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We propose a contrast-based estimation method for Gaussian processes with time-inhomogeneous drifts, observed under high-frequency sampling. The process is modeled as the sum of a deterministic drift function and a stationary Gaussian…
We study the asymptotic distribution of random walks on $\mathbb Z^d$ ($d\ge1$) in deterministic reversible environments defined by an assignment of a positive conductance to each edge of $\mathbb Z^d$. We identify a deterministic set of…
We obtain expected number of arrivals, absorption probabilities and expected time until absorption for an asymmetric discrete random walk on a graph in the presence of multiple function barriers. On each edge of the graph and in each vertex…
A multivariate distribution can be described by a triangular transport map from the target distribution to a simple reference distribution. We propose Bayesian nonparametric inference on the transport map by modeling its components using…
It is known that a random walk on $\Z^d$ among i.i.d. uniformly elliptic random bond conductances verifies a central limit theorem. It is also known that approximations of the covariance matrix can be obtained by considering periodic…
We relate some basic constructions of stochastic analysis to differential geometry, via random walk approximations. We consider walks on both Riemannian and sub-Riemannian manifolds in which the steps consist of travel along either…
In the context of the geometrical analysis of weakly non Gaussian CMB maps, the 2D differential extrema counts as functions of the excursion set threshold is derived from the full moments expansion of the joint probability distribution of…
We investigate statistical inference across time scales. We take as toy model the estimation of the intensity of a discretely observed compound Poisson process with symmetric Bernoulli jumps. We have data at different time scales:…
This paper consists of two parts. In the first part, we focus on the average of a functional over shifted Gaussian homogeneous noise and as the averaging domain covers the whole space, we establish a Breuer-Major type Gaussian fluctuation…
We develop sampling methods, which consist of Gaussian invariant versions of random walk Metropolis (RWM), Metropolis adjusted Langevin algorithm (MALA) and second order Hessian or Manifold MALA. Unlike standard RWM and MALA we show that…
We construct a continuous-time non-commutative random walk on $U(\mathfrak{gl}_N)$ with dilation maps $U(\mathfrak{gl}_N)\rightarrow L^2(U(N))^{\otimes\infty}$. This is an analog of a continuous-time non-commutative random walk on the group…
The random walk process in a nonhomogeneous medium, characterised by a L\'evy stable distribution of jump length, is discussed. The width depends on a position: either before the jump or after that. In the latter case, the density slope is…
We consider continuous-time random walk models described by arbitrary sojourn time probability density functions. We find a general expression for the distribution of time-averaged observables for such systems, generalizing some recent…
We study a natural construction of a general class of inhomogeneous quantum walks (namely walks whose transition probabilities depend on position). Within the class we analyze walks that are periodic in position and show that, depending on…
We investigate three aspects of weak* convergence of the $n$-step distributions of random walks on finite volume homogeneous spaces $G/\Gamma$ of semisimple real Lie groups. First, we look into the obvious obstruction to the upgrade from…
We introduce the quantum stochastic walk (QSW), which determines the evolution of generalized quantum mechanical walk on a graph that obeys a quantum stochastic equation of motion. Using an axiomatic approach, we specify the rules for all…
We consider a discrete random walk on a diagonal lattice in two and three dimensions and obtain explicit solutions of absorption probabilities and probabilities of return in several domains. In three dimensions we consider both the cube and…
This paper studies Gaussian random fields with Mat\'ern covariance functions with smooth parameter $\nu>2$. Two cases of parameter spaces, the Euclidean space and $N$-dimensional sphere, are considered. For such smooth Gaussian fields, we…
We consider the problem of high-dimensional Gaussian graphical model selection. We identify a set of graphs for which an efficient estimation algorithm exists, and this algorithm is based on thresholding of empirical conditional…
We study the asymptotic behaviour of the probability that a weighted sum of centered i.i.d. random variables X_k does not exceed a constant barrier. For regular random walks, the results follow easily from classical fluctuation theory,…