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Sur le nombre de points visités par une marche aléatoire sur un amas infini de percolation

Clément Rau (2007)

Bulletin de la Société Mathématique de France

On s’intéresse à une marche aléatoire simple sur un amas infini issu d’un processus de percolation surcritique sur les arêtes de ℤ d ( d ≥ 2 ) de loi Q . On montre que la transformée de Laplace du nombre de points visités au temps n , noté N n , a un comportement similaire au cas où la marche évolue dans ℤ d . Plus précisément, on établit que pour tout 0 < α < 1 , il existe des constantes C i , C s > 0 telles que pour presque toute réalisation de la percolation telle que l’origine appartienne à l’amas infini et pour n assez grand, e - C i n d / ( d + 2 ) ≤ 𝔼 0 ω ( α N n ) ≤ e - C s n d / ( d + 2 ) . Le...

Survival probability approach to the relaxation of a macroscopic system in the defect-diffusion framework

Paulina Hetman (2004)

Applicationes Mathematicae

The main objective of this paper is to present a new probabilistic model underlying the universal relaxation laws observed in many fields of science where we associate the survival probability of the system's state with the defect-diffusion framework. Our approach is based on the notion of the continuous-time random walk. To derive the properties of the survival probability of a system we explore the limit theorems concerning either the summation or the extremes: maxima and minima. The forms of...

Systemic risk through contagion in a core-periphery structured banking network

Oliver Kley, Claudia Klüppelberg, Lukas Reichel (2015)

Banach Center Publications

We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets better than a symmetric model. The components of a vector Ornstein-Uhlenbeck process living on the nodes of the network describe the financial robustnesses of the agents. For this system, we prove a LLN for growing network size leading to a propagation of chaos result....

Tail estimates for homogenization theorems in random media

Daniel Boivin (2009)

ESAIM: Probability and Statistics

Consider a random environment in ℤ d given by i.i.d. conductances. In this work, we obtain tail estimates for the fluctuations about the mean for the following characteristics of the environment: the effective conductance between opposite faces of a cube, the diffusion matrices of periodized environments and the spectral gap of the random walk in a finite cube.

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