Related papers: Darboux transformations and random point processes
We establish large deviation estimates related to the Darling--Kac theorem and generalized arcsine laws for occupation and waiting times of ergodic transformations preserving an infinite measure, such as non-uniformly expanding interval…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
We consider the problem of making nonparametric inference in a class of multi-dimensional diffusions in divergence form, from low-frequency data. Statistical analysis in this setting is notoriously challenging due to the intractability of…
In a celebrated paper, Dyson shows that the spectrum of an n\times n random Hermitian matrix, diffusing according to an Ornstein-Uhlenbeck process, evolves as n noncolliding Brownian motions held together by a drift term. The universal edge…
In [Schuhmacher, Electron. J. Probab. 10 (2005), 165--201] estimates of the Barbour-Brown distance d_2 between the distribution of a thinned point process and the distribution of a Poisson process were derived by combining discretization…
We consider the symmetric gap probability distributions of certain Freud unitary ensembles. This problem is related to the Hankel determinants generated by the Freud weights supported on the complement of a symmetric interval. By using Chen…
In the present paper and the companion paper [8] a probabilistic (statistical mechanical) approach to the study of canonical metrics and measures on a complex algebraic variety X is introduced. On any such variety with positive Kodaira…
Dirichlet processes and their extensions have reached a great popularity in Bayesian nonparametric statistics. They have also been introduced for spatial and spatio-temporal data, as a tool to analyze and predict surfaces. A popular…
This chapter shows how toroidal diffusions are convenient methodological tools for modelling protein evolution in a probabilistic framework. The chapter addresses the construction of ergodic diffusions with stationary distributions equal to…
First passage distributions of semi-Markov processes are of interest in fields such as reliability, survival analysis, and many others. The problem of finding or computing first passage distributions is, in general, quite challenging. We…
The purpose of this note is to collect in one place a few results about simple random walk and Brownian motion which are often useful. These include standard results such as Beurling estimates, large deviation estimates, and a method for…
The results of Amir-Corwin-Quastel, Calabrese-Le Doussal-Rosso, Dotsenko, and Sasamoto-Spohn imply that the one-point distribution of the solution of the KPZ equation with the narrow wedge initial condition coincides with that for a…
We propose a new approach for deriving probabilistic inequalities based on bounding likelihood ratios. We demonstrate that this approach is more general and powerful than the classical method frequently used for deriving concentration…
Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…
We give asymptotic formulae for random matrix averages of derivatives of characteristic polynomials over the groups USp(2N), SO(2N) and O^-(2N). These averages are used to predict the asymptotic formulae for moments of derivatives of…
This paper describes how one can use the well-known Bayesian prior to posterior analysis of the Dirichlet process, and less known results for the gamma process, to address the formidable problem of assessing the distribution of linear…
Darboux's theorem guarantees the existence of local canonical coordinates on symplectic manifolds under certain conditions. We demonstrate a general method to construct such Darboux coordinates in the vicinity of a fixed point of a…
Based on a novel dynamic Whittle likelihood approximation for locally stationary processes, a Bayesian nonparametric approach to estimating the time-varying spectral density is proposed. This dynamic frequency-domain based likelihood…
The Bures metric and the associated Bures-Hall measure is arguably the best choice for studying the spectrum of the quantum mechanical density matrix with no apriori knowledge of the system. We investigate the probability of a gap in the…
We study Fredholm determinants of the Painlev\'e II and Painlev\'e XXXIV kernels. In certain critical unitary random matrix ensembles, these determinants describe special gap probabilities of eigenvalues. We obtain Tracy-Widom formulas for…