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In this paper, we prove convergence in distribution of Langevin processes in the overdamped asymptotics. The proof relies on the classical perturbed test function (or corrector) method, which is used both to show tightness in path space,…
We study the asymptotic convergence properties, as the time variable goes to infinity, of trajectories of second-order dissipative evolution equations combining potential with non-potential effects. We exhibit a sharp condition, involving…
Exponential inequalities are main tools in machine learning theory. To prove exponential inequalities for non i.i.d random variables allows to extend many learning techniques to these variables. Indeed, much work has been done both on…
We derive the exact asymptotics of $P(\sup_{u\leq t}X(u) > x)$ if $x$ and $t$ tend to infinity with $x/t$ constant, for a L\'{e}vy process $X$ that admits exponential moments. The proof is based on a renewal argument and a two-dimensional…
In this paper we study a particular class of Piecewise deterministic Markov processes (PDMP's) which are semi-stochastic catastrophe versions of deterministic population growth models. In between successive jumps the process follows a flow…
For a wide class of continuous-time Markov processes, including all irreducible hypoelliptic diffusions evolving on an open, connected subset of $\RL^d$, the following are shown to be equivalent: (i) The process satisfies (a slightly weaker…
In this paper, we study the quasi-stationary behavior of the one-dimensional diffusion process with a regular or exit boundary at 0 and an entrance boundary at $\infty$. By using the Doob's $h$-transform, we show that the conditional…
We give computable bounds on the rate of convergence of the transition probabilities to the stationary distribution for a certain class of geometrically ergodic Markov chains. Our results are different from earlier estimates of Meyn and…
We prove sharp two-sided estimates on the tail probability of the first hitting time of bounded interval as well as its asymptotic behaviour for general non-symmetric processes which satisfy an integral condition \[ \int_0^{\infty}…
Regularly varying stochastic processes model extreme dependence between process values at different locations and/or time points. For such processes we propose a two-step parameter estimation of the extremogram, when some part of the domain…
The correspondence between the cross-entropy method and the zero-variance approximation to simulate a rare event problem in Markov chains is shown. This leads to a sufficient condition that the cross-entropy estimator is asymptotically…
The data processing inequality is central to information theory and motivates the study of monotonic divergences. However, it is not clear operationally we need to consider all such divergences. We establish a simple method for Pinsker…
We investigate the convergence to (quasi--)equilibrium of a density dependent Markov chain in~${\mathbb Z}^d$, whose drift satisfies a system of ordinary differential equations having an attractive fixed point. For a sequence of such…
The exponential upper bounds for the convergence rate of the distribution of restorable element with partially energized standby redundancy are founded, in the case when all working and repair times are bounded by exponential random…
In this paper, the dimension-free Harnack inequality is proved for the associated transition semigroups to a large class of stochastic evolution equations with monotone drifts. As applications, the ergodicity, hyper-(or ultra-)contractivity…
We consider a branching random walk in a random space-time environment of disasters where each particle is killed when meeting a disaster. This extends the model of the "random walk in a disastrous random environment" introduced by [15]. We…
A branching random walk in presence of an absorbing wall moving at a constant velocity $v$ undergoes a phase transition as the velocity $v$ of the wall varies. Below the critical velocity $v_c$, the population has a non-zero survival…
In this work, we consider an inhomogeneous (discrete time) Markov chain and are interested in its long time behavior. We provide sufficient conditions to ensure that some of its asymptotic properties can be related to the ones of a…
In this paper we continue the study on intrinsic Harnack inequality for non- homogeneous parabolic equations in non-divergence form initiated by the first author in [1]. We establish a forward-in-time intrinsic Harnack inequality, which in…
The main aim of this work is to establish an averaging principle for a wide class of interacting particle systems in the continuum. This principle is an important step in the analysis of Markov evolutions and is usually applied for the…