Related papers: Some martingales associated with multivariate Bess…
The classical Donsker weak invariance principle is extended to a Besov spaces framework. Polygonal line processes build from partial sums of stationary martingale differences as well independent and identically distributed random variables…
The paper addresses the calculation of correlation functions of permanental polynomials of matrices with random entries. By exploiting a convenient contour integral representation of the matrix permanent some explicit results are provided…
Monotone L\'evy processes with additive increments are defined and studied. It is shown that these processes have a natural Markov structure and their Markov transition semigroups are characterized using the monotone L\'evy-Khintchine…
We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of the time. We first give some classical results in a larger…
It is well-known that a random variable, i.e., a function defined on a probability space, with values in a Borel space, can be represented on the special probability space consisting of the unit interval with Lebesgue measure. We show an…
We give an analytic proof of the asymptotic behaviour of the moments of moments of the characteristic polynomials of random symplectic and orthogonal matrices. We therefore obtain alternate, integral expressions for the leading order…
The problem of finding a martingale on a manifold with a fixed random terminal value can be solved by considering BSDEs with a generator with quadratic growth. We study here a generalization of these equations and we give uniqueness and…
We work out the expression of the generalized Bessel function of type B in the two-rank case. This is done using Dijskma and Koornwinder's product formula for Jacobi polynomials and the obtained expression is given by multiple integrals…
In the context of orthogonal polynomials in the plane we introduce the notion of a polynomially small (PS) perturbation of a measure. In such a case we establish relative asymptotic results for the two sequences of the associated…
We study linear statistics of a class of determinantal processes which interpolate between Poisson and GUE/Ginibre statistics in dimension 1 or 2. These processes are obtained by performing an independent Bernoulli percolation on the…
We study the problem of merging sequential or independent e-values into one e-value or e-process. We describe a class of e-value merging functions via martingales and show that it dominates all merging methods for sequential e-values. All…
We describe bivariate polynomial sequences orthogonal to a symmetric weight function in terms of several bivariate polynomial sequences orthogonal with respect to Christoffel transformations of the initial weight under a quadratic…
We investigate the representation of arbitrary polynomials using probabilistic Bernoulli and degenerate Bernoulli polynomials associated with a random variable $Y$, whose moment generating function exists in a neighborhood of the origin. In…
Our main result is the martingale representations for Markov additive processes where the modulator is a Levy process. These processes have three parts: the modulator, the jumps of the ordinate triggered by the modulator, and the…
A characterization of mixed Poisson processes in terms of disintegrations is proven. As a consequence some further characterizations of such processes via claim interarrival processes, martingales and claim measures are obtained. Some…
We determine the classical and the non-central Wallach sets $W_0$ and $W$ by classical probabilistic methods. We prove the Mayerhofer conjecture on $W$. We exploit the fact that $(x_0,\beta)\in W$ if and only if $x_0$ is the starting point…
When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer…
We consider the spectral analysis of several examples of bilateral birth-death processes and compute explicitly the spectral matrix and the corresponding orthogonal polynomials. We also use the spectral representation to study some…
The Weyl modules in the sense of V.Chari and A.Pressley [CP] over the current Lie algebra on an affine variety are studied. We show that local Weyl modules are finite-dimensional and generalize the tensor product decomposition theorem from…
We present new links between some remarkable martingales found in the study of the Binary Search Tree, or of the Bisection Problem, looking at them on the probability space of a continuous time binary branching process.