Related papers: Multi-point local time penalizations with various …
In this article, we study the family of probability measures (indexed by a positive real number t), obtained by penalization of the Brownian motion by a given functional of its local times at time t. We prove that this family tends to a…
We study Markov processes conditioned so that their local time must grow slower than a prescribed function. Building upon recent work on Brownian motion with constrained local time in [5] and [33], we study transience and recurrence for a…
We study the shared processor scheduling problem with a single shared processor where a unit time saving (weight) obtained by processing a job on the shared processor depends on the job. A polynomial-time optimization algorithm has been…
We obtain probability measures on the canonical space penalizing the Wiener measure by a function of its maximum (resp. minimum, local time). We study the law of the canonical process under these new probability measures.
We show that the hitting times for points of real $\alpha-$stable L\'evy processes ($1<\alpha\le 2$) are unimodal random variables. The argument relies on strong unimodality and several recent multiplicative identities in law. In the…
In this paper, we study a multivariate version of the generalized counting process (GCP) and discuss its various time-changed variants. The time is changed using random processes such as the stable subordinator, inverse stable subordinator,…
In this paper, we will prove that the local time of a L\'evy process is of finite $p$-variation in the space variable in the classical sense, a.s. for any $p>2$, $t\geq 0$, if the L\'evy measure satisfies $\int_{R\setminus…
In this paper we consider a scenario where there are several algorithms for solving a given problem. Each algorithm is associated with a probability of success and a cost, and there is also a penalty for failing to solve the problem. The…
In this paper we analyze the transient behavior of the workload process in a L\'evy input queue. We are interested in the value of the workload process at a random epoch; this epoch is distributed as the sum of independent exponential…
Small-space and large-time estimates and asymptotic expansion of the distribution function and (the derivatives of) the density function of hitting times of points for symmetric L\'evy processes are studied. The L\'evy measure is assumed to…
In this paper we consider multivariate Hawkes processes with baseline hazard and kernel functions that depend on time. This defines a class of locally stationary processes. We discuss estimation of the time-dependent baseline hazard and…
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…
We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use $\theta$-weak dependence to establish laws of large numbers and central limit type…
This paper defines local weighted Hardy spaces with variable exponent. Local Hardy spaces permit atomic decomposition, which is one of the main themes in this paper. A consequence is that the atomic decomposition is obtained for the…
In this paper we study the classical single machine scheduling problem where the objective is to minimize the total weight of tardy jobs. Our analysis focuses on the case where one or more of three natural parameters is either constant or…
We consider a one-dimensional diffusion in a stable L\'evy environment. We show that the normalized local time process refocused at the bottom of the standard valley with height $\log t$, $(L_X(t,\mathfrak m_{\log t}+x)/t,x\in \R)$,…
Consider a scheduling problem in which jobs need to be processed on a single machine. Each job has a weight and is composed of several operations belonging to different families. The machine needs to perform a setup between the processing…
We provide a brief discussion regarding relativistic limits on the discretization and temporal resolution of time values in a quantum clock. Our clock is characterized by a time observable chosen to be the complement of a bounded and…
In high-dimensional model selection problems, penalized simple least-square approaches have been extensively used. This paper addresses the question of both robustness and efficiency of penalized model selection methods, and proposes a…
This article introduces estimators of trend and seasonality for time series of point processes. We assume the point processes follow a temporal or spatial doubly-stochastic Poisson model with log-Gaussian intensity functions. The proposed…