Related papers: A Discrete Construction for Gaussian Markov Proces…

In [16], under mild conditions, a Wiener-Hopf type factorization is derived for the exponential functional of proper L\'evy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by…

We consider $\mathbb{R}^d$-valued diffusion processes of type \begin{align*} dX_t\ =\ b(X_t)dt\, +\, dB_t. \end{align*} Assuming a geometric drift condition, we establish contractions of the transitions kernels in Kantorovich ($L^1$…

In \cite{BNT}, a framework to prove almost sure central limit theorems for sequences $(G_n)$ belonging to the Wiener space was developed, with a particular emphasis of the case where $G_n$ takes the form of a multiple Wiener-It\^o integral…

We study quantum neural networks where the generated function is the expectation value of the sum of single-qubit observables across all qubits. In [Girardi \emph{et al.}, arXiv:2402.08726], it is proven that the probability distributions…

We study rates of convergence in central limit theorems for the partial sum of squares of general Gaussian sequences, using tools from analysis on Wiener space. No assumption of stationarity, asymptotically or otherwise, is made. The main…

We present a new class of multifractal process on R, constructed using an embedded branching process. The construction makes use of known results on multitype branching random walks, and along the way constructs cascade measures on the…

We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It\^{o} sense, including a geometric fractional Brownian motion. To this end, we…

Let $X_i = {X_i(t), t \in T}$ be i.i.d. copies of a centered Gaussian process $X = {X(t), t \in T}$ with values in $\mathbb{R}^d$ defined on a separable metric space $T.$ It is supposed that $X$ is bounded. We consider the asymptotic…

We construct intrinsic on-and off-diagonal upper and lower estimates for the transition probability density of a L\'evy process in small time. By intrinsic we mean that such estimates reflect the structure of the characteristic exponent of…

We investigate Wiener-transformable markets, where the driving process is given by an adapted transformation of a Wiener process. This includes processes with long memory, like fractional Brownian motion and related processes, and, in…

We analyze a modified version of the Coleman-Hepp model, that is able to take into account energy-exchange processes between the incoming particle and the linear array made up of $N$ spin-1/2 systems. We bring to light the presence of a…

Let $Mat_{\mathbb{C}}(K,N)$ be the space of $K\times N$ complex matrices. Let $\mathbf{B}_t$ be Brownian motion on $Mat_{\mathbb{C}}(K,N)$ starting from the zero matrix and $\mathbf{M}\in Mat_{\mathbb{C}}(K,N)$. We prove that, with $K\ge…

For $\gamma>-{1/2}$, we provide the Karhunen-Lo\`{e}ve expansion of the weighted mean-centered Wiener process, defined by \[W _{\gamma}(t)=\frac{1}{\sqrt{1+2\gamma}}\Big\{W\big(t^{1+2\gamma}\big)- \int_0^1W\big(u^{1+2\gamma}\big)du\Big\},\]…

For a given normalized Gaussian symmetric matrix-valued process $Y^{(n)}$, we consider the process of its eigenvalues $\{(\lambda_{1}^{(n)}(t),\dots, \lambda_{n}^{(n)}(t)); t\ge 0\}$ as well as its corresponding process of empirical…

Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For L\'evy processes, a widely applied class of stochastic processes, these notions have not been studied. By the…

Let K be an irreducible and reversible Markov kernel on a finite set X. We construct a metric W on the set of probability measures on X and show that with respect to this metric, the law of the continuous time Markov chain evolves as the…

The classical result due tof Williams states that a Brownian motion with positive drift $\mu$ and issued from the origin is equal in law to a Brownian motion with unit negative drift, $-\mu$, run until it hits a negative threshold, whose…

It is a well-known fact that finite rho-variation of the covariance (in 2D sense) of a general Gaussian process implies finite rho-variation of Cameron-Martin paths. In the special case of fractional Brownian motion (think: 2H=1/rho), in…

In the setting of finite reflection groups, we prove that the projection of a Brownian motion onto a closed Weyl chamber is another Brownian motion normally reflected on the walls of the chamber. Our proof is probabilistic and the…

We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to Brownian motion up to time t. This permits to prove that the Wiener measure, penalized by this multiplicative functional, converges as t…