Related papers: Sharp barrier estimates for Bessel bridges

In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case…

We derive a lower bound for all Levine-Tristram signatures of positive braid links, linear in terms of the first Betti number. As a consequence, we obtain upper and lower bounds on the ratio of fixed pairs of Levine-Tristram signature…

We show that simple explicit formulas can be obtained for several relevant quantities related to the laws of the uniformly sampled Brownian bridge, Brownian meander and three dimensional Bessel process. To prove such results, we use the…

In this work, we address the following question: What minimal structural assumptions are needed to prevent the degradation of statistical learning bounds with increasing dimensionality? We investigate this question in the classical…

In this article, we prove integration by parts formulae (IbPFs) for the laws of Bessel bridges from 0 to 0 over the interval [0,1] of dimension smaller than 3. As an application, we construct a weak version of an SPDE having the law of a…

We prove uniqueness results and Harnack inequality for Bessel operators \begin{align*} %\label{def L transf alpha} D_t-\Delta_{x} -2a\cdot\nabla_xD_y- D_{yy}- \frac cy D_y % \nonumber…

We investigate error bounds for numerical solutions of divergence structure linear elliptic PDEs on compact manifolds without boundary. Our focus is on a class of monotone finite difference approximations, which provide a strong form of…

Sparse parametric models are of great interest in statistical learning and are often analyzed by means of regularized estimators. Pathwise methods allow to efficiently compute the full solution path for penalized estimators, for any…

It is known that the moments of the maximum value of a one-dimensional conditional Brownian motion, the three-dimensional Bessel bridge with duration 1 started from the origin, are expressed using the Riemann zeta function. We consider a…

It is known that the Brownian bridge or L\'evy-Ciesielski construction of Brownian paths almost surely converges uniformly to the true Brownian path. In the present article the focus is on the uniform error. In particular, we show…

Consider a random walk in $\mathbb{R}^d$ that starts at the origin and whose increment distribution assigns zero probability to any affine hyperplane. We solve Sylvester's problem for these random walks by showing that the probability that…

Let $P$ be a set of $n$ points in $\mathbb{R}^d$, and let $\varepsilon,\psi \in (0,1)$ be parameters. Here, we consider the task of constructing a $(1+\varepsilon)$-spanner for $P$, where every edge might fail (independently) with…

We study the asymptotic properties of bridge estimators in sparse, high-dimensional, linear regression models when the number of covariates may increase to infinity with the sample size. We are particularly interested in the use of bridge…

The one-dimensional Brownian motion starting from the origin at time $t=0$, conditioned to return to the origin at time $t=1$ and to stay positive during time interval $0 < t < 1$, is called the Bessel bridge with duration 1. We consider…

A lower bound on the number of uncorrectable errors of weight half the minimum distance is derived for binary linear codes satisfying some condition. The condition is satisfied by some primitive BCH codes, extended primitive BCH codes,…

Let X be a k-dimensional simplicial complex such that the (k-j-2)-dimensional homology of the links of all j-dimensional simplices in X vanishes. An upper bound is given on the (k-1)-th Betti number of X. Examples based on sum complexes…

We give new bounds on the reliability function of a typewriter channel with 5 inputs and crossover probability $1/2$. The lower bound is more of theoretical than practical importance; it improves very marginally the expurgated bound,…

We introduce an algorithm for estimating the entropy of pairwise, probabilistic graph models by leveraging bridges between social communities and an accurate entropy estimator on sparse samples. We propose using a measure of investment from…

In this paper, we study the problem of finding the probability that the two-dimensional (biased) monotonic random walk crosses the line $y=\alpha x+d$, where $\alpha,d \geq 0$. A $\beta$-biased monotonic random walk moves from $(a,b)$ to…

We establish sharp well-posedness and approximation estimates for variational saddle point systems at the continuous level. The main results of this note have been known to be true only in the finite dimensional case. Known spectral results…