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Sampling the Fermi statistics and other conditional product measures

A. Gaudillière, J. Reygner (2011)

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

Through a Metropolis-like algorithm with single step computational cost of order one, we build a Markov chain that relaxes to the canonical Fermi statistics for k non-interacting particles among m energy levels. Uniformly over the temperature as well as the energy values and degeneracies of the energy levels we give an explicit upper bound with leading term km ln k for the mixing time of the dynamics. We obtain such construction and upper bound as a special case of a general result on (non-homogeneous)...

Second-order asymptotic expansion for a non-synchronous covariation estimator

Arnak Dalalyan, Nakahiro Yoshida (2011)

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

In this paper, we consider the problem of estimating the covariation of two diffusion processes when observations are subject to non-synchronicity. Building on recent papers [Bernoulli11 (2005) 359–379, Ann. Inst. Statist. Math.60 (2008) 367–406], we derive second-order asymptotic expansions for the distribution of the Hayashi–Yoshida estimator in a fairly general setup including random sampling schemes and non-anticipative random drifts. The key steps leading to our results are a second-order decomposition...

Self-stabilizing processes: uniqueness problem for stationary measures and convergence rate in the small-noise limit

Samuel Herrmann, Julian Tugaut (2012)

ESAIM: Probability and Statistics

In the context of self-stabilizing processes, that is processes attracted by their own law, living in a potential landscape, we investigate different properties of the invariant measures. The interaction between the process and its law leads to nonlinear stochastic differential equations. In [S. Herrmann and J. Tugaut. Electron. J. Probab. 15 (2010) 2087–2116], the authors proved that, for linear interaction and under suitable conditions, there exists a unique symmetric limit measure associated...

Self-stabilizing processes: uniqueness problem for stationary measures and convergence rate in the small-noise limit

Samuel Herrmann, Julian Tugaut (2012)

ESAIM: Probability and Statistics

In the context of self-stabilizing processes, that is processes attracted by their own law, living in a potential landscape, we investigate different properties of the invariant measures. The interaction between the process and its law leads to nonlinear stochastic differential equations. In [S. Herrmann and J. Tugaut. Electron. J. Probab. 15 (2010) 2087–2116], the authors proved that, for linear interaction and under suitable conditions, there...

Semi-additive functionals and cocycles in the context of self-similarity

Vladas Pipiras, Murad S. Taqqu (2010)

Discussiones Mathematicae Probability and Statistics

Kernel functions of stable, self-similar mixed moving averages are known to be related to nonsingular flows. We identify and examine here a new functional occuring in this relation and study its properties. To prove its existence, we develop a general result about semi-additive functionals related to cocycles. The functional we identify, is helpful when solving for the kernel function generated by a flow. Its presence also sheds light on the previous results on the subject.

Semigroups generated by certain pseudo-differential operators on the half-space 0 + n + 1

Victoria Knopova (2004)

Colloquium Mathematicae

The aim of the paper is two-fold. First, we investigate the ψ-Bessel potential spaces on 0 + n + 1 and study some of their properties. Secondly, we consider the fractional powers of an operator of the form - A ± = - ψ ( D x ' ) ± / ( x n + 1 ) , ( x ' , x n + 1 ) 0 + n + 1 , where ψ ( D x ' ) is an operator with real continuous negative definite symbol ψ: ℝⁿ → ℝ. We define the domain of the operator - ( - A ± ) α and prove that with this domain it generates an L p -sub-Markovian semigroup.

Semigroups generated by convex combinations of several Feller generators in models of mathematical biology

Adam Bobrowski, Radosław Bogucki (2008)

Studia Mathematica

Let be a locally compact Hausdorff space. Let A i , i = 0,1,...,N, be generators of Feller semigroups in C₀() with related Feller processes X i = X i ( t ) , t 0 and let α i , i = 0,...,N, be non-negative continuous functions on with i = 0 N α i = 1 . Assume that the closure A of k = 0 N α k A k defined on i = 0 N ( A i ) generates a Feller semigroup T(t), t ≥ 0 in C₀(). A natural interpretation of a related Feller process X = X(t), t ≥ 0 is that it evolves according to the following heuristic rules: conditional on being at a point p ∈ , with probability α i ( p ) , the process...

Semimartingale decomposition of convex functions of continuous semimartingales by brownian perturbation

Nastasiya F. Grinberg (2013)

ESAIM: Probability and Statistics

In this note we prove that the local martingale part of a convex function f of a d-dimensional semimartingale X = M + A can be written in terms of an Itô stochastic integral ∫H(X)dM, where H(x) is some particular measurable choice of subgradient ∇ f ( x ) off at x, and M is the martingale part of X. This result was first proved by Bouleau in [N. Bouleau, C. R. Acad. Sci. Paris Sér. I Math. 292 (1981) 87–90]. Here we present a new treatment of the problem. We first prove the result for X ˜ = X + ϵ B x10ff65;...

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