Iteration of the Lent Particle Method for Existence of Smooth Densities of Poisson Functionals

In previous works (Bouleau and Denis, J Funct Anal 257:1144–1174, 2009, Probab Theory Relat Fields, 2011) we have introduced a new method called the lent particle method which is an efficient tool to establish existence of densities for Poisson functionals. We now go further and iterate this method in order to prove smoothness of densities. More precisely, we construct Sobolev spaces of any order and prove a Malliavin-type criterion of existence of smooth density. We apply this approach to SDE’s driven by Poisson random measures and also present some non-trivial examples to which our method applies.     

Right-convergence of sparse random graphs

The paper is devoted to the problem of establishing right-convergence of sparse random graphs. This concerns the convergence of the logarithm of number of homomorphisms from graphs or hyper-graphs \(\mathbb{G }_N, N\ge 1\) to some target graph \(W\) . The theory of dense graph convergence, including random dense graphs, is now well understood (Borgs et al. in Ann Math 176:151–219, 2012; Borgs et al. in Adv Math 219:1801–1851, 2008; Chatterjee and Varadhan in Eur J Comb 32:1000–1017, 2011; Lovász and Szegedy in J Comb Theory Ser B 96:933–957, 2006), but its counterpart for sparse random graphs presents some fundamental difficulties. Phrased in the statistical physics terminology, the issue is the existence of the limits of appropriately normalized log-partition functions, also known as free energy limits, for the Gibbs distribution associated with \(W\) . In this paper we prove that the sequence of sparse Erdös-Rényi graphs is right-converging when the tensor product associated with the target graph \(W\) satisfies a certain convexity property. We treat the case of discrete and continuous target graphs \(W\) . The latter case allows us to prove a special case of Talagrand’s recent conjecture [more accurately stated as level III Research Problem 6.7.2 in his recent book (Talagrand in Mean Field Models for Spin Glasses: Volume I: Basic examples. Springer, Berlin, 2010)], concerning the existence of the limit of the measure of a set obtained from \(\mathbb{R }^N\) by intersecting it with linearly in \(N\) many subsets, generated according to some common probability law. Our proof is based on the interpolation technique, introduced first by Guerra and Toninelli (Commun Math Phys 230:71–79, 2002) and developed further in (Abbe and Montanari in On the concentration of the number of solutions of random satisfiability formulas, 2013; Bayati et al. in Ann Probab Conference version in Proceedings of 42nd Ann. Symposium on the Theory of Computing (STOC), 2010; Contucci et al. in Antiferromagnetic Potts model on the Erdös-Rényi random graph, 2011; Franz and Leone in J Stat Phys 111(3/4):535–564, 2003; Franz et al. in J Phys A Math Gen 36:10967–10985, 2003; Montanari in IEEE Trans Inf Theory 51(9):3221–3246, 2005; Panchenko and Talagrand in Probab Theory Relat Fields 130:312–336, 2004). Specifically, Bayati et al. (Ann Probab Conference version in Proceedings of 42nd Ann. Symposium on the Theory of Computing (STOC), 2010) establishes the right-convergence property for Erdös-Rényi graphs for some special cases of \(W\) . In this paper most of the results in Bayati et al. (Ann Probab Conference version in Proceedings of 42nd Ann. Symposium on the Theory of Computing (STOC), 2010) follow as a special case of our main theorem.     

Asymptotics of q-plancherel measures

In this paper, we are interested in the asymptotic size of the rows and columns of a random Young diagram under a natural deformation of the Plancherel measure coming from Hecke algebras. The first lines of such diagrams are typically of order n, so it does not fit in the context of the work of Biane (Int Math Res Notices 4:179–192, 2001) and ?niady (Probab. Theory Relat Fields 136:263–297, 2006). Using the theory of polynomial functions on Young diagrams of Kerov and Olshanski, we are able to compute explicitly the first- and second-order asymptotics of the length of the first rows. Our method also works for other measures, for example those coming from Schur–Weyl representations.     

Almost sure convergence for stochastically biased random walks on trees

We are interested in the biased random walk on a supercritical Galton?CWatson tree in the sense of Lyons (Ann. Probab. 18:931?C958, 1990) and Lyons, Pemantle and Peres (Probab. Theory Relat. Fields 106:249?C264, 1996), and study a phenomenon of slow movement. In order to observe such a slow movement, the bias needs to be random; the resulting random walk is then a tree-valued random walk in random environment. We investigate the recurrent case, and prove, under suitable general integrability assumptions, that upon the system??s non-extinction, the maximal displacement of the walk in the first n steps, divided by (log n)³, converges almost surely to a known positive constant.     

Finite Diagonal Random Matrices

The goal of this article is to extend some results of Popescu (Probab. Theory Relat. Fields 144:179, 2009) in several directions. We establish the limiting spectral distribution (LSD) for r-diagonal matrices under reduced moment conditions compared to those required by Popescu. We also deal with the joint convergence of several sequences of such matrices. In particular, we show that there is a large class of such matrices where the joint limit is not free while the marginals are semicircular. We also consider matrices of the form $X_{n}X_{n}^{T}$ where X _n is a sequence of nonsymmetric r-diagonal random matrices and establish their limiting spectral distribution.     

Poisson and compound Poisson approximations in conventional and nonconventional setups

It was shown in Kifer (Israel J Math, 2013) that for any subshift of finite type considered with a Gibbs invariant measure the numbers of multiple recurrencies to shrinking cylindrical neighborhoods of almost all points are asymptotically Poisson distributed. Here we not only extend this result to all \(\psi \) -mixing shifts with countable alphabet but actually show that for all points the distributions of these numbers are asymptotically close either to Poisson or to compound Poisson distributions. It turns out that for all nonperiodic points a limiting distribution is always Poisson while at the same time for periodic points there may be no limiting distribution at all unless the shift invariant measure is Bernoulli in which case the limiting distribution always exists. Thus we describe, essentially completely, limiting distributions of multiple recurrence numbers in this setup. As a corollary we obtain also that the first occurence time of the multiple recurrence event is asymptotically exponentially distributed. Most of the results are new also for the widely studied single recurrencies case (see, for instance, Haydn and Vaienti Discret Contin Dyn Syst A 10:589–616, 2004; Probab Theory Relat Fields 144:517–542, 2009; Abadi and Saussol Stoch Process Appl 121:314–323, 2011; Abadi and Vergne Nonlinearity 21:2871–2885, 2008), as well.     

Large Deviations for Stochastic Tamed 3D Navier-Stokes Equations

In this paper, using weak convergence method, we prove a large deviation principle of Freidlin-Wentzell type for the stochastic tamed 3D Navier-Stokes equations driven by multiplicative noise, which was investigated in (Röckner and Zhang in Probab. Theory Relat. Fields 145(1–2), 211–267, 2009).     

Small Time Asymptotics for Stochastic Evolution Equations

We obtain a large deviation principle describing the small time asymptotics of the solution of a stochastic evolution equation with multiplicative noise. Our assumptions are a condition on the linear drift operator that is satisfied by generators of analytic semigroups and Lipschitz continuity of the nonlinear coefficient functions. Methods originally used by Peszat (Probab. Theory Relat. Fields 98:113?C136, 1994) for the small noise asymptotics problem are adapted to solve the small time asymptotics problem. The results obtained in this way improve on some results of Zhang (Ann. Probab. 28(2):537?C557, 2000).     

Precise large deviations for dependent regularly varying sequences

We study a precise large deviation principle for a stationary regularly varying sequence of random variables. This principle extends the classical results of Nagaev (Theory Probab Appl 14:51–64, 193–208, 1969) and Nagaev (Ann Probab 7:745–789, 1979) for iid regularly varying sequences. The proof uses an idea of Jakubowski (Stoch Proc Appl 44:291–327, 1993; 68:1–20, 1997) in the context of central limit theorems with infinite variance stable limits. We illustrate the principle for stochastic volatility models, real valued functions of a Markov chain satisfying a polynomial drift condition and solutions of linear and non-linear stochastic recurrence equations.     

On the Semicircular Law of Large-Dimensional Random Quaternion Matrices

It is well known that the Gaussian symplectic ensemble is defined on the space of \(n\times n\) quaternion self-dual Hermitian matrices with Gaussian random elements. There is a huge body of literature regarding this kind of matrices based on the exact known form of the density function of the eigenvalues (see Erd?s in Russ Math Surv 66(3):507–626, 2011; Erd?s in Probab Theory Relat Fields 154(1–2):341–407, 2012; Erd?s et al. in Adv Math 229(3):1435–1515, 2012; Knowles and Yin in Probab Theory Relat Fields, 155(3–4):543–582, 2013; Tao and Vu in Acta Math 206(1):127–204, 2011; Tao and Vu in Electron J Probab 16(77):2104–2121, 2011). Due to the fact that multiplication of quaternions is not commutative, few works about large-dimensional quaternion self-dual Hermitian matrices are seen without normality assumptions. As in natural, we shall get more universal results by removing the Gaussian condition. For the first step, in this paper, we prove that the empirical spectral distribution of the common quaternion self-dual Hermitian matrices tends to the semicircular law. The main tool to establish the universal result is given as a lemma in this paper as well.     

A d-dimensional nucleation and growth model

We analyze the relaxation time of a ferromagnetic d-dimensional growth model on the lattice. The model is characterized by d parameters which represent the activation energies of a site, depending on the number of occupied nearest neighbours. This model is a natural generalisation of the model studied by Dehghanpour and Schonmann (Probab Theory Relat Fields. 107(1):123–135, 1997), where the activation energy of a site with more than two occupied neighbours is zero.     

Averaging Fluctuations in Resolvents of Random Band Matrices

We consider a general class of random matrices whose entries are centred random variables, independent up to a symmetry constraint. We establish precise high-probability bounds on the averages of arbitrary monomials in the resolvent matrix entries. Our results generalize the previous results of Erd?s et al. (Ann Probab, arXiv:1103.1919, 2013; Commun Math Phys, arXiv:1103.3869, 2013; J Combin 1(2):15–85, 2011) which constituted a key step in the proof of the local semicircle law with optimal error bound in mean-field random matrix models. Our bounds apply to random band matrices and improve previous estimates from order 2 to order 4 in the cases relevant to applications. In particular, they lead to a proof of the diffusion approximation for the magnitude of the resolvent of random band matrices. This, in turn, implies new delocalization bounds on the eigenvectors. The applications are presented in a separate paper (Erd?s et al., arXiv:1205.5669, 2013).     

The weight distributions of a class of cyclic codes II

Recently, the weight distributions of the duals of the cyclic codes with two zeros have been obtained for several cases in Ding et al. (IEEE Trans Inform Theory 57(12), 8000–8006, 2011); Ma et al. (IEEE Trans Inform Theory 57(1):397–402, 2011); Wang et al. (Trans Inf Theory 58(12):7253–7259, 2012); and Xiong (Finite Fields Appl 18(5):933–945, 2012). In this paper we use the method developed in Xiong (Finite Fields Appl 18(5):933–945, 2012) to solve one more special case. We make extensive use of standard tools in number theory such as characters of finite fields, the Gauss sums and the Jacobi sums. The problem of finding the weight distribution is transformed into a problem of evaluating certain character sums over finite fields, which turns out to be associated with counting the number of points on some elliptic curves over finite fields. We also treat the special case that the characteristic of the finite field is 2.     

Linear SPDEs Driven by Stationary Random Distributions

Using tools from the theory of stationary random distributions developed in It? (Mem. Coll. Sci., Univ. Kyoto, Ser. A: Math., 28:209?C223,?1954) and Yaglom (Theory Probab. Appl., 2:273?C320,?1957), we introduce a new class of processes which can be used as a model for the noise perturbing an SPDE. This type of noise is not necessarily Gaussian, but it includes the spatially homogeneous Gaussian noise introduced in Dalang (Electron. J. Probab. 4(6)?1999), and the fractional noise considered in Balan and Tudor (Stoch. Process. Appl., 120:2468?C2494,?2010). We derive some general conditions for the existence of a random field solution of a linear SPDE with this type of noise, under some mild conditions imposed on the Green function of the differential operator which appears in this equation. This methodology is applied to the study of the heat and wave equations (possibly replacing the Laplacian by one of its fractional powers), extending in this manner the results of Balan and Tudor (Stoch. Process. Appl., 120:2468?C2494,?2010) to the case H<1/2.     

Group-Theoretic Dimension of Stationary Symmetric α-Stable Random Fields

The growth rate of the partial maximum of a stationary stable process was first studied in the works of Samorodnitsky (Ann. Probab. 32:1438–1468, 2004; Adv. Appl. Probab. 36:805–823, 2004), where it was established, based on the seminal works of Rosiński (Ann. Probab. 23:1163–1187, 1995; 28:1797–1813, 2000), that the growth rate is connected to the ergodic-theoretic properties of the flow that generates the process. The results were generalized to the case of stable random fields indexed by ? ^d in Roy and Samorodnitsky (J. Theor. Probab. 21:212–233, 2008), where properties of the group of nonsingular transformations generating the stable process were studied as an attempt to understand the growth rate of the partial maximum process. This work generalizes this connection between stable random fields and group theory to the continuous parameter case, that is, to fields indexed by ? ^d .     

Asymptotic behaviour of first passage time distributions for Lévy processes

Let $X$ be a real valued Lévy process that is in the domain of attraction of a stable law without centering with norming function $c.$ As an analogue of the random walk results in Vatutin and Wachtel (Probab Theory Relat Fields 143(1–2):177–217, 2009) and Doney (Probab Theory Relat Fields 152(3–4):559–588, 2012), we study the local behaviour of the distribution of the lifetime $\zeta $ under the characteristic measure $\underline{n}$ of excursions away from $0$ of the process $X$ reflected in its past infimum, and of the first passage time of $X$ below $0,$ $T_{0}=\inf \{t>0:X_{t}<0\},$ under $\mathbb{P }_{x}(\cdot ),$ for $x>0,$ in two different regimes for $x,$ viz. $x=o(c(\cdot ))$ and $x>D c(\cdot ),$ for some $D>0.$ We sharpen our estimates by distinguishing between two types of path behaviour, viz. continuous passage at $T_{0}$ and discontinuous passage. In order to prove our main results we establish some sharp local estimates for the entrance law of the excursion process associated to $X$ reflected in its past infimum.     

Multivariate Generalized Marshall–Olkin Distributions and Copulas

The multivariate generalized Marshall–Olkin distributions, which include the multivariate Marshall–Olkin exponential distribution due to Marshall and Olkin (J Am Stat Assoc 62:30–41, 1967) and multivariate Marshall–Olkin type distribution due to Muliere and Scarsini (Ann Inst Stat Math 39:429–441, 1987) as special cases, are studied in this paper. We derive the survival copula and the upper/lower orthant dependence coefficient, build the order of these survival copulas, and investigate the evolution of dependence of the residual life with respect to age. The main conclusions developed here are both nice extensions of the main results in Li (Commun Stat Theory Methods 37:1721–1733, 2008a, Methodol Comput Appl Probab 10:39–54, 2008b) and high dimensional generalizations of some results on the bivariate generalized Marshall–Olkin distributions in Li and Pellerey (J Multivar Anal 102:1399–1409, 2011).     

Continuity of the solution mapping to parametric generalized vector equilibrium problems

In this paper, two kinds of parametric generalized vector equilibrium problems in normed spaces are studied. The sufficient conditions for the continuity of the solution mappings to the two kinds of parametric generalized vector equilibrium problems are established under suitable conditions. The results presented in this paper extend and improve some main results in Chen and Gong (Pac J Optim 3:511–520, 2010), Chen and Li (Pac J Optim 6:141–152, 2010), Chen et al. (J Glob Optim 45:309–318, 2009), Cheng and Zhu (J Glob Optim 32:543–550, 2005), Gong (J Optim Theory Appl 139:35–46, 2008), Li and Fang (J Optim Theory Appl 147:507–515, 2010), Li et al. (Bull Aust Math Soc 81:85–95, 2010) and Peng et al. (J Optim Theory Appl 152(1):256–264, 2011).     

Convergence to extremal processes in random environments and extremal ageing in SK models

This paper extends recent results on ageing in mean field spin glasses on short time scales, obtained by Ben Arous and Gün (Commun Pure Appl Math 65:77–127, 2012) in law with respect to the environment, to results that hold almost surely, respectively in probability, with respect to the environment. It is based on the methods put forward in (Gayrard in Aging in reversible dynamics of disordered systems. II. Emergence of the arcsine law in the random hopping time dynamics of the REM, 2010; Electron J Probab 17(58): 1–33, 2012) and naturally complements (Bovier and Gayrard in Ann Probab, 2012).