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We present a new drift condition which implies rates of convergence to the stationary distribution of the iterates of a \psi-irreducible aperiodic and positive recurrent transition kernel. This condition, extending a condition introduced by…
This paper introduces a new type of second order stochastic backward Hamilton-Jacobi-Bellman (HJB) equations for optimal stochastic control problems with a currently observable but non-predicable parameter process, in addition to the…
In this work a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only assumption that the process generating the data is stationary…
An independent random cascade measure is specified by a random generator, a vector of dimension c with non-negative components. The dimension c is called the branching cascade parameter. It is shown under certain restrictions that, if this…
In this paper, we derive the moderate deviation principle for stationary sequences of bounded random variables with values in a Hilbert space. The conditions obtained are expressed in terms of martingale-type conditions. The main tools are…
Our model is a constrained homogeneous random walk in a nonnegative orthant Z_+^d. The convergence to stationarity for such a random walk can often be checked by constructing a Lyapunov function. The same Lyapunov function can also be used…
This paper develops an asymptotic likelihood theory for triangular arrays of stationary Gaussian time series depending on a multidimensional unknown parameter. We give sufficient conditions for the associated sequence of statistical models…
We study diffusion-type equations supported on structures that are randomly varying in time. After settling the issue of well-posedness, we focus on the asymptotic behavior of solutions: our main result gives sufficient conditions for…
In this paper, we formulate and prove new properties of conditional quantiles given one of the particular sigma-fields. Next, we use them to investigate almost sure asymptotic behavior of central order statistics which arise from strictly…
The question whether a time series behaves as a random walk or as a station- ary process is an important and delicate problem, particularly arising in financial statistics, econometrics, and engineering. This paper studies the problem to…
Missing values arise in most real-world data sets due to the aggregation of multiple sources and intrinsically missing information (sensor failure, unanswered questions in surveys...). In fact, the very nature of missing values usually…
We solve the infinite-dimensional stochastic differential equations (ISDEs) describing an infinite number of Brownian particles in $ \mathbb{R}^+$ interacting through the two-dimensional Coulomb potential. The equilibrium states of the…
We study the effect of a random perturbation on a one-parameter family of dynamical systems whose behavior in the absence of perturbation is ill understood. We provide conditions under which the perturbed system is ergodic and admits a…
It is commonly required to detect change points in sequences of random variables. In the most difficult setting of this problem, change detection must be performed sequentially with new observations being constantly received over time.…
This work deals with two problems arising in mathematical ecology. The first problem is concerned with diploid branching particle models and its behavior when rapid stirring is added to the interaction. The particle models involve two types…
In this paper, we use the concept of excursion sets for the extrapolation of stationary random fields. Doing so, we define excursion sets for the field and its linear predictor, and then minimize the expected volume of the symmetric…
We study some percolation problems on the complete graph over $\mathbf N$. In particular, we give sharp sufficient conditions for the existence of (finite or infinite) cliques and paths in a random subgraph. No specific assumption on the…
We consider a single Brownian particle in one dimension in a medium at a constant temperature in the underdamped regime. We stochastically reset the position of the Brownian particle to a fixed point in the space with a constant rate $r$…
The stochastic quantization of the fermion field is performed starting from Dirac equations. The statistical properties of stochastic terms in Langevin equations are described by explicit formulae of a Markov process. The interaction of the…
We define a simple model of conformal field theory in random space-time environments, which we refer to as stochastic conformal field theory. This model accounts for the effects of dilute random impurities in strongly interacting critical…