and the number of each of these eigenvalue goes to infinity in the asymptotic limit. In this case, the limiting eigenvalue distribution can be supported on 1 or 2 disjoint intervals. |
Coalescence of semi-infinite geodesics remains a central question in planar first passage percolation. In this paper we study finer properties of the coalescence structure of finite and semi-infinite geodesics for exactly solvable models of last passage percolation. |
We consider the slow movement of randomly biased random walk $(X_n)$ on a supercritical Galton--Watson tree, and are interested in the sites on the tree that are most visited by the biased random walk. Our main result implies tightness of the distributions of the most visited sites under the annealed measure. |
We consider the problem of optimal incomplete transportation between the empirical measure on an i.i.d. uniform sample on the d-dimensional unit cube $[0,1]^d$ and the true measure. This is a family of problems lying in between classical optimal transportation and nearest neighbor problems. |
We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-density modeling approach, and address in this incomplete market context the expected utility maximization from terminal wealth. |
Let $T_n$ be a random recursive tree with $n$ nodes. List vertices of $T_n$ in decreasing order of degree as $v^1,\ldots,v^n$, and write $d^i$ and $h^i$ for the degree of $v^i$ and the distance of $v^i$ from the root, respectively. |
In this paper, we study a model of directed polymers in random environment, where the environment is restricted to a time-space tube whose spatial width grows polynomially with time. It can be viewed as an interpolation between the disordered pinning model and the classic directed polymer model. |
For $\alpha \in (1,2]$, the $\alpha$-stable graph arises as the universal scaling limit of critical random graphs with i.i.d. degrees having a given $\alpha$-dependent power-law tail behavior. It consists of a sequence of compact measured metric spaces (the limiting connected components), each of which is tree-like, i... |
The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that are driven by stochastic jumps. |
We obtain a Lundberg-type inequality in the case of an inhomogeneous renewal risk model. We consider the model with independent, but not necessarily identically distributed, claim sizes and the interoccurrence times. |
Diffusion Limited Aggregation and its generalization, Dielectric Breakdown model play an important role in physics, approximating a range of natural phenomena. Yet little is known about them, with the famous Kesten's estimate on the DLAs growth being perhaps the most important result. |
Phase transitions are a central theme of statistical mechanics, and of probability more generally. Lattice spin models represent a general paradigm for phase transitions in finite dimensions, describing ferromagnets and even some fluids (lattice gases). |
We revisit several results on exponential integrability in probability spaces and derive some new ones. In particular, we give a quantitative form of recent results by Cianchi-Musil and Pick in the framework of Moser-Trudinger-type inequalities, and recover Ivanisvili-Russell's inequality for the Gaussian measure.... |
We modify the definition of Aldous' multiplicative coalescent process and introduce the multiplicative coalescent with linear deletion (MCLD). A state of this process is a square-summable decreasing sequence of cluster sizes. |
In this paper we study processes which are constructed by a convolution of a deterministic kernel with a martingale. A special emphasis is put on the case where the driving martingale is a centred Lévy process, which covers the popular class of fractional Lévy processes. |
We consider local martingales which are standard or stochastic exponentials M of one component X of a multivariate affine process in the sense of Duffie, Filipovic and Schachermayer (2003). By completing their characterization of conservative affine processes, we provide deterministic necessary and sufficient conditio... |
Given a word $w(x_{1},\ldots,x_{r})$, i.e., an element in the free group on $r$ elements, and an integer $d\geq1$, we study the characteristic polynomial of the random matrix $w(X_{1},\ldots,X_{r})$, where $X_{i}$ are Haar-random independent $d\times d$ unitary matrices. If $c_{m}(X)$ denotes the $m$-th coefficient of... |
We consider the standard model of i.i.d. first passage percolation on Z^d given a distribution G on [0, +$\infty$] (including +$\infty$). We suppose that G({0}) > 1 -- p\_c(d), i.e., the edges of positive passage time are in the subcritical regime of percolation on Z^d. We consider a cylinder of basis an hyperrecta... |
This paper studies variations of the usual voter model that favor types that are locally less common. Such models are dual to certain systems of branching annihilating random walks that are parity preserving. |
The class of Levy processes for which overshoots are almost surely constant quantities is precisely characterized. |
We consider gated polling systems with two special features: (i) retrials, and |
In this paper, we prove that there exists a unique solution to the Dirichlet boundary value problem for a general class of semilinear second order elliptic partial differential equations. Our approach is probabilistic. |
Let $({\mathcal{X}},g)$ be a closed Riemmanian manifold of dimension $n>0$. Let $\Delta$ be the Laplacian on ${\mathcal{X}}$, and let $(e\_k)\_k$ be an $L^2$-orthonormal and dense family of Laplace eigenfunctions with respective eigenvalues $(\lambda\_k)\_k$. |
We establish some relations between the spectra of simple and non-backtracking random walks on non-regular graphs, generalizing some well-known facts for regular graphs. Our two main results are |
Customer slowdown describes the phenomenon that a customer's service requirement increases with experienced delay. In healthcare settings, there is substantial empirical evidence for slowdown, particularly when a patient's delay exceeds a certain threshold. |
In Bhatt and Roy's minimal directed spanning tree (MDST) construction for a random partially ordered set of points in the unit square,all edges must respect the ``coordinatewise'' partial order and there must be a directed path from each vertex to a minimal element. We study the asymptotic behaviour of the... |
We study the asymptotics related to the following matching criteria for two independent realizations of point processes X\sim X and Y\sim Y. Given l>0, X\cap [0,l) serves as a template. For each t>0, the matching score between the template and Y\cap [t,t+l) is a weighted sum of the Euclidean distances from y-t t... |
Bivariate partial-sums discrete probability distributions are defined. The question of the existence of a limit distribution for iterated partial summations is solved for finite-support bivariate distributions which satisfy conditions under which the power method (known from matrix theory) can be used. |
The topic of this paper is the typical behavior of the spectral measures of large random matrices drawn from several ensembles of interest, including in particular matrices drawn from Haar measure on the classical Lie groups, random compressions of random Hermitian matrices, and the so-called random sum of two independ... |
We prove an annealed weak limit of the trajectory of the random walks in cooling random environment (RWCRE) under both slow (polynomial) and fast (exponential) cooling. We identify the weak limit when the underlying static environment is recurrent (Sinai's model). |
We investigate a disordered variant of Pitman's Chinese restaurant process where tables carry i.i.d. weights. Incoming customers choose to sit at an occupied table with a probability proportional to the product of its occupancy and its weight, or they sit at an unoccupied table with a probability proportional to a... |
We study zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field) stochastic differential equation in which the distribution of both state and controls of each player appears in the drift and diffusion coefficients, as well as in the r... |
We prove that the free uniform spanning forest of any bounded degree proper plane graph is connected almost surely, answering a question of Benjamini, Lyons, Peres and Schramm. <br>We provide a quantitative form of this result, calculating the critical exponents governing the geometry of the uniform spanning forests o... |
We consider attractive irreducible conservative particle systems on $\mathbb{Z}$, without necessarily nearest-neighbor jumps or explicit invariant measures. We prove that for such systems, the hydrodynamic limit under Euler time scaling exists and is given by the entropy solution to some scalar conservation law with L... |
We develop Stein's method for the Fréchet distribution and apply it to compute rates of convergence in distribution of renormalized sample maxima to the Fréchet distribution. |
This paper discusses the error estimation of the last-column-block-augmented northwest-corner truncation (LC-block-augmented truncation, for short) of block-structured Markov chains (BSMCs) in continuous time. We first derive upper bounds for the absolute difference between the time-averaged functionals of a BSMC and ... |
We consider smoothing equations of the form $$X ~\stackrel{\mathrm{law}}{=}~ \sum_{j \geq 1} T_j X_j + C$$ where $(C,T_1,T_2,\ldots)$ is a given sequence of random variables and $X_1,X_2,\ldots$ are independent copies of $X$ and independent of the sequence $(C,T_1,T_2,\ldots)$. The focus is on complex smoothing equati... |
We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value function is the minimal positive solution of a second order semi--linear ordinary differential equation (ODE). |
On the lattice $\widetilde{\mathbb Z}^2_+:={(x,y)\in \mathbb Z \times \mathbb Z_+\colon x+y \text{is even}}$ we consider the following oriented (northwest-northeast) site percolation: the lines $H_i:={(x,y)\in \widetilde {\mathbb Z}^2_+ \colon y=i}$ are first declared to be bad or good with probabilities $\de$ and $1-\... |
Subsets and Splits
No community queries yet
The top public SQL queries from the community will appear here once available.