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We derive explicit expressions for a family of radially symmetric, non-differentiable, Spartan covariance functions in $\mathbb{R}^2$ that involve the modified Bessel function of the second kind. In addition to the characteristic length and…
In this paper, we develop a class of samplers for the diffusion model using the operator-splitting technique. The linear drift term and the nonlinear score-driven drift of the probability flow ordinary differential equation are split and…
Existing deterministic variational inference approaches for diffusion processes use simple proposals and target the marginal density of the posterior. We construct the variational process as a controlled version of the prior process and…
The Ladyzhenskaya-Smagorinsky equations model turbulence phenomena, and are given by $$\frac{\partial \boldsymbol{u}}{\partial t}-\mu…
Let $U=(U_k)_{k\in\mathbb{Z}}$ be a centered Gaussian stationary sequence satisfying some minor regularity condition. We study the asymptotic behavior of its weighted $\ell_2$-norm small deviation probabilities. It is shown that \[ \ln…
We consider radial solutions of the slightly subcritical problem $-\Delta u_\varepsilon = |u_\varepsilon|^{\frac{4}{n-2}-\varepsilon}u_\varepsilon$ either on $\mathbb R^n$ ($n\geq 3$) or in a ball $B$ satisfying Dirichlet or Neumann…
This work is devoted to deriving the Onsager-Machlup action functional for stochastic partial differential equations with (non-Gaussian) Levy process as well as Gaussian Brownian motion. This is achieved by applying the Girsanov…
In the present paper, we study the analyticity of the leftmost eigenvalue of the linear elliptic partial differential operator with random coefficient and analyze the convergence rate of the quasi-Monte Carlo method for approximation of the…
We investigate a system of Brownian particles weakly bound by attractive parity-symmetric potentials that grow at large distances as $V(x) \sim |x|^\alpha$, with $0 < \alpha < 1$. The probability density function $P(x,t)$ at long times…
We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi, Luchko, Pagnini (2001)): the first equation considered here is obtained by adding an exponential…
The Whittaker 2d growth model is a triangular continuous Markov diffusion process that appears in many scientific contexts. It has been theoretically intriguing to establish a large deviation principle for this 2d process with a scaling…
For a large $n\times m$ Gaussian matrix, we compute the joint statistics, including large deviation tails, of generalized and total variance - the scaled log-determinant $H$ and trace $T$ of the corresponding $n\times n$ covariance matrix.…
We develop a method for extracting accurate critical exponents from perturbation expansions of the O(n)-symmetric nonlinear sigma-model in D=2+ epsilon dimensions. This is possible by considering the epsilon-expansions in this model as…
Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…
Consider the following stochastic differential equation for $(X_t)_{t\ge 0}$ on $\mathbb R^d$ and its Euler-Maruyama (EM) approximation $(Y_{t_n})_{n\in \mathbb Z^+}$: \begin{align*} &d X_t=b( X_t) d t+\sigma(X_t) d B_t, \\ &…
In this paper we derive a Large Deviation Principle (LDP) for inhomogeneous U/V-statistics of a general order. Using this, we derive a LDP for two types of statistics: random multilinear forms, and number of monochromatic copies of a…
We define two-dimensional Dirichlet spectrum (with respect to Euclidean norm) as D_2=\lambda\in\mathbf{R} | \exists \mathbf{v}=(v_1,v_2)\in \mathbf {R}^2: \limsup\limits_{t\rightarrow\infty} {t\cdot\psi_{v}^2(t)}=\lambda, where…
We study the distribution of large (and small) values of several families of $L$-functions on a line $\text{Re(s)}=\sigma$ where $1/2<\sigma<1$. We consider the Riemann zeta function $\zeta(s)$ in the $t$-aspect, Dirichlet $L$-functions in…
In this article, we consider the following stochastic fractional diffusion equation \begin{equation*} \left(\partial^{\beta}+\dfrac{\nu}{2}\left(-\Delta\right)^{\alpha / 2}\right) u(t, x)= \lambda\: I_{0_+}^{\gamma}\left[u(t, x) \dot{W}(t,…
We study the Taylor expansion for the solution of a differential equation driven by a multidimensional Holder path with exponent \beta> 1/2. We derive a convergence criterion that enables us to write the solution as an infinite sum of…