Lyapunov exponents for the parabolic Anderson model.
Manifold indexed fractional fields
(Local) self-similarity is a seminal concept, especially for Euclidean random fields. We study in this paper the extension of these notions to manifold indexed fields. We give conditions on the (local) self-similarity index that ensure the existence of fractional fields. Moreover, we explain how to identify the self-similar index. We describe a way of simulating Gaussian fractional fields.
Manifold indexed fractional fields∗
(Local) self-similarity is a seminal concept, especially for Euclidean random fields. We study in this paper the extension of these notions to manifold indexed fields. We give conditions on the (local) self-similarity index that ensure the existence of fractional fields. Moreover, we explain how to identify the self-similar index. We describe a way of simulating Gaussian fractional fields.
Metric entropy of convex hulls in Hilbert spaces
Let T be a precompact subset of a Hilbert space. We estimate the metric entropy of co(T), the convex hull of T, by quantities originating in the theory of majorizing measures. In a similar way, estimates of the Gelfand width are provided. As an application we get upper bounds for the entropy of co(T), , , by functions of the ’s only. This partially answers a question raised by K. Ball and A. Pajor (cf. [1]). Our estimates turn out to be optimal in the case of slowly decreasing sequences .
Milstein’s type schemes for fractional SDEs
Weighted power variations of fractional brownian motion B are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by B. The limit of the error between the exact solution and the considered scheme is computed explicitly.
Minorations des fonctions aléatoires gaussiennes
On donne une nouvelle forme de l’inégalité de Slépian et une démonstration simple de la minoration de Sudakov ; on montre la parenté de cette minoration et de celles qui sont basées sur l’emploi des séries trigonométriques lacunaires.
Moderate deviations of empirical periodogram and non-linear functionals of moving average processes
Modifications : “Some invariance properties (of the laws) of Ocone's martingales”
Modules de continuité des trajectoires de processus gaussiens
m-order integrals and generalized Itô's formula ; the case of a fractional brownian motion with any Hurst index
Multidimensional Hermite Polynomials of Complex Gaussian Variables
Multidimensional Hermite polynomials of complex Gaussian variables.
Multifractional brownian fields indexed by metric spaces with distances of negative type
We define multifractional Brownian fields indexed by a metric space, such as a manifold with its geodesic distance, when the distance is of negative type. This construction applies when the Brownian field indexed by the metric space exists, in particular for spheres, hyperbolic spaces and real trees.
Multiparameter multifractional brownian motion : local nondeterminism and joint continuity of the local times
By using a wavelet method we prove that the harmonisable-type N-parameter multifractional brownian motion (mfBm) is a locally nondeterministic gaussian random field. This nice property then allows us to establish joint continuity of the local times of an (N, d)-mfBm and to obtain some new results concerning its sample path behavior.
Multivariate normal approximation using Stein’s method and Malliavin calculus
We combine Stein’s method with Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation (in the Wasserstein distance) of functionals of gaussian fields. Among several examples, we provide an application to a functional version of the Breuer–Major CLT for fields subordinated to a fractional brownian motion.
-аппроксимация функции правдоподобия
Norm convergent expansion for -valued Gaussian random elements
Number variance from a probabilistic perspective: infinite systems of independent Brownian motions and symmetric -stable processes.
Numerical solution of a stochastic model of a ball-type vibration absorber
The mathematical model of a ball-type vibration absorber represents a non-linear differential system which includes non-holonomic constraints. When a random ambient excitation is taken into account, the system has to be treated as a stochastic deferential equation. Depending on the level of simplification, an analytical solution is not practicable and numerical solution procedures have to be applied. The contribution presents a simple stochastic analysis of a particular resonance effect which can...
On a Class of Markov Processes in Hilbert Space.