Displaying similar documents to “A stochastic fixed point equation for weighted minima and maxima”

On the global maximum of the solution to a stochastic heat equation with compact-support initial data

Mohammud Foondun, Davar Khoshnevisan (2010)

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

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Consider a stochastic heat equation =  2+() for a space–time white noise and a constant >0. Under some suitable conditions on the initial function 0 and , we show that the quantities lim sup →∞−1sup ∈ln E(| ()|2) and lim sup →∞−1ln E(sup ∈| ()|2) are equal, as well as bounded away from zero and infinity by explicit multiples of 1/. Our proof works by demonstrating quantitatively that...

Simulation and approximation of Lévy-driven stochastic differential equations

Nicolas Fournier (2011)

ESAIM: Probability and Statistics

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We consider the approximate Euler scheme for Lévy-driven stochastic differential equations. We study the rate of convergence in law of the paths. We show that when approximating the small jumps by Gaussian variables, the convergence is much faster than when simply neglecting them. For example, when the Lévy measure of the driving process behaves like ||d near , for some ∈ (1,2), we obtain an error of order 1/√ with a computational cost of order . For a similar error when neglecting...

On the invariant measure of the random difference equation Xn = AnXn−1 + Bn in the critical case

Sara Brofferio, Dariusz Buraczewski, Ewa Damek (2012)

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

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We consider the autoregressive model on ℝ defined by the stochastic recursion = −1 + , where {( , )} are i.i.d. random variables valued in ℝ× ℝ+. The critical case, when 𝔼 [ log A 1 ] = 0 , was studied by Babillot, Bougerol and Elie, who proved that there exists a unique invariant Radon measure for the Markov chain { }. In the present paper we prove that the weak limit of properly...

Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections

Romuald Elie, Idris Kharroubi (2014)

ESAIM: Probability and Statistics

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This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a minimal solution for these so-called constrained BSDEs with jumps a penalization procedure. This new type of BSDE offers a nice and practical unifying framework to the notions of constrained BSDEs presented in [S. Peng and M. Xu, (2007)] and BSDEs with...

On the continuity of degenerate n-harmonic functions

Flavia Giannetti, Antonia Passarelli di Napoli (2012)

ESAIM: Control, Optimisation and Calculus of Variations

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We study the regularity of finite energy solutions to degenerate n-harmonic equations. The function K(x), which measures the degeneracy, is assumed to be subexponentially integrable, i.e. it verifies the condition exp(P(K)) ∈ L loc 1. The...

On the distribution of characteristic parameters of words II

Arturo Carpi, Aldo de Luca (2010)

RAIRO - Theoretical Informatics and Applications

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The characteristic parameters and of a word over a finite alphabet are defined as follows: is the minimal natural number such that has no repeated suffix of length and is the minimal natural number such that has no right special factor of length . In a previous paper, published on this journal, we have studied the distributions of these parameters, as well as the distribution...

Exponential deficiency of convolutions of densities

Iosif Pinelis (2012)

ESAIM: Probability and Statistics

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If a probability density (x) (x ∈ ℝ) is bounded and := ∫e (x)dx < ∞ for some linear functional u and all  ∈ (01), then, for each  ∈ (01) and all large enough , the -fold convolution of the -tilted density p ˜ t ˜pt := e (x)/ is bounded. This is a corollary of a general, “non-i.i.d.” result, which is also shown to enjoy a certain optimality property. Such results and their corollaries stated in terms of the absolute integrability of the corresponding characteristic...

Meeting time of independent random walks in random environment

Christophe Gallesco (2013)

ESAIM: Probability and Statistics

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We consider, in the continuous time version, independent random walks on Z in random environment in Sinai’s regime. Let be the first meeting time of one pair of the random walks starting at different positions. We first show that the tail of the quenched distribution of , after a suitable rescaling, converges in probability, to some functional of the Brownian motion. Then we compute the law of this functional. Eventually, we obtain results about the...