共查询到20条相似文献,搜索用时 31 毫秒
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Jean-Stéphane Dhersin Fabian Freund Arno Siri-Jégousse Linglong Yuan 《Stochastic Processes and their Applications》2013
In this paper, we consider Beta(2−α,α) (with 1<α<2) and related Λ-coalescents. If T(n) denotes the length of a randomly chosen external branch of the n-coalescent, we prove the convergence of nα−1T(n) when n tends to ∞, and give the limit. To this aim, we give asymptotics for the number σ(n) of collisions which occur in the n-coalescent until the end of the chosen external branch, and for the block counting process associated with the n-coalescent. 相似文献
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In this paper, we establish an oscillation estimate of nonnegative harmonic functions for a pure-jump subordinate Brownian motion. The infinitesimal generator of such subordinate Brownian motion is an integro-differential operator. As an application, we give a probabilistic proof of the following form of relative Fatou theorem for such subordinate Brownian motion X in a bounded κ-fat open set; if u is a positive harmonic function with respect to X in a bounded κ-fat open set D and h is a positive harmonic function in D vanishing on Dc, then the non-tangential limit of u/h exists almost everywhere with respect to the Martin-representing measure of h. 相似文献
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It is proved that the solutions to the singular stochastic p-Laplace equation, p∈(1,2) and the solutions to the stochastic fast diffusion equation with nonlinearity parameter r∈(0,1) on a bounded open domain Λ⊂Rd with Dirichlet boundary conditions are continuous in mean, uniformly in time, with respect to the parameters p and r respectively (in the Hilbert spaces L2(Λ), H−1(Λ) respectively). The highly singular limit case p=1 is treated with the help of stochastic evolution variational inequalities, where P-a.s. convergence, uniformly in time, is established. 相似文献
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We derive a Molchan–Golosov-type integral transform which changes fractional Brownian motion of arbitrary Hurst index K into fractional Brownian motion of index H. Integration is carried out over [0,t], t>0. The formula is derived in the time domain. Based on this transform, we construct a prelimit which converges in L2(P)-sense to an analogous, already known Mandelbrot–Van Ness-type integral transform, where integration is over (−∞,t], t>0. 相似文献
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Michel Mandjes Petteri Mannersalo Ilkka Norros Miranda van Uitert 《Stochastic Processes and their Applications》2006
Consider events of the form {Zs≥ζ(s),s∈S}, where Z is a continuous Gaussian process with stationary increments, ζ is a function that belongs to the reproducing kernel Hilbert space R of process Z, and S⊂R is compact. The main problem considered in this paper is identifying the function β∗∈R satisfying β∗(s)≥ζ(s) on S and having minimal R-norm. The smoothness (mean square differentiability) of Z turns out to have a crucial impact on the structure of the solution. As examples, we obtain the explicit solutions when ζ(s)=s for s∈[0,1] and Z is either a fractional Brownian motion or an integrated Ornstein–Uhlenbeck process. 相似文献
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For α∈R, let pR(t,x,x) denote the diagonal of the transition density of the α-Bessel process in (0,1], killed at 0 and reflected at 1. As a function of x, if either α≥3 or α=1, then for t>0, the diagonal is nondecreasing. This monotonicity property fails if 1≠α<3. 相似文献
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In this paper, we consider the problem (Pε) : Δ2u=un+4/n-4+εu,u>0 in Ω,u=Δu=0 on ∂Ω, where Ω is a bounded and smooth domain in Rn,n>8 and ε>0. We analyze the asymptotic behavior of solutions of (Pε) which are minimizing for the Sobolev inequality as ε→0 and we prove existence of solutions to (Pε) which blow up and concentrate around a critical point of the Robin's function. Finally, we show that for ε small, (Pε) has at least as many solutions as the Ljusternik–Schnirelman category of Ω. 相似文献
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We define a covariance-type operator on Wiener space: for F and G two random variables in the Gross–Sobolev space D1,2 of random variables with a square-integrable Malliavin derivative, we let ΓF,G?〈DF,−DL−1G〉, where D is the Malliavin derivative operator and L−1 is the pseudo-inverse of the generator of the Ornstein–Uhlenbeck semigroup. We use Γ to extend the notion of covariance and canonical metric for vectors and random fields on Wiener space, and prove corresponding non-Gaussian comparison inequalities on Wiener space, which extend the Sudakov–Fernique result on comparison of expected suprema of Gaussian fields, and the Slepian inequality for functionals of Gaussian vectors. These results are proved using a so-called smart-path method on Wiener space, and are illustrated via various examples. We also illustrate the use of the same method by proving a Sherrington–Kirkpatrick universality result for spin systems in correlated and non-stationary non-Gaussian random media. 相似文献
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We study models of discrete-time, symmetric, Zd-valued random walks in random environments, driven by a field of i.i.d. random nearest-neighbor conductances ωxy∈[0,1], with polynomial tail near 0 with exponent γ>0. We first prove for all d≥5 that the return probability shows an anomalous decay (non-Gaussian) that approaches (up to sub-polynomial terms) a random constant times n−2 when we push the power γ to zero. In contrast, we prove that the heat-kernel decay is as close as we want, in a logarithmic sense, to the standard decay n−d/2 for large values of the parameter γ. 相似文献
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Let X,X1,X2,… be independent and identically distributed Rd-valued random vectors and assume X belongs to the generalized domain of attraction of some operator semistable law without normal component. Then without changing its distribution, one can redefine the sequence on a new probability space such that the properly affine normalized partial sums converge in probability and consequently even in Lp (for some p>0) to the corresponding operator semistable Lévy motion. 相似文献
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Suppose X is a real q-uniformly smooth Banach space and F,K:X→X are bounded strongly accretive maps with D(K)=F(X)=X. Let u∗ denote the unique solution of the Hammerstein equation u+KFu=0. A new explicit coupled iteration process is shown to converge strongly to u∗. No invertibility assumption is imposed on K and the operators K and F need not be defined on compact subsets of X. Furthermore, our new technique of proof is of independent interest. Finally, some interesting open questions are included. 相似文献
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Let x(s), s∈Rd be a Gaussian self-similar random process of index H. We consider the problem of log-asymptotics for the probability pT that x(s), x(0)=0 does not exceed a fixed level in a star-shaped expanding domain T⋅Δ as T→∞. We solve the problem of the existence of the limit, θ?lim(−logpT)/(logT)D, T→∞, for the fractional Brownian sheet x(s), s∈[0,T]2 when D=2, and we estimate θ for the integrated fractional Brownian motion when D=1. 相似文献
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We study the error induced by the time discretization of decoupled forward–backward stochastic differential equations (X,Y,Z). The forward component X is the solution of a Brownian stochastic differential equation and is approximated by a Euler scheme XN with N time steps. The backward component is approximated by a backward scheme. Firstly, we prove that the errors (YN−Y,ZN−Z) measured in the strong Lp-sense (p≥1) are of order N−1/2 (this generalizes the results by Zhang [J. Zhang, A numerical scheme for BSDEs, The Annals of Applied Probability 14 (1) (2004) 459–488]). Secondly, an error expansion is derived: surprisingly, the first term is proportional to XN−X while residual terms are of order N−1. 相似文献