Related papers: Poisson processes and a log-concave Bernstein theo…
We present the idea of intertwining of two diffusions by Feynman-Kac operators. We present some variations and implications of the method and give examples of its applications. Among others, it turns out to be a very useful tool for finding…
We give counterexamples to Okounkov's log-concavity conjecture for Littlewood-Richardson coefficients.
The theory of sparse stochastic processes offers a broad class of statistical models to study signals. In this framework, signals are represented as realizations of random processes that are solution of linear stochastic differential…
This study considers the Merton model with temporal correlation. We show the Merton model becomes Poisson process with the log-normal distributed intensity function in the limit. We discuss the relation between this model and Hawkes…
Contrary to standard statistical models, unnormalised statistical models only specify the likelihood function up to a constant. While such models are natural and popular, the lack of normalisation makes inference much more difficult. Here…
We consider here point processes $N^f(t)$, $t>0$, with independent increments and integer-valued jumps whose distribution is expressed in terms of Bern\v{s}tein functions $f$ with L\'evy measure $\nu$. We obtain the general expression of…
We prove that a general class of measures, which includes $\log$-concave measures, is $\frac{1}{n}$-concave according to the terminology of Borell, with additional assumptions on the measures or on the sets, such as symmetries. This…
We study the persistence probabilities of a moving average process of order one with innovations that follow a Laplace distribution. The persistence probabilities can be computed fully explicitly in terms of classical combinatorial…
Consider the Leibenson equation \begin{equation*} \partial_t u = \Delta_p u^q, \end{equation*} where $\Delta_p f = div(|\nabla f|^{p-2}\nabla f)$ for $p>1$ and $q>0$, which is a simultaneous generalization of the porous media and the…
The paper deals with a new class of random walks strictly connected with the Pareto distribution. We consider stochastic processes in the sense of generalized convolution or weak generalized convolution following the idea given in [1]. The…
We give a direct rigorous proof of the Kearns--Saul inequality which bounds the Laplace transform of a generalised Bernoulli random variable. We extend the arguments to generalised Poisson-binomial distributions and characterise the set of…
Given a basis for a polynomial ring, the coefficients in the expansion of a product of some of its elements in terms of this basis are called linearization coefficients. These coefficients have combinatorial significance for many classical…
It is well known that if a random vector satisfies a log-Sobolev inequality, all of its marginals have subgaussian tails. In the spirit of the KLS conjecture, we investigate whether this implication can be reversed under a log-concavity…
We study the behavior of a probability measure near the bottom of its support in terms of time averaged quotients of its Laplace transform. We discuss how our results are connected to both rank-one perturbation theory as well as renewal…
We show that the Ornstein-Uhlenbeck semigroup associated with a general Poisson random measure is hypercontractive, whenever it is restricted to non-increasing mappings on configuration spaces. We deduce from this result some versions of…
The simple L\'evy Poisson process and scaled forms are explicitly constructed from partial sums of independent and identically distributed random variables and from sums of non-stationary independent random variables. For the latter, the…
We study the gap processes in a degenerate system of three particles interacting through their ranks. We obtain the Laplace transform of the invariant measure of these gaps, and an explicit expression for the corresponding invariant…
It is be shown that the sequence of Bernstein polynomials for a function of several variables converges to this function uniformly along with every partial derivative of any order, provided that the latter derivative is well defined and…
We prove that Poisson measures are invariant under (random) intensity preserving transformations whose finite difference gradient satisfies a cyclic vanishing condition. The proof relies on moment identities of independent interest for…
We prove a Tauberian theorem for the Laplace--Stieltjes transform and Karamata-type theorems in the framework of regularly log-periodic functions. As an application we determine the exact tail behavior of fixed points of certain type…