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1.
We say that n independent trajectories ξ1(t),…,ξ
n
(t) of a stochastic process ξ(t)on a metric space are asymptotically separated if, for some ɛ > 0, the distance between ξ
i
(t
i
) and ξ
j
(t
j
) is at least ɛ, for some indices i, j and for all large enough t
1,…,t
n
, with probability 1. We prove sufficient conitions for asymptotic separationin terms of the Green function and the transition
function, for a wide class of Markov processes. In particular,if ξ is the diffusion on a Riemannian manifold generated by
the Laplace operator Δ, and the heat kernel p(t, x, y) satisfies the inequality p(t, x, x) ≤ Ct
−ν/2 then n trajectories of ξ are asymptotically separated provided . Moreover, if for some α∈(0, 2)then n trajectories of ξ(α) are asymptotically separated, where ξ(α) is the α-process generated by −(−Δ)α/2.
Received: 10 June 1999 / Revised version: 20 April 2000 / Published online: 14 December 2000
RID="*"
ID="*" Supported by the EPSRC Research Fellowship B/94/AF/1782
RID="**"
ID="**" Partially supported by the EPSRC Visiting Fellowship GR/M61573 相似文献
2.
Jean-François Delmas 《Probability Theory and Related Fields》1999,114(4):505-547
We consider a super-Brownian motion X. Its canonical measures can be studied through the path-valued process called the Brownian snake. We obtain the limiting
behavior of the volume of the ɛ-neighborhood for the range of the Brownian snake, and as a consequence we derive the analogous
result for the range of super-Brownian motion and for the support of the integrated super-Brownian excursion. Then we prove
the support of X
t
is capacity-equivalent to [0, 1]2 in ℝd, d≥ 3, and the range of X, as well as the support of the integrated super-Brownian excursion are capacity-equivalent to [0, 1]4 in ℝd, d≥ 5.
Received: 7 April 1998 / Revised version: 2 October 1998 相似文献
3.
René L. Schilling 《Probability Theory and Related Fields》1998,112(4):565-611
Let (A,D(A)) be the infinitesimal generator of a Feller semigroup such that C
c
∞(ℝ
n
)⊂D(A) and A|C
c
∞(ℝ
n
) is a pseudo-differential operator with symbol −p(x,ξ) satisfying |p(•,ξ)|∞≤c(1+|ξ|2) and |Imp(x,ξ)|≤c
0Rep(x,ξ). We show that the associated Feller process {X
t
}
t
≥0 on ℝ
n
is a semimartingale, even a homogeneous diffusion with jumps (in the sense of [21]), and characterize the limiting behaviour
of its trajectories as t→0 and ∞. To this end, we introduce various indices, e.g., β∞
x
:={λ>0:lim
|ξ|→∞
|
x
−
y
|≤2/|ξ||p(y,ξ)|/|ξ|λ=0} or δ∞
x
:={λ>0:liminf
|ξ|→∞
|
x
−
y
|≤2/|ξ|
|ε|≤1|p(y,|ξ|ε)|/|ξ|λ=0}, and obtain a.s. (ℙ
x
) that lim
t
→0
t
−1/λ
s
≤
t
|X
s
−x|=0 or ∞ according to λ>β∞
x
or λ<δ∞
x
. Similar statements hold for the limit inferior and superior, and also for t→∞. Our results extend the constant-coefficient (i.e., Lévy) case considered by W. Pruitt [27].
Received: 21 July 1997 / Revised version: 26 January 1998 相似文献
4.
Let {S
n
} be a random walk on ℤ
d
and let R
n
be the number of different points among 0, S
1,…, S
n
−1. We prove here that if d≥ 2, then ψ(x) := lim
n
→∞(−:1/n) logP{R
n
≥nx} exists for x≥ 0 and establish some convexity and monotonicity properties of ψ(x). The one-dimensional case will be treated in a separate paper.
We also prove a similar result for the Wiener sausage (with drift). Let B(t) be a d-dimensional Brownian motion with constant drift, and for a bounded set A⊂ℝ
d
let Λ
t
= Λ
t
(A) be the d-dimensional Lebesgue measure of the `sausage' ∪0≤
s
≤
t
(B(s) + A). Then φ(x) := lim
t→∞:
(−1/t) log P{Λ
t
≥tx exists for x≥ 0 and has similar properties as ψ.
Received: 20 April 2000 / Revised version: 1 September 2000 / Published online: 26 April 2001 相似文献
5.
For ν(dθ), a σ-finite Borel measure on R
d
, we consider L
2(ν(dθ))-valued stochastic processes Y(t) with te property that Y(t)=y(t,·) where y(t,θ)=∫
t
0
e
−λ(θ)(
t
−
s
)
dm(s,θ) and m(t,θ) is a continuous martingale with quadratic variation [m](t)=∫
t
0
g(s,θ)ds. We prove timewise H?lder continuity and maximal inequalities for Y and use these results to obtain Hilbert space regularity for a class of superrocesses as well as a class of stochastic evolutions
of the form dX=AXdt+GdW with W a cylindrical Brownian motion. Maximal inequalities and H?lder continuity results are also provenfor the path process
t
(τ)≗Y(τt∧t).
Received: 25 June 1999 / Revised version: 28 August 2000 /?Published online: 9 March 2001 相似文献
6.
Let B
0,B
1, ⋯ ,B
n
be independent standard Brownian motions, starting at 0. We investigate the tail of the capture time
where 0<b
i
≤ 1, 1 ≤i≤n. In particular, we have ?τ3=∞ and ?τ5<∞. Various generalizations are also studied.
Received: 10 January 2000 / Revised version: 12 January 2001 /?Published online: 14 June 2001 相似文献
7.
Let (M
t
) be any martingale with M
0≡ 0, an intermediate law M
1∼μ1, and terminal law M
2∼μ2, and let Mˉ
2≡ sup0≤
t
≤2
M
t
. In this paper we prove that there exists an upper bound, with respect to stochastic ordering of probability measures, on
the law of Mˉ
2. We construct, using excursion theory, a martingale which attains this maximum. Finally we apply this result to the robust
hedging of a lookback option.
Received: 26 December 1998 / Revised version: 20 April 2000 /?Published online: 15 February 2001 相似文献
8.
Nitis Mukhopadhyay 《Methodology and Computing in Applied Probability》2010,12(4):609-622
In this communication, we first compare z
α
and t
ν,α
, the upper 100α% points of a standard normal and a Student’s t
ν
distributions respectively. We begin with a proof of a well-known result, namely, for every fixed
0 < a < \frac120<\alpha <\frac{1}{2} and the degree of freedom ν, one has t
ν,α
> z
α
. Next, Theorem 3.1 provides a new and explicit expression b
ν
( > 1) such that for every fixed
0 < a < \frac120<\alpha < \frac{1}{2} and ν, we can conclude t
ν,α
> b
ν
z
α
. This is clearly a significant improvement over the result that is customarily quoted in nearly every textbook and elsewhere.
A proof of Theorem 3.1 is surprisingly simple and pretty. We also extend Theorem 3.1 in the case of a non-central Student’s
t distribution (Section 3.3). In the context of Stein’s (Ann Math Stat 16:243–258, 1945; Econometrica 17:77–78, 1949) 100(1 − α)% fixed-width confidence intervals for the mean of a normal distribution having an unknown variance, we have examined the
oversampling rate on an average for a variety of choices of m, the pilot sample size. We ran simulations to investigate this issue. We have found that the oversampling rates are approximated
well by tn,a/22za/2-2t_{\nu ,\alpha /2}^{2}z_{\alpha /2}^{-2} for small and moderate values of m( ≤ 50) all across Table 2 where ν = m − 1. However, when m is chosen large (≥ 100), we find from Table 3 that the oversampling rates are not approximated by tn,a/22za/2-2t_{\nu ,\alpha /2}^{2}z_{\alpha /2}^{-2} very well anymore in some cases, and in those cases the oversampling rates either exceed the new lower bound of tn,a/22za/2-2,t_{\nu ,\alpha /2}^{2}z_{\alpha /2}^{-2}, namely bn2,b_{\nu }^{2}, or comes incredibly close to bn2b_{\nu }^{2} where ν = m − 1. That is, the new lower bound for a percentile of a Student’s t distribution may play an important role in order to come up with diagnostics in our understanding of simulated output under
Stein’s fixed-width confidence interval method. 相似文献
9.
Sandra Cerrai 《Probability Theory and Related Fields》1999,113(1):85-114
In the present paper we consider the transition semigroup P
t
related to some stochastic reaction-diffusion equations with the nonlinear term f having polynomial growth and satisfying some dissipativity conditions. We are proving that it has a regularizing effect in
the Banach space of continuous functions , where ⊂ℝ
d
is a bounded open set. In L
2() the only result proved is the strong Feller property, for d=1. Here we are able to prove that if f∈C
∞(ℝ) and d≤3, then for any and t>0. An important application is to the study of the ergodic properties of the system. These results are also of interest for
some problem in stochastic control.
Received: 20 August 1997 / Revised version: 27 May 1998 相似文献
10.
Endre Csáki Miklós Csörgő Antónia Földes Zhan Shi 《Probability Theory and Related Fields》2000,117(4):515-531
Let W be a standard Brownian motion, and define Y(t)= ∫0
t
ds/W(s) as Cauchy's principal value related to local time. We determine: (a) the modulus of continuity of Y in the sense of P. Lévy; (b) the large increments of Y.
Received: 1 April 1999 / Revised version: 27 September 1999 / Published online: 14 June 2000 相似文献
11.
A. F. Ramírez 《Probability Theory and Related Fields》1998,110(3):369-395
Summary. Let η be a diffusion process taking values on the infinite dimensional space T
Z
, where T is the circle, and with components satisfying the equations dη
i
=σ
i
(η) dW
i
+b
i
(η) dt for some coefficients σ
i
and b
i
, i∈Z. Suppose we have an initial distribution μ and a sequence of times t
n
→∞ such that lim
n
→∞μS
tn
=ν exists, where S
t
is the semi-group of the process. We prove that if σ
i
and b
i
are bounded, of finite range, have uniformly bounded second order partial derivatives, and inf
i
,ησ
i
(η)>0, then ν is invariant.
Received: 12 September 1996 / In revised form: 10 November 1997 相似文献
12.
Let X
i
, i∈N, be i.i.d. B-valued random variables, where B is a real separable Banach space. Let Φ be a mapping B→R. Under a central limit theorem assumption, an asymptotic evaluation of Z
n
= E (exp (n
Φ (∑
i
=1
n
X
i
/n))), up to a factor (1 + o(1)), has been gotten in Bolthausen [1]. In this paper, we show that the same asymptotic evaluation can be gotten without
the central limit theorem assumption.
Received: 19 September 1997 / Revised version:22 April 1999 相似文献
13.
Jean Bertoin 《Probability Theory and Related Fields》2000,117(2):289-301
Let (B
s
, s≥ 0) be a standard Brownian motion and T
1 its first passage time at level 1. For every t≥ 0, we consider ladder time set ℒ
(t)
of the Brownian motion with drift t, B
(t)
s
= B
s
+ ts, and the decreasing sequence F(t) = (F
1(t), F
2(t), …) of lengths of the intervals of the random partition of [0, T
1] induced by ℒ
(t)
. The main result of this work is that (F(t), t≥ 0) is a fragmentation process, in the sense that for 0 ≤t < t′, F(t′) is obtained from F(t) by breaking randomly into pieces each component of F(t) according to a law that only depends on the length of this component, and independently of the others. We identify the fragmentation
law with the one that appears in the construction of the standard additive coalescent by Aldous and Pitman [3].
Received: 19 February 1999 / Revised version: 17 September 1999 /?Published online: 31 May 2000 相似文献
14.
Hirofumi Osada 《Probability Theory and Related Fields》2001,119(2):275-310
We construct a family of diffusions P
α = {P
x} on the d-dimensional Sierpinski carpet F^. The parameter α ranges over d
H
< α < ∞, where d
H
= log(3
d
− 1)/log 3 is the Hausdorff dimension of the d-dimensional Sierpinski carpet F^. These diffusions P
α are reversible with invariant measures μ = μ[α]. Here, μ are Radon measures whose topological supports are equal to F^ and satisfy self-similarity in the sense that μ(3A) = 3α·μ(A) for all A∈ℬ(F^). In addition, the diffusion is self-similar and invariant under local weak translations (cell translations) of the
Sierpinski carpet. The transition density p = p(t, x, y) is locally uniformly positive and satisfies a global Gaussian upper bound. In spite of these well-behaved properties, the
diffusions are different from Barlow-Bass' Brownian motions on the Sierpinski carpet.
Received: 30 September 1999 / Revised version: 15 June 2000 / Published online: 24 January 2000 相似文献
15.
Wendelin Werner 《Probability Theory and Related Fields》1997,108(1):131-152
Summary. We study the asymptotic behaviour of disconnection and non-intersection exponents for planar Brownian motionwhen the number
of considered paths tends to infinity. In particular, if η
n
(respectively ξ (n, p)) denotes the disconnection exponent for n paths (respectively the non-intersection exponent for n paths versus p paths), then we show that lim
n →∞
η
n
/n = 1 2 and that for a > 0 and b > 0,lim
n →∞
ξ ([na],[nb])/n = (√ a + √ b)
2
/2.
Received: 28 February 1996 / In revised form: 3 September 1996 相似文献
16.
Jean-Stéphane Dhersin Jean-François Le Gall 《Probability Theory and Related Fields》1997,108(1):103-129
We prove a Wiener-type criterion for super-Brownian motion and the Brownian snake.If F is a Borel subset of ℝ
d
and x ∈ ℝ
d
, we provide a necessary and sufficientcondition for super-Brownian motion started at δ
x
to immediately hit the set F. Equivalently, this condition is necessary and sufficient for the hitting time of F by theBrownian snake with initial point x to be 0. A key ingredient of the proof isan estimate showing that the hitting probability of F is comparable, up to multiplicative constants,to the relevant capacity of F. This estimate, which is of independent interest, refines previous results due to Perkins and Dynkin. An important role is
played by additivefunctionals of the Brownian snake, which are investigated here via the potentialtheory of symmetric Markov
processes. As a direct application of our probabilisticresults, we obtain a necessary and sufficient condition for the existence
in a domain D of a positivesolution of the equation Δ; u = u
2
which explodes at a given point of ∂ D.
Received: 5 January 1996 / In revised form: 30 October 1996 相似文献
17.
Mario Abundo 《Methodology and Computing in Applied Probability》2010,12(3):473-490
It is studied the first-passage time (FPT) of a time homogeneous one-dimensional diffusion, driven by the stochastic differential
equation dX(t) = μ(X(t))dt + σ(X(t)) dB
t
, X(0) = x
0, through b + Y(t), where b > x
0 and Y(t) is a compound Poisson process with rate λ > 0 starting at 0, which is independent of the Brownian motion B
t
. In particular, the FPT density is investigated, generalizing a previous result, already known in the case when X(t) = μt + B
t
, for which the FPT density is the solution of a certain integral equation. A numerical method is shown to calculate approximately
the FPT density; some examples and numerical results are also reported. 相似文献
18.
Vikram K. Srimurthy 《Probability Theory and Related Fields》2000,118(4):522-546
Let K be a simply-connected compact Lie Group equipped with an Ad
K
-invariant inner product on the Lie Algebra ?, of K. Given this data, there is a well known left invariant “H
1-Riemannian structure” on L(K) (the infinite dimensional group of continuous based loops in K), as well as a heat kernel νT(k
0, ·) associated with the Laplace-Beltrami operator on L(K). Here T > 0, k
0∈L(K), and ν
T
(k
0, ·) is a certain probability measure on L(K). In this paper we show that ν1(e,·) is equivalent to Pinned Wiener Measure on K on ?
s0
≡<x
t
: t∈ [0, s
0]> (the σ-algebra generated by truncated loops up to “time”s
0).
Recevied: 9 September 1999 / Revised version: 13 March 2000 / Published online: 22 November 2000 相似文献
19.
We say that X=[xij]i,j=1nX=[x_{ij}]_{i,j=1}^n is symmetric centrosymmetric if x
ij
= x
ji
and x
n − j + 1,n − i + 1, 1 ≤ i,j ≤ n. In this paper we present an efficient algorithm for minimizing ||AXA
T
− B|| where ||·|| is the Frobenius norm, A ∈ ℝ
m×n
, B ∈ ℝ
m×m
and X ∈ ℝ
n×n
is symmetric centrosymmetric with a specified central submatrix [x
ij
]
p ≤ i,j ≤ n − p
. Our algorithm produces a suitable X such that AXA
T
= B in finitely many steps, if such an X exists. We show that the algorithm is stable any case, and we give results of numerical
experiments that support this claim. 相似文献
20.
We obtain exact Jackson-type inequalities in the case of the best mean square approximation by entire functions of finite
degree ≤ σ on a straight line. For classes of functions defined via majorants of averaged smoothness characteristics Ω1(f, t ), t > 0, we determine the exact values of the Kolmogorov mean ν-width, linear mean ν-width, and Bernstein mean ν-width, ν > 0. 相似文献