The Dyson Brownian Minor Process

Mark Adler; Eric Nordenstam; Pierre Van Moerbeke

Displaying similar documents to “The Dyson Brownian Minor Process”

Characterizations of processes with stationary and independent increments under $G$ -expectation

Yongsheng Song (2013)

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

Similarity:

Our purpose is to investigate properties for processes with stationary and independent increments under $G$ -expectation. As applications, we prove the martingale characterization of $G$ -Brownian motion and present a pathwise decomposition theorem for generalized $G$ -Brownian motion.

The brownian cactus I. Scaling limits of discrete cactuses

Nicolas Curien, Jean-François Le Gall, Grégory Miermont (2013)

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

Similarity:

The cactus of a pointed graph is a discrete tree associated with this graph. Similarly, with every pointed geodesic metric space $E$ , one can associate an $ℝ$ -tree called the continuous cactus of $E$ . We prove under general assumptions that the cactus of random planar maps distributed according to Boltzmann weights and conditioned to have a fixed large number of vertices converges in distribution to a limiting space called the Brownian cactus, in the Gromov–Hausdorff sense. Moreover, the Brownian...

The number of absorbed individuals in branching brownian motion with a barrier

Pascal Maillard (2013)

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

Similarity:

We study supercritical branching Brownian motion on the real line starting at the origin and with constant drift $c$ . At the point $x g t; 0$ , we add an absorbing barrier, i.e. individuals touching the barrier are instantly killed without producing offspring. It is known that there is a critical drift $c_{0}$ , such that this process becomes extinct almost surely if and only if $c \geq c_{0}$ . In this case, if $Z_{x}$ denotes the number of individuals absorbed at the barrier, we give an asymptotic for $P (Z_{x} = n)$ as $n$ goes to infinity....

Superdiffusivity for brownian motion in a poissonian potential with long range correlation II: Upper bound on the volume exponent

Hubert Lacoin (2012)

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

Similarity:

This paper continues a study on trajectories of Brownian Motion in a field of soft trap whose radius distribution is unbounded. We show here that for both point-to-point and point-to-plane model the volume exponent (the exponent associated to transversal fluctuation of the trajectories) $ξ$ is strictly less than $1$ and give an explicit upper bound that depends on the parameters of the problem. In some specific cases, this upper bound matches the lower bound proved in the first part of this...

Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case

Krzysztof Dębicki, Grzegorz Sikora (2011)

Applicationes Mathematicae

Similarity:

Motivated by applications in queueing fluid models and ruin theory, we analyze the asymptotics of $ℙ (s u p_{t \in [0, T]} (\sum_{i = 1}^{n} λ_{i} B_{H_{i}} (t) - c t) > u)$ , where $B_{H_{i}} (t) : t \geq 0$ , i = 1,...,n, are independent fractional Brownian motions with Hurst parameters $H_{i} \in (0, 1]$ and λ₁,...,λₙ > 0. The asymptotics takes one of three different qualitative forms, depending on the value of $m i n_{i = 1, . . ., n} H_{i}$ .

Optimal stopping with advanced information flow: selected examples

Yaozhong Hu, Bernt Øksendal (2008)

Banach Center Publications

Similarity:

We study optimal stopping problems for some functionals of Brownian motion in the case when the decision whether or not to stop before (or at) time t is allowed to be based on the δ-advanced information $ℱ_{t + δ}$ , where $ℱ_{s}$ is the σ-algebra generated by Brownian motion up to time s, s ≥ -δ, δ > 0 being a fixed constant. Our approach involves the forward integral and the Malliavin calculus for Brownian motion.

Approximation of a symmetric α-stable Lévy process by a Lévy process with finite moments of all orders

Z. Michna (2007)

Studia Mathematica

Similarity:

In this paper we consider a symmetric α-stable Lévy process Z. We use a series representation of Z to condition it on the largest jump. Under this condition, Z can be presented as a sum of two independent processes. One of them is a Lévy process $Y_{x}$ parametrized by x > 0 which has finite moments of all orders. We show that $Y_{x}$ converges to Z uniformly on compact sets with probability one as x↓ 0. The first term in the cumulant expansion of $Y_{x}$ corresponds to a Brownian motion which implies...

Generators of Brownian motions on abstract Wiener spaces

Kei Harada (2010)

Banach Center Publications

Similarity:

We prove that Brownian motion on an abstract Wiener space B generates a locally equicontinuous semigroup on $C_{b} (B)$ equipped with the $T_{t}$ -topology introduced by L. Le Cam. Hence we obtain a “Laplace operator” as its infinitesimal generator. Using this Laplacian, we discuss Poisson’s equation and heat equation, and study its properties, especially the difference from the Gross Laplacian.

Existence and asymptotic behaviour of some time-inhomogeneous diffusions

Mihai Gradinaru, Yoann Offret (2013)

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

Similarity:

Let us consider a solution of a one-dimensional stochastic differential equation driven by a standard Brownian motion with time-inhomogeneous drift coefficient ${ρ sgn (x) | x |}^{α} / t^{β}$ . This process can be viewed as a Brownian motion evolving in a potential, possibly singular, depending on time. We prove results on the existence and uniqueness of solution, study its asymptotic behaviour and made a precise description, in terms of parameters $ρ$ , $α$ and $β$ , of the recurrence, transience and convergence. More precisely,...

Upper bounds for the density of solutions to stochastic differential equations driven by fractional brownian motions

Fabrice Baudoin, Cheng Ouyang, Samy Tindel (2014)

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

Similarity:

In this paper we study upper bounds for the density of solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $H g t; 1 / 3$ . We show that under some geometric conditions, in the regular case $H g t; 1 / 2$ , the density of the solution satisfies the log-Sobolev inequality, the Gaussian concentration inequality and admits an upper Gaussian bound. In the rough case $H g t; 1 / 3$ and under the same geometric conditions, we show that the density of the solution is smooth and...

On Paszkiewicz-type criterion for a.e. continuity of processes in $L^{p}$ -spaces

Jakub Olejnik (2010)

Banach Center Publications

Similarity:

In this paper we consider processes Xₜ with values in $L^{p}$ , p ≥ 1 on subsets T of a unit cube in ℝⁿ satisfying a natural condition of boundedness of increments, i.e. a process has bounded increments if for some non-decreasing f: ℝ₊ → ℝ₊ ||Xₜ-Xₛ||ₚ ≤ f(||t-s||), s,t ∈ T. We give a sufficient criterion for a.s. continuity of all processes with bounded increments on subsets of a given set T. This criterion turns out to be necessary for a wide class of functions f. We use a geometrical Paszkiewicz-type...

Remarks on q-CCR relations for |q| > 1

Marek Bożejko (2007)

Banach Center Publications

Similarity:

In this paper we give a construction of operators satisfying q-CCR relations for q > 1: $A (f) A * (g) - A * (g) A (f) = q^{N} ⟨ f, g ⟩ I$ and also q-CAR relations for q < -1: $B (f) B * (g) + B * (g) B (f) = {| q |}^{N} ⟨ f, g ⟩ I$ , where N is the number operator on a suitable Fock space $ℱ_{q} ()$ acting as Nx₁ ⊗ ⋯ ⊗ xₙ = nx₁ ⊗ ⋯ ⊗xₙ. Some applications to combinatorial problems are also given.

Images of Gaussian random fields: Salem sets and interior points

Narn-Rueih Shieh, Yimin Xiao (2006)

Studia Mathematica

Similarity:

Let $X = X (t), t \in ℝ^{N}$ be a Gaussian random field in $ℝ^{d}$ with stationary increments. For any Borel set $E \subset ℝ^{N}$ , we provide sufficient conditions for the image X(E) to be a Salem set or to have interior points by studying the asymptotic properties of the Fourier transform of the occupation measure of X and the continuity of the local times of X on E, respectively. Our results extend and improve the previous theorems of Pitt [24] and Kahane [12,13] for fractional Brownian motion.

On the divergence of certain integrals of the Wiener process

Lawrence A. Shepp, John R. Klauder, Hiroshi Ezawa (1974)

Annales de l'institut Fourier

Similarity:

Let $f (x)$ be a nonnegative function with its only singularity at $x = 0$ , e.g. $f (x) = | x |^{- α}$ , $α > 0$ . We study the behavior of the Wiener process $W (t)$ in left and right hand neighborhoods of level crossings by finding necessary and sufficient conditions on $f$ for the integrals of $f (W (t))$ to be finite or infinite.

An application of fine potential theory to prove a Phragmen Lindelöf theorem

Terry J. Lyons (1984)

Annales de l'institut Fourier

Similarity:

We give a new proof of a Phragmén Lindelöf theorem due to W.H.J. Fuchs and valid for an arbitrary open subset $U$ of the complex plane: if $f$ is analytic on $U$ , bounded near the boundary of $U$ , and the growth of $j$ is at most polynomial then either $f$ is bounded or $U \supset {| z | > r}$ for some positive $r$ and $f$ has a simple pole.

Central limit theorems for the brownian motion on large unitary groups

Florent Benaych-Georges (2011)

Bulletin de la Société Mathématique de France

Similarity:

In this paper, we are concerned with the large $n$ limit of the distributions of linear combinations of the entries of a Brownian motion on the group of $n \times n$ unitary matrices. We prove that the process of such a linear combination converges to a Gaussian one. Various scales of time and various initial distributions are considered, giving rise to various limit processes, related to the geometric construction of the unitary Brownian motion. As an application, we propose a very short proof of...

Three examples of brownian flows on $ℝ$

Yves Le Jan, Olivier Raimond (2014)

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

Similarity:

We show that the only flow solving the stochastic differential equation (SDE) on $ℝ$ $d X_{t} = 1_{{X_{t} g t; 0}} W^{+} (d t) + 1_{{X_{t} l t; 0}} d W^{-} (d t),$ where $W^{+}$ and $W^{-}$ are two independent white noises, is a coalescing flow we will denote by $ϕ^{\pm}$ . The flow $ϕ^{\pm}$ is a Wiener solution of the SDE. Moreover, $K^{+} = 𝖤 [δ_{ϕ^{\pm}} | W^{+}]$ is the unique solution (it is also a Wiener solution) of the SDE $K_{s, t}^{+} f (x) = f (x) + \int_{s}^{t} K_{s, u} (1_{ℝ}^{+} f^{'}) (x) W^{+} (d u) + \frac{1}{2} \int_{s}^{t} K_{s, u} f ` ` (x) d u$ for $s l t; t$ , $x \in ℝ$ and $f$ a twice continuously differentiable function. A third flow $ϕ^{+}$ can be constructed out of the $n$ -point motions of $K^{+}$ . This flow is coalescing and its $n$ -point motion...

Perturbing the hexagonal circle packing: a percolation perspective

Itai Benjamini, Alexandre Stauffer (2013)

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

Similarity:

We consider the hexagonal circle packing with radius $1 / 2$ and perturb it by letting the circles move as independent Brownian motions for time $t$ . It is shown that, for large enough $t$ , if $𝛱_{t}$ is the point process given by the center of the circles at time $t$ , then, as $t \to \infty$ , the critical radius for circles centered at $𝛱_{t}$ to contain an infinite component converges to that of continuum percolation (which was shown – based on a Monte Carlo estimate – by Balister, Bollobás and Walters to be strictly...