相关论文: On intertwining relations between Ehrenfest, Yule …
We present new links between some remarkable martingales found in the study of the Binary Search Tree, or of the Bisection Problem, looking at them on the probability space of a continuous time binary branching process.
We are interested in the law of the first passage time of an Ornstein-Uhlenbeck process to time-varying thresholds. We show that this problem is connected to the laws of the first passage time of the process to members of a two-parameter…
Infrared spectroscopy has emerged as a premier experimental technique to probe enigmatic effects arising from strong correlations in solids. Here we report on recent advances in this area focusing on common patterns in correlated electron…
We study semigroups generated by general fractional Ornstein-Uhlenbeck operators acting on $L2(\mathbb R^n)$. We characterize geometrically the partial Gevrey-type smoothing properties of these semigroups and we sharply describe the blow-up…
We show that for $\beta \ge 1$ the semigroups of $\beta$-Laguerre and $\beta$-Jacobi processes of different dimensions are intertwined in analogy to a similar result for $\beta$-Dyson Brownian motion recently obtained by Ramanan and…
A Markov Additive Process is a bi-variate Markov process $(\xi,J)=\big((\xi_t,J_t),t\geq0\big)$ which should be thought of as a multi-type L\'evy process: the second component $J$ is a Markov chain on a finite space $\{1,\ldots,K\}$, and…
We investigate the properties of the stochastic Gross-Pitaevskii equation describing a condensate interacting with a stationary thermal cloud derived by Gardiner and coworkers. We find the appropriate Ehrenfest relations for the SGPE,…
Ornstein-Uhlenbeck process of bounded variation is introduced as a solution of an analogue of the Langevin equation with an integrated telegraph process replacing a Brownian motion. There is an interval $I$ such that the process starting…
Skew convolution semigroups play an important role in the study of generalized Mehler semigroups and Ornstein-Uhlenbeck processes. We give a characterization for a general skew convolution semigroup on real separable Hilbert space whose…
The classical Bakry-\'Emery calculus is extended to study, for degenerated (non-elliptic, non-reversible, or non-diffusive) Markov processes, questions such as hypoellipticity, hypocoercivity, functional inequalities or Wasserstein…
We consider a transformed Ornstein-Uhlenbeck process model that can be a good candidate for modelling real-life processes characterized by a combination of time-reverting behaviour with heavy distribution tails. We begin with presenting the…
The Ornstein-Uhlenbeck (OU) process describes the dynamics of Brownian particles in a confining harmonic potential, thereby constituting the paradigmatic model of overdamped, mean-reverting Langevin dynamics. Despite its widespread…
Markov chains are used to give a purely probabilistic way of understanding the conjugacy classes of the finite symplectic and orthogonal groups in odd characteristic. As a corollary of these methods one obtains a probabilistic proof of…
We provide a sharp nonasymptotic analysis of the rates of convergence for some standard multivariate Markov chains using spectral techniques. All chains under consideration have multivariate orthogonal polynomial as eigenfunctions. Our…
We characterize throughout the spectral range of an optical trap the nature of the noise at play and the ergodic properties of the corresponding Brownian motion of an overdamped trapped single microsphere, comparing experimental, analytical…
In 2007, Alekseev-Meinrenken proved that there exists a Ginzburg-Weinstein diffeomorphism from the dual Lie algebra ${\rm u}(n)^*$ to the dual Poisson Lie group $U(n)^*$ compatible with the Gelfand-Zeitlin integrable systems. In this paper,…
Superpositions of Ornstein-Uhlenbeck processes allow a flexible dependence structure, including long range dependence for OU-type processes. Their complex asymptotics are governed by three effects: the behavior of the L\'evy measure both at…
It is well known that some important Markov semi-groups have a "regularization effect" -- as for example the hypercontractivity property of the noise operator on the Boolean hypercube or the Ornstein-Uhlenbeck semi-group on the real line,…
In this paper we establish a diffusion limit for a multivariate continuous time Markov chain whose components are indexed by vertices of a finite graph. The components take values in a common finite set of non-negative integers and evolve…
Borisov and Gunnells observed in 2001 that certain linear relations between products of two holomorphic weight 1 Eisenstein series had the same structure as the relations between periods of modular forms; a similar phenomenon exists in…