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We consider the action of Mandelbrot multiplicative cascades on probability measures supported on a symbolic space. For general probability measures, we obtain almost a sharp criterion of non-degeneracy of the limiting measure; it relies on…

For the Lagrange spectrum and other applications, we determine the smallest accumulation point of binary sequences that are maximal in their shift orbits. This problem is trivial for the lexicographic order, and its solution is the fixed…

Constantine et al. (2016) introduced a Metropolis-Hastings (MH) approach that target the active subspace of a posterior distribution: a linearly projected subspace that is informed by the likelihood. Schuster et al. (2017) refined this…

We establish a sufficient condition for a continuous map, acting on a compact metric space, to have a Baire residual set of points exhibiting historic behavior (also known as irregular points). This criterion applies, for instance, to a…

The distributionally robust Markov Decision Process (MDP) approach asks for a distributionally robust policy that achieves the maximal expected total reward under the most adversarial distribution of uncertain parameters. In this paper, we…

The task of maximizing a monotone submodular function under a cardinality constraint is at the core of many machine learning and data mining applications, including data summarization, sparse regression and coverage problems. We study this…

In this article, we pay attention to transitive dynamical systems having the shadowing property and the entropy functions are upper semicontinuous. As for these dynamical systems, when we consider ergodic optimization restricted on the…

It is well known that the space of invariant probability measures for transitive sub-shifts of finite type is a Poulsen simplex. In this article we prove that in the non-compact setting, for a large family of transitive countable Markov…

We analyze the classical problem of the stochastic dynamics of a particle confined in a periodic potential, through the so called Il'in and Khasminskii model, with a novel semi-analytical approach. Our approach gives access to the transient…

Since the classical work of L\'evy, it is known that the local time of Brownian motion can be characterized through the limit of level crossings. While subsequent extensions of this characterization have primarily focused on Markovian or…

We derive P(M,t_m), the joint probability density of the maximum M and the time t_m at which this maximum is achieved for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and…

In this paper we study minimax Aubry-Mather measures and its main properties. We consider first the discrete time problem and then the continuous time case. In the discrete time problem we establish existence, study some of the main…

Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$…

Given an n-dimensional stochastic process X driven by P-Brownian motions and Poisson random measures, we seek the probability measure Q, with minimal relative entropy to P, such that the Q-expectations of some terminal and running costs are…

Regularity properties of the pressure are related to phase transitions. In this article we study thermodynamic formalism for systems defined in non-compact phase spaces, our main focus being countable Markov shifts. We produce metric…

We obtain new types of exponential decay laws for solutions of density-matrix master equations in the weak-coupling limit: after comparing with results already present in the literature and developing the necessary techniques, we study the…

We study a class of dynamical systems generated by random substitutions, which contains both intrinsically ergodic systems and instances with several measures of maximal entropy. In this class, we show that the measures of maximal entropy…

We study the set of invariant idempotent probabilities for place dependent idempotent iterated function systems defined in compact metric spaces. Using well-known ideas from dynamical systems, such as the Ma\~{n}\'{e} potential and the…

We propose a method of approximating multivariate Gaussian probabilities using dynamic programming. We show that solving the optimization problem associated with a class of discrete-time finite horizon Markov decision processes with…

The localization phenomenon for periodic unitary transition operators on a Hilbert space consisting of square summable functions on an integer lattice with values in a complex vector space, which is a generalization of the discrete-time…