Related papers: Green Measures for a Class of non-Markov Processes

We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…

In a general class of Bayesian nonparametric models, we prove that the posterior distribution can be asymptotically approximated by a Gaussian process. Our results apply to nonparametric exponential family that contains both Gaussian and…

We construct a class of iterated stochastic integrals with respect to Brownian motion on an abstract Wiener space which allows for the definition of Brownian motions on a general class of infinite-dimensional nilpotent Lie groups based on…

This paper proposes a physically consistent Gaussian Process (GP) enabling the identification of uncertain Lagrangian systems. The function space is tailored according to the energy components of the Lagrangian and the differential equation…

We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space. This process is a generalization of the set-indexed Brownian motion, when the condition of independance is…

Let $\gamma$ be a Gaussian measure on a locally convex space and $H$ be the corresponding Cameron-Martin space. It has been recently shown by L. Ambrosio and A. Figalli that the linear first-order PDE $$ \dot{\rho} + \mbox{div}_{\gamma}…

The first part of this paper is devoted to the Brown measure of the product of the free unitary Brownian motion by an arbitrary free non negative operator. Our approach follows the one recently initiated by Driver-Hall-Kemp though there are…

Many quantities characterizing infectious disease outbreaks - like the effective reproduction number ($R_t$), defined as the average number of secondary infections a newly infected individual will cause over the course of their infection -…

We prove a new smoothing type property for solutions of the 1d quintic Schr\"odinger equation. As a consequence, we prove that a family of natural gaussian measures are quasi-invariant under the flow of this equation. In the defocusing…

We prove absolute continuity of Gaussian measures associated to complex Brownian bridges under certain gauge transformations. As an application we prove that the invariant measure for the periodic derivative nonlinear Schr\"odinger equation…

For a class of piecewise deterministic Markov processes we introduce a stochastic calculus which is a certain non-Gaussian counterpart to the classical Malliavin calculus. As an application we investigate the regularity of densities of…

This paper gives a brief introduction to some important fractional and multifractional Gaussian processes commonly used in modelling natural phenomena and man-made systems. The processes include fractional Brownian motion (both standard and…

Quantum measurements and the associated state changes are properly described in the language of instruments. We investigate the properties of a time continuous family of instruments associated with the recently introduced family of general…

We construct Gaussian invariant measures for the two-dimensional Euler equation on the plane. We show the existence of solution with initial conditions in the support of the measures, namely $H^\beta_{loc}(\R^2)$ with $\beta<-1$. Uniqueness…

The paper deals with the expected maxima of continuous Gaussian processes $X = (X_t)_{t\ge 0}$ that are H\"older continuous in $L_2$-norm and/or satisfy the opposite inequality for the $L_2$-norms of their increments. Examples of such…

We investigate the process of eigenvalues of a symmetric matrix-valued process which upper diagonal entries are independent one-dimensional H\"older continuous Gaussian processes of order gamma in (1/2,1). Using the stochastic calculus with…

We compute the Brown measure of $x_{0}+i\sigma_{t}$, where $\sigma_{t}$ is a free semicircular Brownian motion and $x_{0}$ is a freely independent self-adjoint element that is not a multiple of the identity. The Brown measure is supported…

We find the logarithmic small ball asymptotics for the $L_2$-norm with respect to a degenerate self-similar measures of a certain class of Gaussian processes including Brownian motion, Ornstein - Uhlenbeck process and their integrated…

A general class of non-Markov, supercritical Gaussian branching particle systems is introduced and its long-time asymptotics is studied. Both weak and strong laws of large numbers are developed with the limit object being characterized in…

We study positive random variables whose moments can be expressed by products and quotients of Gamma functions; this includes many standard distributions. General results are given on existence, series expansion and asymptotics of density…