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Brownian motion is a central scientific paradigm. Recently, due to increasing efforts and interests towards miniaturization and small-scale physics or biology, the effects of confinement on such a motion have become a key topic of…
The goal of this paper is to define and study a notion of fractional Brownian motion on a Lie group. We define it as at the solution of a stochastic differential equation driven by a linear fractional Brownian motion. We show that this…
In this article we obtain uniform estimates on the absorption of Brownian motion by porous interfaces surrounding a compact set. An important ingredient is the construction of certain resonance sets, which are hard to avoid for Brownian…
We investigate the stationary measure $\pi$ of SDEs driven by additive fractional noise with any Hurst parameter and establish that $\pi$ admits a smooth Lebesgue density obeying both Gaussian-type lower and upper bounds. The proofs are…
We consider the problem of mean estimation assuming only finite variance. We study a new class of mean estimators constructed by integrating over random noise applied to a soft-truncated empirical mean estimator. For appropriate choices of…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…
In this paper we study networks of nodes characterised by binary traits that change both endogenously and through nearest-neighbour interaction. Our analytical results show that those traits can be ranked according to the noisiness of their…
This paper is mainly concerned with a kind of fractional stochastic evolution equations driven by L\'evy noise in a bounded domain. We first state the well-posedness of the problem via iterative approximations and energy estimates. Then,…
We consider the maximum process of a random walk with additive independent noise in form of $\max_{i=1,\dots,n}(S_i+Y_i)$. The random walk may have dependent increments, but its sample path is assumed to converge weakly to a fractional…
We consider parameter estimation of stochastic differential equations driven by a Wiener process and a compound Poisson process as small noises. The goal is to give a threshold-type quasi-likelihood estimator and show its consistency and…
The set-indexed fractional Brownian motion (sifBm) has been defined by Herbin-Merzbach (2006) for indices that are subsets of a metric measure space. In this paper, the sifBm is proved to statisfy a strenghtened definition of increment…
Brownian oscillator, i.e. a micron-sized or smaller particle trapped in a thermally fluctuating environment is studied. The confining harmonic potential can move with a constant velocity. As distinct from the standard Langevin theory, the…
Consider a dynamical system given by a planar differential equation, which exhibits an unstable periodic orbit surrounding a stable periodic orbit. It is known that under random perturbations, the distribution of locations where the…
The development of a mechanics of non-differentiable paths suggested by Scale Relativity results in a foundation of Quantum Mechanics including Schr\"odinger's equation and all the other axioms under the assumption the path…
Many natural Markov chains fail to mix to their stationary distribution in polynomially many steps. Often, this slow mixing is inevitable since it is computationally intractable to sample from their stationary measure. Nevertheless, Markov…
These notes are devoted to fluctuations of one-dimensional random walks. We discuss various approaches to first-passage times and to the corresponding conditional distributions. After discussion of some classical methods, such as reflection…
We unify and extend the semigroup and the PDE approaches to stochastic maximal regularity of time-dependent semilinear parabolic problems with noise given by a cylindrical Brownian motion. We treat random coefficients that are only…
Starting from the microscopic Smoluchowski equation for interacting Brownian particles under stationary shearing, exact expressions for shear-dependent steady-state averages, correlation and structure functions, and susceptibilities are…
A semi-martingale reflecting Brownian motion is a popular process for diffusion approximations of queueing models including their networks. In this paper, we are concerned with the case that it lives on the nonnegative half-line, but the…
We consider the small deviation probabilities (SDP) for sums of stationary Gaussian sequences. For the cases of constant boundaries and boundaries tending to zero, we obtain quite general results. For the case of the boundaries tending to…