Mathematics - Probability Publications (50)


Mathematics - Probability Publications

In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort to discretizing the underlying diffusion process, for instance using the Euler-Maruyama method. Given this assumption, we show how one can use Markov chain Monte Carlo (MCMC) and particularly particle MCMC [Andrieu, C. Read More

In this short note we provide a new way of constructing the subcritical and critical Gaussian multiplicative chaos (GMC) measures corresponding to the 2D Gaussian free field (GFF). The constructions are based on the theory of local sets of the Gaussian free field and are reminiscent of the constructions of multiplicative cascades using stopping lines. As a special case we recover E. Read More

In this paper, we extend the optimal securitization model of Pag\`es [41] and Possama\"i and Pag\`es [42] between an investor and a bank to a setting allowing both moral hazard and adverse selection. Following the recent approach to these problems of Cvitani\'c, Wan and Yang [12], we characterize explicitly and rigorously the so-called credible set of the continuation and temptation values of the bank, and obtain the value function of the investor as well as the optimal contracts through a recursive system of first-order variational inequalities with gradient constraints. We provide a detailed discussion of the properties of the optimal menu of contracts. Read More

We prove the optimal strong convergence rate of a fully discrete scheme, based on a splitting approach, for a stochastic nonlinear Schr\"odinger (NLS) equation. The main novelty of our method lies on the uniform a priori estimate and exponential integrability of a sequence of splitting processes which are used to approximate the solution of the stochastic NLS equation. We show that the splitting processes converge to the solution with strong order $1/2$. Read More

We consider a large market model of defaultable assets in which the asset price processes are modelled as Heston stochastic volatility models with default upon hitting a lower boundary. We assume that both the asset prices and their volatilities are correlated through systemic Brownian motions. We are interested in the loss process that arises in this setting and consider the large portfolio limit of the empirical measure for this system. Read More

Stochastic fractionally dissipative quasi-geostrophic type equation on $R^d$ with a multiplicative Gaussian noise is considered. We prove the existence of a martingale solution. The construction of the solution is based on the classical Faedo-Galerkin approximation, the compactness method, and the Jakubowski version of the Skorokhod Theorem for nonmetric spaces. Read More

This article studies in detail the solution of an integral equation due to Rongming et al. [13]. The methods involve complex analysis. Read More

Suppose Xt is either a regular exponential type Levy process or a Levy process with a bounded variation jumps measure. The distribution of the extrema of Xt play a crucial role in many financial and actuarial problems. This article employs the well known and powerful Riemann-Hilbert technique to derive the characteristic functions of the extrema for such Levy processes. Read More

Consider a surplus process which both of collected premium and payed claim size are two independent compound Poisson processes. This article derives two approximated formulas for the ruin probability of such surplus process, say double stochastic compound poisson process. More precisely, it provides two mixture exponential approximations for ruin probability of such double stochastic compound poisson process. Read More

Suppose $X_{t}$ is a one-dimensional and real-valued L\'evy process started from $X_0=0$, which ({\bf 1}) its nonnegative jumps measure $\nu$ satisfying $\int_{\Bbb R}\min\{1,x^2\}\nu(dx)<\infty$ and ({\bf 2}) its stopping time $\tau(q)$ is \emph{either} a geometric \emph{or} an exponential distribution with parameter $q$ independent of $X_t$ and $\tau(0)=\infty.$ This article employs the Wiener-Hopf Factorization (WHF) to find, an $L^{p^*}({\Bbb R})$ (where $1/{p^*}+1/p=1$ and $1Read More

The Gross-Pitaevskii equation with white noise in time perturbations of the harmonic potential is considered. In this article we define a Crank-Nicolson scheme based on a spectral discretization and we show the convergence of this scheme in the case of cubic non-linearity and when the exact solution is uniquely defined and global in time. We prove that the strong order of convergence in probability is at least one. Read More

It has been shown that the nonreversible overdamped Langevin dynamics enjoy better convergence properties in terms of spectral gap and asymptotic variance than the reversible one. In this article we propose a variance reduction method for the Metropolis-Hastings Adjusted Langevin Algorithm (MALA) that makes use of the good behaviour of the these nonreversible dynamics. It consists in constructing a nonreversible Markov chain (with respect to the target invariant measure) by using a Generalized Metropolis-Hastings adjustment on a lifted state space. Read More

It is known that the time until a birth and death process reaches a certain level is distributed as a sum of independent exponential random variables. Diaconis, Miclo and Swart gave a probabilistic proof of this fact by coupling the birth and death process with a pure birth process such that the two processes reach the given level at the same time. Their coupling is of a special type called intertwining of Markov processes. Read More


We prove a quantitative Fourth Moment Theorem for Wigner integrals of any order with symmetric kernels, generalizing an earlier result from Kemp et al. (2012). The proof relies on free stochastic analysis and uses a new biproduct formula for bi-integrals. Read More

We consider stochastic scalar conservation laws with spatially inhomogeneous flux. The regularity of the flux function with respect to its spatial variable is assumed to be low, so that entropy solutions are not necessarily unique in the corresponding deterministic scalar conservation law. We prove that perturbing the system by noise leads to well-posedness. Read More

In this contribution we are concerned with the asymptotic behaviour as $u\to \infty$ of $\mathbb{P}\{\sup_{t\in [0,T]} X_u(t)> u\}$, where $X_u(t),t\in [0,T],u>0$ is a family of centered Gaussian processes with continuous trajectories. A key application of our findings concerns $\mathbb{P}\{\sup_{t\in [0,T]} (X(t)+ g(t))> u\}$ as $u\to\infty$, for $X$ a centered Gaussian process and $g$ some measurable trend function. Further applications include the approximation of both the ruin time and the ruin probability of the Brownian motion risk model with constant force of interest. Read More

Preferential attachment probabilities scheme appear in the context of scale free random graphs [1],[2]. In this work we present preferential attachment probabilities scheme as a sequence of dependent Bernoulli random variables and we give an explicit expression of the transition probabilities. Read More

In this work several semantic approaches to concept-based query expansion and reranking schemes are studied and compared with different ontology-based expansion methods in web document search and retrieval. In particular, we focus on concept-based query expansion schemes, where, in order to effectively increase the precision of web document retrieval and to decrease the users browsing time, the main goal is to quickly provide users with the most suitable query expansion. Two key tasks for query expansion in web document retrieval are to find the expansion candidates, as the closest concepts in web document domain, and to rank the expanded queries properly. Read More

Let $\{B_{t}\}_{t\geq0}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $0Read More

We introduce stochastic Interaction-Round-a-Face (IRF) models that are related to representations of the elliptic quantum group $E_{\tau,\eta}(sl_2)$. For stochasic IRF models in a quadrant, we evaluate averages for a broad family of observables that can be viewed as higher analogs of $q$-moments of the height function for the stochastic (higher spin) six vertex models. In a certain limit, the stochastic IRF models degenerate to (1+1)d interacting particle systems that we call dynamic ASEP and SSEP; their jump rates depend on local values of the height function. Read More

Let $Q$ be a free Boltzmann quadrangulation with simple boundary decorated by a critical ($p=3/4$) face percolation configuration. We prove that the chordal percolation exploration path on $Q$ between two marked boundary edges converges in the scaling limit to chordal SLE$_6$ on an independent $\sqrt{8/3}$-Liouville quantum gravity disk (equivalently, a Brownian disk). The topology of convergence is the Gromov-Hausdorff-Prokhorov-uniform topology, the natural analog of the Gromov-Hausdorff topology for curve-decorated metric measure spaces. Read More

We prove that SLE$_\kappa$ for $\kappa \in (4,8)$ on an independent $\gamma=4/\sqrt{\kappa}$-Liouville quantum gravity (LQG) surface is uniquely characterized by the form of its LQG boundary length process and the form of the conditional law of the unexplored quantum surface given the explored curve-decorated quantum surface up to each time $t$. We prove variants of this characterization for both whole-plane space-filling SLE$_\kappa$ on a $\gamma$-quantum cone (which is the setting of the peanosphere construction) and for chordal SLE$_\kappa$ on a single bead of a $\frac{3\gamma}{2}$-quantum wedge. Using the equivalence of Brownian and $\sqrt{8/3}$-LQG surfaces, we deduce that SLE$_6$ on the Brownian disk is uniquely characterized by the form of its boundary length process and that the complementary connected components of the curve up to each time $t$ are themselves conditionally independent Brownian disks given this boundary length process. Read More

We prove that the free Boltzmann quadrangulation with simple boundary and fixed perimeter, equipped with its graph metric, natural area measure, and the path which traces its boundary converges in the scaling limit to the free Boltzmann Brownian disk. The topology of convergence is the so-called Gromov-Hausdorff-Prokhorov-uniform (GHPU) topology, the natural analog of the Gromov-Hausdorff topology for curve-decorated metric measure spaces. From this we deduce that a random quadrangulation of the sphere decorated by a $2l$-step self-avoiding loop converges in law in the GHPU topology to the random curve-decorated metric measure space obtained by gluing together two Brownian disks along their boundaries. Read More

We consider a particular type of $\sqrt{8/3}$-Liouville quantum gravity surface called a doubly marked quantum disk (equivalently, a Brownian disk) decorated by an independent chordal SLE$_6$ curve $\eta$ between its marked boundary points. We obtain descriptions of the law of the quantum surfaces parameterized by the complementary connected components of $\eta([0,t])$ for each time $t \geq 0$ as well as the law of the left/right $\sqrt{8/3}$-quantum boundary length process for $\eta$. Read More

This paper introduces a class of backward stochastic differential equations (BSDEs), whose coefficients not only depend on the value of its solutions of the present but also the past and the future. For a sufficiently small time delay or a sufficiently small Lipschitz constant, the existence and uniqueness of such BSDEs is obtained. As the adjoint process, a class of stochastic differential equations (SDEs) is introduced, whose coefficients also depend on the present, the past and the future of its solutions. Read More

We study a reversible continuous-time Markov dynamics of a discrete $(2+1)$-dimensional interface. This can be alternatively viewed as a dynamics of lozenge tilings of the $L\times L$ torus, or as a conservative dynamics for a two-dimensional system of interlaced particles. The particle interlacement constraints imply that the equilibrium measures are far from being product Bernoulli: particle correlations decay like the inverse distance squared and interface height fluctuations behave on large scales like a massless Gaussian field. Read More

Conditions for geometric ergodicity of multivariate ARCH processes, with the so-called BEKK parametrization, are considered. We show for a class of BEKK-ARCH processes that the invariant distribution is regularly varying. In order to account for the possibility of different tail indices of the marginals, we consider the notion of vector scaling regular variation, in the spirit of Perfekt (1997). Read More

This paper introduces Switching Processes, called SP. Their constructions are inspired by the PDMP's ones (PDMP stands for Piecewise Deterministic Markov Process). A Markov process, called the intrinsic process, replaces the PDMP's flow. Read More

The growth-fragmentation equation describes a system of growing and dividing particles, and arises in models of cell division, protein polymerisation and even telecommunications protocols. Several important questions about the equation concern the asymptotic behaviour of solutions at large times: at what rate do they converge to zero or infinity, and what does the asymp-totic profile of the solutions look like? Does the rescaled solution converge to its asymptotic profile at an exponential speed? These questions have traditionally been studied using analytic techniques such as entropy methods or splitting of operators. In this work, we present a probabilistic approach to the study of this asymptotic behaviour. Read More

We prove the Wegner bounds for the one-dimensional interacting multi-particle Anderson models in the continuum. The results apply to singular probability distribution functions such as the Bernoulli's measures. The proofs need the amplitude of the inter-particle interaction potential to be sufficiently weak. Read More

This paper is a contribution to semiclassical analysis for abstract Schr\"odinger type operators on locally compact spaces: Let $X$ be a metrizable seperable locally compact space, let $\mu$ be a Radon measure on $X$ with a full support. Let $(t,x,y)\mapsto p(t,x,y)$ be a strictly positive pointwise consistent $\mu$-heat kernel, and assume that the generator $H_p\geq 0$ of the corresponding self-adjoint contraction semigroup in $L^2(X,\mu)$ induces a regular Dirichlet form. Then, given a function $\Psi : (0,1)\to (0,\infty)$ such that the limit $\lim_{t\to 0+}p(t,x,x)\Psi (t)$ exists for all $x\in X$, we prove that for every potential $w:X\to \mathbb{R}$ one has $$ \lim_{t \to 0+} \Psi (t)\mathrm{tr}\big(\mathrm{e}^{ -t H_p + w}\big)= \int \mathrm{e}^{-w(x) }\lim_{t \to 0+}p(t,x,x) \Psi (t) d\mu(x)<\infty $$ for the Schr\"odinger type operator $H_p + w$, provided $w$ satisfies very mild conditions at $\infty$, that are essentially only made to guarantee that the sum of quadratic forms $ H_p + w/t$ is self-adjoint and bounded from below for small $t$, and to guarantee that $$ \int \mathrm{e}^{-w(x) }\lim_{t\to 0+}p(t,x,x) \Psi (t) d\mu(x)<\infty. Read More

This paper provides well-posedness results and stochastic representations for the solutions to equations involving both the right- and the left-sided generalized operators of Caputo type. As a special case, these results show the interplay between two-sided fractional differential equations and two-sided exit problems for certain L\'evy processes. Read More

We present a new proof of a fundamental result concerning cycles of random permutations which gives some intuition for the connection between Touchard polynomials and the Poisson distribution. We also introduce a rather novel permutation statistic and study its distribution. This quantity, indexed by $m$, is the number of sets of size $m$ fixed by the permutation. Read More

We consider a problem introduced by Mossel and Ross [Shotgun assembly of labeled graphs, arXiv:1504.07682]. Suppose a random $n\times n$ jigsaw puzzle is constructed by independently and uniformly choosing the shape of each "jig" from $q$ possibilities. Read More

We prove a result on non-clustering of particles in a two-dimensional Coulomb plasma, which holds provided that the inverse temperature $\beta$ satisfies $\beta>1$. As a consequence we obtain a result on crystallization as $\beta\to\infty$: the particles will, on a microscopic scale, appear at a certain distance from each other. The estimation of this distance is connected to Abrikosov's conjecture that the particles should freeze up according to a honeycomb lattice when $\beta\to\infty$. Read More

For stationary, homogeneous Markov processes (viz., L\'{e}vy processes, including Brownian motion) in dimension $d\geq 3$, we establish an exact formula for the average number of $(d-1)$-dimensional facets that can be defined by $d$ points on the process's path. This formula defines a universality class in that it is independent of the increments' distribution, and it admits a closed form when $d=3$, a case which is of particular interest for applications in biophysics, chemistry and polymer science. Read More

In this paper we consider an interacting particle system in $\mathbb{R}^d$ modelled as a system of $N$ stochastic differential equations driven by L\'{e}vy processes. The limiting behaviour as the size $N$ grows to infinity is achieved as a law of large numbers for the empirical density process associated with the interacting particle system. We prove that the empirical process converges, uniformly in the space variable, to the solution of the $d$-dimensional fractal conservation law. Read More

Consider a reaction-diffusion equation of the form \[\dot{u}(t\,,x)=\tfrac12 u"(t\,,x) + b(u(t\,,x)) + \sigma(u(t,x)) \xi(t,x),\] on $\R_+\times[0\,,1]$, with the Dirichlet boundary condition and a nice initial condition, where $\xi(t,x)$ is a space-time white noise, in the case that there exists $\varepsilon>0$ such that $| b(z)| \ge|z|(\log|z|)^{1+\varepsilon}$ for all sufficiently-large values of $|z|$. When $\sigma\equiv 0$, it is well known that such PDEs frequently have non-trivial stationary solutions. By contrast, Bonder and Groisman have recently shown that when $\sigma$ is constant and $\sigma \neq 0$, there is %the addition of any amount of space-time white noise to the reaction-diffusion equation often results in finite-time blowup. Read More

We introduce the class of continuous-time autoregressive moving-average (CARMA) processes in Hilbert spaces. As driving noises of these processes we consider Levy processes in Hilbert space. We provide the basic definitions, show relevant properties of these processes and establish the equivalents of CARMA processes on the real line. Read More

We consider noise perturbations of delay differential equations (DDE) experiencing Hopf bifurcation. The noise is assumed to be exponentially ergodic, i.e. Read More

Motivated by truncated EM method introduced by Mao (2015), a new explicit numerical method named modified truncated Euler-Maruyama method is developed in this paper. Strong convergence rates of the given numerical scheme to the exact solutions to stochastic differential equations are investigated under given conditions in this paper. Compared with truncated EM method, the given numerical simulation strongly converges to the exact solution at fixed time $T$ and over a time interval $[0,T]$ under weaker sufficient conditions. Read More

We consider randomly distributed mixtures of bonds of ferromagnetic and antiferromagnetic type in a two-dimensional square lattice with probability $1-p$ and $p$, respectively, according to an i.i.d. Read More

A recent paper \cite{KMMO} introduced the stochastic U_q(A_n^{(1)}) vertex model. The stochastic S-matrix is related to the R-matrix of the quantum group U_q(A_n^{(1)}) by a gauge transformation. We will show that a certain function D^+_{\mu} intertwines with the transfer matrix and its space reversal. Read More

We consider a sparse linear regression model Y=X\beta^{*}+W where X has a Gaussian entries, W is the noise vector with mean zero Gaussian entries, and \beta^{*} is a binary vector with support size (sparsity) k. Using a novel conditional second moment method we obtain a tight up to a multiplicative constant approximation of the optimal squared error \min_{\beta}\|Y-X\beta\|_{2}, where the minimization is over all k-sparse binary vectors \beta. The approximation reveals interesting structural properties of the underlying regression problem. Read More

Based on numerical simulation and local stability analysis we describe the structure of the phase space of the edge/triangle model of random graphs. We support simulation evidence with mathematical proof of continuity and discontinuity for many of the phase transitions. All but one of themany phase transitions in this model break some form of symmetry, and we use this model to explore how changes in symmetry are related to discontinuities at these transitions. Read More

As proved by R\'egnier and R\"osler, the number of key comparisons required by the randomized sorting algorithm QuickSort to sort a list of $n$ distinct items (keys) satisfies a global distributional limit theorem. Fill and Janson proved results about the limiting distribution and the rate of convergence, and used these to prove a result part way towards a corresponding local limit theorem. In this paper we use a multi-round smoothing technique to prove the full local limit theorem. Read More

Motivated by applications to renewal theory, Erd\"os, de Bruijn and Kingman posed in $50$th-$70$th a problem on regularity of reciprocals of probability generating functions. We solve the problem in the strong negative and give a number of other related results. Read More

We prove an expansion for densities in the free CLT and apply this result to an expansion in the entropic free central limit theorem assuming a moment condition of order four for the free summands. Read More

Although for a number of semilinear stochastic wave equations existence and uniqueness results for corresponding solution processes are known from the literature, these solution processes are typically not explicitly known and numerical approximation methods are needed in order for mathematical modelling with stochastic wave equations to become relevant for real world applications. This, in turn, requires the numerical analysis of convergence rates for such numerical approximation processes. A recent article by the authors proves upper bounds for weak errors for spatial spectral Galerkin approximations of a class of semilinear stochastic wave equations. Read More