Search results for "Mathematics::Probability"
showing 10 items of 63 documents
Product and Moment Formulas for Iterated Stochastic Integrals (associated with L\'evy Processes)
2018
In this paper, we obtain explicit product and moment formulas for products of iterated integrals generated by families of square integrable martingales associated with an arbitrary L\'evy process. We propose a new approach applying the theory of compensated-covariation stable families of martingales. Our main tool is a representation formula for products of elements of a compensated-covariation stable family, which enables to consider L\'evy processes, with both jumps and Gaussian part.
Probabilities of large values for sums of i.i.d. non-negative random variables with regular tail of index $-1$
2021
Let $\xi_1, \xi_2, \dots$ be i.i.d. non-negative random variables whose tail varies regularly with index $-1$, let $S_n$ be the sum and $M_n$ the largest of the first $n$ values. We clarify for which sequences $x_n\to\infty$ we have $\mathbb P(S_n \ge x_n) \sim \mathbb P(M_n \ge x_n)$ as $n\to\infty$. Outside this regime, the typical size of $S_n$ conditioned on exceeding $x_n$ is not completely determined by the largest summand and we provide an appropriate correction term which involves the integrated tail of $\xi_1$.
Almost sure central limit theorems for random ratios and applications to lse for fractional ornstein–uhlenbeck processes
2012
We investigate an almost sure limit theorem (ASCLT) for sequences of random variables having the form of a ratio of two terms such that the numerator satisfies the ASCLT and the denominator is a positive term which converges almost surely to 1. This result leads to the ASCLT for least square estimators for Ornstein-Uhlenbeck process driven by fractional Brownian motion.
Nonlocal Isoperimetric Inequality
2019
For the nonlocal perimeter, there is also an isoperimetric inequality, and here the main hypothesis used on J is that it is radially nonincreasing.
Time characteristics of Lévy flights in a steep potential well
2013
Using the method previously developed for ordinary Brownian diffusion, we derive a new formula to calculate the correlation time of stationary Lévy flights in a steep potential well. For the symmetric quartic potential, we obtain the exact expression of the correlation time of steady-state Lévy flights with index α = 1. The correlation time of stationary Lévy flights decreases with an increasing noise intensity and steepness of potential well.
Nonlocal random motions: The trapping problem
2014
L\'evy stable (jump-type) processes are examples of intrinsically nonlocal random motions. This property becomes a serious obstacle if one attempts to model conditions under which a particular L\'evy process may be subject to physically implementable manipulations, whose ultimate goal is to confine the random motion in a spatially finite, possibly mesoscopic trap. We analyze thisissue for an exemplary case of the Cauchy process in a finiteinterval. Qualitatively, our observations extend to general jump-type processes that are driven by non-gaussian noises, classified by the integral part of the L\'evy-Khintchine formula.For clarity of arguments we discuss, as a reference model, the classic …
Quantum Search with Multiple Walk Steps per Oracle Query
2015
We identify a key difference between quantum search by discrete- and continuous-time quantum walks: a discrete-time walk typically performs one walk step per oracle query, whereas a continuous-time walk can effectively perform multiple walk steps per query while only counting query time. As a result, we show that continuous-time quantum walks can outperform their discrete-time counterparts, even though both achieve quadratic speedups over their corresponding classical random walks. To provide greater equity, we allow the discrete-time quantum walk to also take multiple walk steps per oracle query while only counting queries. Then it matches the continuous-time algorithm's runtime, but such …
Transient Reversible Growth and Percolation During Phase Separation
1988
Binary mixtures when quenched into the two-phase region exhibit transient percolation phenomena. These transient percolation phenomena and the underlying mechanism of transient reversible growth are investigated. In particular, one of the possible dynamical percolation lines between the dynamical spinodal and the line of macroscopic percolation is traced out. Analyzing the finite size effects with the usual scaling theory one finds exponents which seem to be inconsistent with the universality class of percolation. However, at zero temperature, where the growth is non-reversible and the transition of a sol-gel type, the exponents are consistent with those of random percolation.
Bismut’s Way of the Malliavin Calculus for Non-Markovian Semi-groups: An Introduction
2019
We give a review of our recent works related to the Malliavin calculus of Bismut type for non-Markovian generators. Part IV is new and relates the Malliavin calculus and the general theory of elliptic pseudo-differential operators.
Malliavin Calculus of Bismut Type for Fractional Powers of Laplacians in Semi-Group Theory
2011
We translate into the language of semi-group theory Bismut's Calculus on boundary processes (Bismut (1983), Lèandre (1989)) which gives regularity result on the heat kernel associated with fractional powers of degenerated Laplacian. We translate into the language of semi-group theory the marriage of Bismut (1983) between the Malliavin Calculus of Bismut type on the underlying diffusion process and the Malliavin Calculus of Bismut type on the subordinator which is a jump process.