概率论
We consider a Cox--Ingersoll--Ross (CIR) type short rate model driven by a mixed fractional Brownian motion. Let $M=B+B^H$ be a one-dimensional mixed fractional Brownian motion with Hurst index $H>1/2$, and let…
We study a singular stochastic equation driven by a regular noise of fractional Brownian type with Hurst index $H \in (1,\infty)\setminus\mathbb{Z}$ and drift coefficient $b \in \mathcal{C}^\alpha$, where $\alpha > 1 - \frac{1}{2H}$. The…
The objective of this paper is to provide a new mathematical tool for fish migration that has not been studied well. McKean-Vlasov stochastic differential equations (MVSDEs) have broad potential applications in science and engineering, but…
The mean time taken by an irreducible Markov chain on a finite state space to hit a target chosen at random according to the stationary distribution does not depend on the initial state of the chain. This mean time is known as Kemeny's…
We consider constrained-degree percolation on the hypercubic lattice. Initially, all edges are closed, and each edge independently attempts to open at a uniformly distributed random time; the attempt succeeds if, at that instant, both…
We consider a class of multi-agent distributed synchronization systems, which are modeled as $n$ particles moving on the real line. This class generalizes the model of a multi-server queueing system, considered in [15], employing so-called…
In this article, we develop a combinatorial approach for studying moments of the resolvent trace for random tensors proposed by Razvan Gurau. Our work is based on the study of hypergraphs and extends the combinatorial proof of moments…
This work is a series of two articles. The main goal is to rigorously derive the degenerate parabolic-elliptic Keller-Segel system in the sub-critical regime from a moderately interacting stochastic particle system. In the first article…
The problem of the Taylor-Ito and Taylor-Stratonovich expansions of the Ito stochastic processes in a neighborhood of a fixed moment of time is considered. The classical forms of the Taylor-Ito and Taylor-Stratonovich expansions are…
The article is devoted to the expansion of iterated Stratonovich stochastic integrals of multiplicity 2 on the base of the combined approach of generalized multiple and iterated Fourier series. We consider two different parts of the…
The article is devoted to the practical material on expansions and mean-square approximations of specific iterated Ito and Stratonovich stochastic integrals of multiplicities 1 to 6 with respect to components of the multidimensional Wiener…
We study first-order phase transitions in continuum Gibbs point processes with saturated interactions. These interactions form a broad class of Hamiltonians in which the local energy in regions of high particle density depends only on the…
We investigate the complexity of the Hamiltonian in the pure $p$-spin spin glass model accompanied with a polynomial-type potential on $\mathbb{R}^N$. In this Hamiltonian, the Gaussian field is anisotropic, and the potential lacks…
This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime. We show that, under appropriate scaling, both the intensity processes and the rescaled Hawkes…
We study the star hull of planar Brownian motion and bridge. Roughly speaking, this is the smallest starshaped set (with respect to the origin) that contains the trace of the path. In particular, we prove that the expected areas of the star…
The misanthrope process is an interacting particle system where particles move between neighbouring sites with hop rates depending only on the number of particles at the departure and arrival sites. Motivated by a discretised version of the…
We introduce a natural class of models of random chain complexes of real vector spaces that some classical ensembles of random matrices, the length $1$ case. We are interested here in the homological properties of these random complexes.…
The Bismut formula is a crucial tool characterizing regularities of stochastic systems, and has been extensively studied for various models. However it is not yet available for SDEs with distribution dependent noise. In this paper, we first…
Drone delivery systems violate a core assumption in classical queueing models: server capacity is not fixed. Drones (servers) periodically must recharge, creating random fluctuations in service availability. We introduce an Erlang--S$^{*}$…
We study reflected jump diffusions on Ahlfors regular domains in general metric measure spaces. Under the condition that the Dirichlet form on the ambient space satisfies a capacity upper bound estimate, we construct an extension operator…