Related papers: Hankel determinants of random moment sequences

Let $h:[0,1]\to\mathbb{R}$ be $C^2$ and such that $\sup_{[0,1]} h''<0$. For a (large) positive integer $n$, set $h_n(k) = n h(k/n)$ for any $k\in\{0,\dots,n\}$. We consider a random walk $(S_k)_{k\geq 0}$ with i.i.d.\ centred increments…

We obtain large n asymptotics for products of powers of the absolute values of the characteristic polynomials in the Gaussian Unitary Ensemble of n\times n matrices. Our results can also be interpreted as asymptotics of the determinant of a…

We continue the development, started in of the asymptotic description of certain stochastic neural networks. We use the Large Deviation Principle (LDP) and the good rate function H announced there to prove that H has a unique minimum mu_e,…

In this paper, we study the orthogonal polynomials with respect to a singularly perturbed Pollaczek-Jacobi type weight $$ w(x,t):=(1-x^2)^\alpha\mathrm{e}^{-\frac{t}{1-x^{2}}},\qquad x\in[-1,1],\;\;\alpha>0,\;\;t>0. $$ By using the ladder…

We consider two approaches to study non-reversible Markov processes, namely the Hypocoercivity Theory (HT) and GENERIC (General Equations for Non-Equilibrium Reversible-Irreversible Coupling); the basic idea behind both of them is to split…

As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a {\em stochastic maximal inequality} derived by using the formula for…

We study asymptotic behaviour of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function.…

In this paper, we study the asymptotic behavior of a semi-linear slow-fast stochastic partial differential equation with singular coefficients. Using the Poisson equation in Hilbert space, we first establish the strong convergence in the…

This paper investigates asymptotically optimal importance sampling (IS) schemes for pricing European call options under the Heston stochastic volatility model. We focus on two distinct rare-event regimes where standard Monte Carlo methods…

We study the normalized trace $g_n(z)=n^{-1} \mbox{tr} \, (H-zI)^{-1}$ of the resolvent of $n\times n$ real symmetric matrices $H=\big[(1+\delta_{jk})W_{jk}/\sqrt n\big]_{j,k=1}^n$ assuming that their entries are independent but not…

The 2-dimensional Hamming graph H(2,n) consists of the $n^2$ vertices $(i,j)$, $1\leq i,j\leq n$, two vertices being adjacent when they share a common coordinate. We examine random subgraphs of H(2,n) in percolation with edge probability…

We address the problem of learning the parameters of a stable linear time invariant (LTI) system or linear dynamical system (LDS) with unknown latent space dimension, or order, from a single time--series of noisy input-output data. We focus…

The asymptotic log-Harnack inequality is established for several different models of stochastic differential systems with infinite memory: non-degenerate SDEs, Neutral SDEs, semi-linear SPDEs, and stochastic Hamiltonian systems. As…

A fast and numerically stable algorithm is described for computing the discrete Hankel transform of order $0$ as well as evaluating Schl\"{o}milch and Fourier--Bessel expansions in $\mathcal{O}(N(\log N)^2/\log\!\log N)$ operations. The…

For a real number $t$, let $r_\ell(t)$ be the total weight of all $t$-large Schr\"{o}der paths of length $\ell$, and $s_\ell(t)$ be the total weight of all $t$-small Schr\"{o}der paths of length $\ell$. For constants $\alpha, \beta$, in…

The local eigenvalue statistics of large random matrices near a hard edge transitioning into a soft edge are described by the Bessel process associated with a large parameter $\alpha$. For this point process, we obtain 1) exponential moment…

We consider a class of second order degenerate kinetic operators $\mathscr{L}$ in the framework of special relativity. We first describe $\mathscr{L}$ as an H\"ormander operator which is invariant with respect to Lorentz transformations.…

We consider an ensemble of nxn real symmetric random matrices A whose entries are determined by independent identically distributed random variables that have symmetric probability distribution. Assuming that the moment 12+2delta of these…

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…

$H^2\zProd$ denotes the Hardy space of square integrable functions analytic in each variable separately. Let $P^{\ominus}$ be the natural projection of $L^2\zProd$ onto $\z8{H^2\zProd}$. A Hankel operator with symbol $b$ is the linear…