Related papers: Small Deviations of Gaussian Random Fields in $L_q…
We study simple approximations to fractional Gaussian noise and fractional Brownian motion. The approximations are based on spectral properties of the noise. They allow one to consider the noise as the result of fractional…
Motivated by the subordinated Brownian motion, we define a new class of (in general discontinuous) random fields on higher-dimensional parameter domains: the subordinated Gaussian random field. We investigate the pointwise marginal…
We study branching Brownian motion in hyperbolic space. As hyperbolic Brownian motion is transient, the normalised empirical measure of branching Brownian motion converges to a random measure $\mu_\infty$ on the boundary. We show that the…
Let $G$ be a countably infinite group, and let $\mu$ be a generating probability measure on $G$. We study the space of $\mu$-stationary Borel probability measures on a topological $G$ space, and in particular on $Z^G$, where $Z$ is any…
We obtain sharp upper and lower bounds for the moderate deviations of the volume of the range of a random walk in dimension five and larger. Our results encompass two regimes: a Gaussian regime for small deviations, and a stretched…
The ``Brownian bees'' model describes an ensemble of $N=$~const independent branching Brownian particles. The conservation of $N$ is provided by a modified branching process. When a particle branches into two particles, the particle which…
There are several ways to measure the compressibility of a random measure; they include general approaches such as using the rate-distortion curve, as well as more specific notions, such as the Renyi information dimension (RID). The RID…
We consider the random point processes on a measure space X defined by the Gibbs measures associated to a given sequence of N-particle Hamiltonians H^{(N)}. Inspired by the method of Messer-Spohn for proving concentration properties for the…
We consider the problem of estimating small ball probabilities $\mathbb P\{f(G) \leqslant \delta \mathbb Ef(G)\}$ for sub-additive,positively homogeneous functions $f$ with respect to the Gaussian measure. We establish estimates that depend…
The aim of this paper is to investigate discrete approximations of the exponential functional $\int_0^{\infty} \exp(B(t) - \nu t) \di t$ of Brownian motion (which plays an important role in Asian options of financial mathematics) by the…
Near-Gaussian probability densities are common in many important physical applications. Here we develop an asymptotic expansion methodology for computing entropic functionals for such densities. The expansion proposed is a close relative of…
We give new and explicitly computable examples of Gibbs-non-Gibbs transitions of mean-field type, using the large deviation approach introduced in [4]. These examples include Brownian motion with small variance and related diffusion…
Moderate deviation principles for empirical measure processes associated with weakly interacting Markov processes are established. Two families of models are considered: the first corresponds to a system of interacting diffusions whereas…
We consider a non-elementary group action $G \curvearrowright X$ of a locally compact second countable group $G$ on a possibly exotic non-discrete affine building $X$ of type $\tilde{A}_2$. We prove that if $\mu$ is an admissible symmetric…
Consider a large system of $N$ Brownian motions in $\mathbb{R}^d$ with some non-degenerate initial measure on some fixed time interval $[0,\beta]$ with symmetrised initial-terminal condition. That is, for any $i$, the terminal location of…
Asymptotics for Dickman's number theoretic function $\rho(u)$, as $u \rightarrow \infty$, were given de Bruijn and Alladi, and later in sharper form by Hildebrand and Tenenbaum. The perspective in these works is that of analytic number…
We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible…
We find logarithmic asymptotics of $L_2$-small deviation probabilities for weighted stationary Gaussian processes (both for real and complex-valued) having power-type discrete or continuous spectrum. As in the recent work by Hong, Lifshits…
In this paper, we investigate two-sided bounds for the small ball probability of a mixed fractional Brownian motion with a general deterministic trend function, in terms of respective small ball probability of a mixed fractional Brownian…
Empirical analyses of ordinal outcomes using repeated cross-sectional data rely on marginal distributions, leaving the joint distribution unobserved and the sources of distributional change unidentified. This paper develops a framework to…