We consider a one-dimensional, transient random walk in a random i.i.d. environment. The asymptotic behaviour of such random walk depends to a large extent on a crucial parameter $\kappa gt;0$ that determines the fluctuations of the process. When $0lt;\kappa lt;2$, the averaged distributions of the hitting times of the random walk converge to a $\kappa$-stable distribution. However, it was shown recently that in this case there does not exist a quenched limiting distribution of the hitting times. That is, it is not true that for...

In this paper, we consider weak solutions to stochastic inclusions driven by a semimartingale and a martingale problem formulated for such inclusions. Using this we analyze compactness of the set of solutions. The paper extends some earlier results known for stochastic differential inclusions driven by a diffusion process.

Existence of a weak solution to the $n$-dimensional system of stochastic differential equations driven by a fractional Brownian motion with the Hurst parameter $H\in (0,1)\setminus \left\{\frac{1}{2}\right\}$ is shown for a time-dependent but state-independent diffusion and a drift that may by split into a regular part and a singular one which, however, satisfies the hypotheses of the Girsanov Theorem. In particular, a stochastic nonlinear oscillator driven by a fractional noise is considered.

In this paper we present various weak star Kuratowski convergence results for multivalued martingales, supermartingales and multivalued mils in the dual of a separable Banach space. We establish several integral representation formulas for convex weak star compact valued multifunctions defined on a Köthe space and derive several existence results of conditional expectation for multivalued Gelfand-integrable multifunctions. Similar convergence results for Gelfand-integrable martingales in the dual...

Let f be a nonnegative submartingale and S(f) denote its square function. We show that for any λ > 0, $\lambda \mathbb{P}\left(S\right(f\left)\ge \lambda \right)\le \pi /2\parallel f\parallel ₁$, and the constant π/2 is the best possible. The inequality is strict provided ∥f∥₁ ≠ 0.

Let (f,α) be the process given by an endomorphism f and by a finite partition $\alpha ={A_i}_{i=1}^s$ of a Lebesgue space. Let E(f,α) be the class of densities of absolutely continuous invariant measures for skew products with the base (f,α). We say that (f,α) is quasi-Markovian if $E(f,\alpha )\subset g:{\bigvee }_{{B_i}_{i=1}^s}suppg={\bigcup }_{i=1}^s{A}_i\times B_i$. We show that there exists a quasi-Markovian process which is weakly mixing but not mixing. As a by-product we deduce that the set of all coboundaries which are measurable with respect to the ’chequer-wise’ partition for σ × S, where σ is...

We consider the linear Schrödinger equation under periodic boundary conditions, driven by a random force and damped by a quasilinear damping: $$\frac{\mathrm{d}}{\mathrm{d}t}u+\mathrm{i}\left(-\Delta +V\left(x\right)\right)u=\nu \left(\Delta u-{\gamma }_R{\left|u\right|}^{2p}u-\mathrm{i}{\gamma }_I{\left|u\right|}^{2q}u\right)+\sqrt{\nu }\eta (t,x).(*)$$ The force $\eta$ is white in time and smooth in $x$; the potential $V\left(x\right)$ is typical. We are concerned with the limiting, as $\nu \to 0$, behaviour of solutions on long time-intervals $0\le t\le {\nu }^{-1}T$, and with behaviour of these solutions under the double limit $t\to \infty$ and $\nu \to 0$. We show that these two limiting behaviours may be described in terms of solutions for thesystem of effective equations for(...

We deal with real weakly stationary processes $\{X_t,t\in \mathbb{Z}\}$ with non-positive autocorrelations $\left\{r_k\right\}$, i. e. it is assumed that $r_k\le 0$ for all $k=1,2,\cdots$. We show that such processes have some special interesting properties. In particular, it is shown that each such a process can be represented as a linear process. Sufficient conditions under which the resulting process satisfies $r_k\le 0$ for all $k=1,2,\cdots$ are provided as well.

Generalised halfspace depth function is proposed. Basic properties of this depth function including the strong consistency are studied. We show, on several examples that our depth function may be considered to be more appropriate for nonsymetric distributions or for mixtures of distributions.

Let X be a homogeneous space and let E be a UMD Banach space with a normalized unconditional basis ${\left(e_j\right)}_{j\ge 1}$. Given an operator T from $L_c^{\infty }\left(X\right)$ to L¹(X), we consider the vector-valued extension T̃ of T given by $T̃\left({\sum }_j{f}_j{e}_j\right)={\sum }_{j}T\left(f_j\right)e_j$. We prove a weighted integral inequality for the vector-valued extension of the Hardy-Littlewood maximal operator and a weighted Fefferman-Stein inequality between the vector-valued extensions of the Hardy-Littlewood and the sharp maximal operators, in the context of Orlicz spaces. We give sufficient...

We use weighted distributions with a weight function being a ratio of two densities to obtain some results of interest concerning life and residual life distributions. Our theorems are corollaries from results of Jain et al. (1989) and Bartoszewicz and Skolimowska (2006).