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Monotone processes, just like martingales, can often be recovered from their final values. Examples include running maxima of supermartingales, as well as running maxima, local times, and various integral functionals of sticky processes…
Recently, a new approach in the fine analysis of stochastic processes sample paths has been developed to predict the evolution of the local regularity under (pseudo-)differential operators. In this paper, we study the sample paths of…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
A generic method to investigate many-body continuous-variable systems is pedagogically presented. It is based on the notion of matrix product states (so-called MPS) and the algorithms thereof. The method is quite versatile and can be…
We consider a particle system in continuous time, discrete population, with spatial motion and nonlocal branching. The offspring's weights and their number may depend on the mother's weight. Our setting captures, for instance, the processes…
The moment sum of squares (moment-SOS) hierarchy produces sequences of upper and lower bounds on functionals of the exit time solution of a polynomial stochastic differential equation with polynomial constraints, at the price of solving…
Max-stable processes provide natural models for the modelling of spatial extreme values observed at a set of spatial sites. Full likelihood inference for max-stable data is, however, complicated by the form of the likelihood function as it…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…
We derive theorems which outline explicit mechanisms by which anomalous scaling for the probability density function of the sum of many correlated random variables asymptotically prevails. The results characterize general anomalous scaling…
The location of the unique supremum of a stationary process on an interval does not need to be uniformly distributed over that interval. We describe all possible distributions of the supremum location for a broad class of such stationary…
The purpose of the paper is twofold. Firstly, we want to present a Meta Theorem to show the existence of a martingale solution for coupled systems of non-linear stochastic differential equations. The idea is first to split the system by…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
We approximate stochastic processes in finite dimension by dynamical systems. We provide trajectorial estimates which are uniform with respect to the initial condition for a well chosen distance. This relies on some non-expansivity property…
Under an appropriate regular variation condition, the affinely normalized partial sums of a sequence of independent and identically distributed random variables converges weakly to a non-Gaussian stable random variable. A functional version…
We consider a variant of the continuous and discrete Ulam-Hammersley problems: we study the maximal length of an increasing path through a Poisson point process (or a Bernoulli point process) with the restriction that there must be minimal…
In this paper we develop non-asymptotic Gaussian approximation results for the sampling distribution of suprema of empirical processes when the indexing function class $\mathcal{F}_n$ varies with the sample size $n$ and may not be Donsker.…
In two recent papers [5] and [6], we generalized some classical results of Harmonic Analysis using probabilistic approach by means of a d- dimensional rotationally symmetric stable process. These results allow one to discuss some…
We study some sum-product problems over matrix rings. Firstly, for $A, B, C\subseteq M_n(\mathbb{F}_q)$, we have $$ |A+BC|\gtrsim q^{n^2}, $$ whenever $|A||B||C|\gtrsim q^{3n^2-\frac{n+1}{2}}$. Secondly, if a set $A$ in $M_n(\mathbb{F}_q)$…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…