Fast sets and points for fractional brownian motion
Feynman-Kac formula, λ-Poisson kernels and λ-Green functions of half-spaces and balls in hyperbolic spaces
We apply the Feynman-Kac formula to compute the λ-Poisson kernels and λ-Green functions for half-spaces or balls in hyperbolic spaces. We present known results in a unified way and also provide new formulas for the λ-Poisson kernels and λ-Green functions of half-spaces in ℍⁿ and for balls in real and complex hyperbolic spaces.
Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case
Motivated by applications in queueing fluid models and ruin theory, we analyze the asymptotics of , where , i = 1,...,n, are independent fractional Brownian motions with Hurst parameters and λ₁,...,λₙ > 0. The asymptotics takes one of three different qualitative forms, depending on the value of .
Fonctions aléatoires gaussiennes, les résultats récents de M. Talagrand
Fonctions de Young et continuité des trajectoires d'une fonction aléatoire
À l’aide des notions de fonctions de Young et d’entropie métrique, nous donnons des conditions suffisantes d’existence d’une version à trajectoires continues et nous déterminons des modules de continuité uniforme pour les trajectoires de cette version dans des cas plus généraux que les fonctions aléatoires réelles gaussiennes.
Fonctions-spline et espérances conditionnelles de champs gaussiens
Fractional Brownian motion and the Markov property.
Fractional brownian sheet.
Fractional Ornstein-Uhlenbeck processes.
From almost sure local regularity to almost sure Hausdorff dimension for gaussian fields
Fine regularity of stochastic processes is usually measured in a local way by local Hölder exponents and in a global way by fractal dimensions. In the case of multiparameter Gaussian random fields, Adler proved that these two concepts are connected under the assumption of increment stationarity property. The aim of this paper is to consider the case of Gaussian fields without any stationarity condition. More precisely, we prove that almost surely the Hausdorff dimensions of the range and the graph...
Functionals associated with self-intersections of the planar brownian motion