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Conditional distributions, exchangeable particle systems, and stochastic partial differential equations

Dan Crisan, Thomas G. Kurtz, Yoonjung Lee (2014)

Annales de l'I.H.P. Probabilités et statistiques

Stochastic partial differential equations (SPDEs) whose solutions are probability-measure-valued processes are considered. Measure-valued processes of this type arise naturally as de Finetti measures of infinite exchangeable systems of particles and as the solutions for filtering problems. In particular, we consider a model of asset price determination by an infinite collection of competing traders. Each trader’s valuations of the assets are given by the solution of a stochastic differential equation,...

Conditional limit theorems for intermediately subcritical branching processes in random environment

V. I. Afanasyev, Ch. Böinghoff, G. Kersting, V. A. Vatutin (2014)

Annales de l'I.H.P. Probabilités et statistiques

For a branching process in random environment it is assumed that the offspring distribution of the individuals varies in a random fashion, independently from one generation to the other. For the subcritical regime a kind of phase transition appears. In this paper we study the intermediately subcritical case, which constitutes the borderline within this phase transition. We study the asymptotic behavior of the survival probability. Next the size of the population and the shape of the random environment...

Conditional Markov chains - construction and properties

Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski (2015)

Banach Center Publications

In this paper we study finite state conditional Markov chains (CMCs). We give two examples of CMCs, one which admits intensity, and another one, which does not admit an intensity. We also give a sufficient condition under which a doubly stochastic Markov chain is a CMC. In addition we provide a method for construction of conditional Markov chains via change of measure.

Conditional principles for random weighted measures

Nathael Gozlan (2005)

ESAIM: Probability and Statistics

In this paper, we prove a conditional principle of Gibbs type for random weighted measures of the form L n = 1 n ∑ i = 1 n Z i δ x i n , ( Z i ) i being a sequence of i.i.d. real random variables. Our work extends the preceding results of Gamboa and Gassiat (1997), in allowing to consider thin constraints. Transportation-like ideas are used in the proof.

Conditional principles for random weighted measures

Nathael Gozlan (2010)

ESAIM: Probability and Statistics

In this paper, we prove a conditional principle of Gibbs type for random weighted measures of the form L n = 1 n ∑ i = 1 n Z i δ x i n , ((Zi)i being a sequence of i.i.d. real random variables. Our work extends the preceding results of Gamboa and Gassiat (1997), in allowing to consider thin constraints. Transportation-like ideas are used in the proof.

Conditional problem for objective probability

Otakar Kříž (1998)

Kybernetika

Marginal problem (see [Kel]) consists in finding a joint distribution whose marginals are equal to the given less-dimensional distributions. Let’s generalize the problem so that there are given not only less-dimensional distributions but also conditional probabilities. It is necessary to distinguish between objective (Kolmogorov) probability and subjective (de Finetti) approach ([Col,Sco]). In the latter, the coherence problem incorporates both probabilities and conditional probabilities in a unified...

Conditional states and joint distributions on MV-algebras

Martin Kalina, Oľga Nánásiová (2006)

Kybernetika

In this paper we construct conditional states on semi-simple MV-algebras. We show that these conditional states are not given uniquely. By using them we construct the joint probability distributions and discuss the properties of these distributions. We show that the independence is not symmetric.

Currently displaying 321 – 340 of 662