Related papers: Stochastic analysis for the Dirichlet--Ferguson pr…

Let $T$ be an underlying space with a non-atomic measure $\sigma$ on it. In [{\it Comm.\ Math.\ Phys.}\ {\bf 292} (2009), 99--129] the Meixner class of non-commutative generalized stochastic processes with freely independent values,…

In this paper we study backward stochastic differential equations with general terminal value and general random generator. In particular, we do not require the terminal value be given by a forward diffusion equation. The randomness of the…

The paper deals with a certain class of random evolutions. We develop a construction that yields an invariant measure for a continuous-time Markov process with random transitions. The approach is based on a particular way of constructing…

Large deviation principles are established for the two-parameter Poisson-Dirichlet distribution and two-parameter Dirichlet process when parameter $\theta$ approaches infinity. The motivation for these results is to understand the…

We study Dirichlet series enumerating orbits of Cartesian products of maps whose orbit distributions are modelled on the distributions of finite index subgroups of free abelian groups of finite rank. We interpret Euler factors of such orbit…

This paper discusses some infinite trigonometric products which are characteristic functions of simple random walks on the real line; in fact, these define "random Riemann-$\zeta$ functions," a notion which is explained. The concept of…

This paper develops some general calculus for GGC and Dirichlet process means functionals. It then proceeds via an investigation of positive Linnik random variables, and more generally random variables derived from compositions of a stable…

Heuristics indicate that point processes exhibiting clustering of points have larger critical radius $r_c$ for the percolation of their continuum percolation models than spatially homogeneous point processes. It has already been shown, and…

In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…

Suppose we observe a trajectory of length $n$ from an exponentially $\alpha$-mixing stochastic process over a finite but potentially large state space. We consider the problem of estimating the probability mass placed by the stationary…

This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure It\^o and Stratonovich integrals. In the second part, a survey and new results are presented in relation with finite…

The compound Poisson process and the Dirichlet process are the pillar structures of Renewal theory and Bayesian nonparametric theory, respectively. Both processes have many useful extensions to fulfill the practitioners needs to model the…

We define discrete generating series for arbitrary functions \( f \colon \mathbb{Z}^n \rightarrow \mathbb{C} \) and derive functional relations that these series satisfy. For linear difference equations with constant coefficients, we…

We introduce a new class of nonparametric prior distributions on the space of continuously varying densities, induced by Dirichlet process mixtures which diffuse in time. These select time-indexed random functions without jumps, whose…

The fractional Poisson process has recently attracted experts from several fields of study. Its natural generalization of the ordinary Poisson process made the model more appealing for real-world applications. In this paper, we generalized…

We prove concentration inequalities and associated PAC bounds for continuous- and discrete-time additive functionals for possibly unbounded functions of multivariate, nonreversible diffusion processes. Our analysis relies on an approach via…

We study stochastic monotonicity and propagation of order for Markov processes with respect to stochastic integral orders characterized by cones of functions satisfying $\Phi f \geq 0$ for some linear operator $\Phi$. We introduce a new…

The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability of N coupled stochastic variables with the Dirichlet distribution as its asymptotic solution. To ensure a bounded…

A simple explicit construction is provided of a partition-valued fragmentation process whose distribution on partitions of $[n]=\{1,...,n\}$ at time $\theta \ge 0$ is governed by the Ewens sampling formula with parameter $\theta$. These…

We define a generalized Golomb--Dickman constant $\lambda_{\theta}$ as the limiting expected proportion of the longest cycle in random permutations under the Ewens measure with parameter $\theta > 0$. Exploiting the independence properties…