An Itô type isometry for loops in via the brownian bridge
An operator-valued stochastic integral, II
An operator-valued stochastic integral, III
An optimal Itô formula for Lévy processes.
An optimality system for finite average Markov decision chains under risk-aversion
This work concerns controlled Markov chains with finite state space and compact action sets. The decision maker is risk-averse with constant risk-sensitivity, and the performance of a control policy is measured by the long-run average cost criterion. Under standard continuity-compactness conditions, it is shown that the (possibly non-constant) optimal value function is characterized by a system of optimality equations which allows to obtain an optimal stationary policy. Also, it is shown that the...
An oriented competition model on .
An SVD approach to identifying metastable states of Markov chains.
Analyse harmonique des groupes d'automorphismes d'arbres de Bruhat-Tits
Analysis of a Bose–Einstein Markov chain
Analysis of a quantum Markov chain
Analysis on local Dirichlet spaces. I. Recurrence, conservativeness and Lp-Liouville properties.
Analytical approximation of the transition density in a local volatility model
We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.
Analyticity of transition semigroups and closability of bilinear forms in Hilbert spaces
We consider a semigroup acting on real-valued functions defined in a Hilbert space H, arising as a transition semigroup of a given stochastic process in H. We find sufficient conditions for analyticity of the semigroup in the space, where μ is a gaussian measure in H, intrinsically related to the process. We show that the infinitesimal generator of the semigroup is associated with a bilinear closed coercive form in . A closability criterion for such forms is presented. Examples are also given....
Analyzing linear recursive projects as an absorbing chain.
Ancestral processes with selection: Branching and Moran models
We consider two versions of stochastic population models with mutation and selection. The first approach relies on a multitype branching process; here, individuals reproduce and change type (i.e., mutate) independently of each other, without restriction on population size. We analyse the equilibrium behaviour of this model, both in the forward and in the backward direction of time; the backward point of view emerges if the ancestry of individuals chosen randomly from the present population is traced...
Annealed deviations of random walk in random scenery
Annealed upper tails for the energy of a charged polymer
We study the upper tails for the energy of a randomly charged symmetric and transient random walk. We assume that only charges on the same site interact pairwise. We consider annealed estimates, that is when we average over both randomness, in dimension three or more. We obtain a large deviation principle, and an explicit rate function for a large class of charge distributions.
Anomalous heat-kernel decay for random walk among bounded random conductances
We consider the nearest-neighbor simple random walk on ℤd, d≥2, driven by a field of bounded random conductances ωxy∈[0, 1]. The conductance law is i.i.d. subject to the condition that the probability of ωxy>0 exceeds the threshold for bond percolation on ℤd. For environments in which the origin is connected to infinity by bonds with positive conductances, we study the decay of the 2n-step return probability . We prove that is bounded by a random constant timesn−d/2 in d=2, 3, while it...
Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space
Anwendung von Erneuerungstheoremen und Taubersätzen für eine Verallgemeinerung der Erneuerungsprozesse.