概率论
We obtain a new closed-form formula for the characteristic function of the asymmetric Student's $t$-distribution. As part of our analysis, we derive a new closed-form formula for the integral $\int_0^\infty…
In this paper, we study the number of moves in a multidimensional elephant random walk with stops. We establish several convergence results for the number of moves, including the law of large numbers and the law of iterated logarithm. Using…
In this paper, we study backward stochastic differential equations driven by G-Brownian motion where the generator has time-varying monotonicity with respect to y and Lipsitz property with respect to z. Through the Yosida approximation, we…
In the classical work [FK], Fujita and Kato established the local existence of solutions to the 3D Navier-Stokes equations in the critical $\mathbb{H}^{1/2}$-space. In this paper, we are concerned with the global well-posedness of the…
We consider an infinite-dimensional stochastic clustering model on $\mathbb{R}$. In discrete time, each point of a unit-intensity simple point process moves halfway toward either of its left or right neighbors, chosen uniformly at random.…
We study a compound Poisson (random time-change) approximation for stochastic differential equations (SDEs) and stochastic Volterra equations whose coefficients may be merely measurable in time and may even exhibit integrable singularities.…
In this article, we address the velocity tracking control problem for a class of stochastic non-Newtonian fluids. More precisely, we consider the stochastic third-grade fluid equation perturbed by infinite-dimensional additive white noise…
We study the martingale formulation of the two-dimensional stochastic heat equation (SHE) at criticality. The main theorem proves an exact recursive-type equation that expresses the covariation measures of the SHE in terms of the solutions…
Population genetic processes, such as the adaptation of a quantitative trait to directional selection, may occur on longer time scales than the sweep of a single advantageous mutation. To study such processes in finite populations,…
Stochastic branching algorithms provide a useful alternative to grid-based schemes for the numerical solution of partial differential equations, particularly in high-dimensional settings. However, they require a strict control of the…
The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades are focused on multivariate regular variation, while the rest…
We derive two weak formulations for the supercooled Stefan problem with transport noise on a half-line: one captures a continuously evolving system, while the other resolves blow-ups by allowing for jump discontinuities in the evolution of…
We show that the occupation measure of planar Brownian motion exhibits a constant height gap of $5/\pi$ across its outer boundary. This property bears similarities with the celebrated results of Schramm--Sheffield [18] and Miller--Sheffield…
Distributed ledgers, including blockchain and other decentralized databases, are designed to store information online where all trusted network members can update the data with transparency. The dynamics of ledger's development can be…
Physical Brownian motion describes the dynamics of a Brownian particle experiencing frictional force. It was investigated in the classical work [L. S. Ornstein and G. E. Uhlenbeck, Phys. Rev. 36 (1930)] as a physically meaningful approach…
We introduce and analyze a broad class of continuous directed polymers in $\mathbb{R}^d$ driven by Gaussian environments that are white in time and spatially correlated, under Dalang's condition. Using an It\^o-renormalized…
In this paper, we consider the near-critical dimer model in the setup of isoradial superpositions with Temperleyan boundary conditions. We show that the centered height function converges as the mesh size tends to zero to a limiting field…
The spatial Muller's ratchet is a model introduced by Foutel-Rodier and Etheridge to study the impact of cooperation and competition on the fitness of an expanding asexual population. The model is an interacting particle system consisting…
In this article, we consider a generalisation of the spatial Muller's ratchet introduced by Foutel-Rodier and Etheridge. This particle system is a spatial model of an asexual population, with birth and death rates that depend on the local…
A random variable $\xi$ has a {\it light-tailed} distribution (for short: is light-tailed) if it possesses a finite exponential moment, $\E \exp (\lambda \xi) <\infty$ for some $\lambda >0$, and has a {\it heavy-tailed} distribution (is…