相关论文: Equivalent and absolutely continuous measure chang…
Exploiting the coherent medium approximation, random walk among sites distributed randomly in space is investigated when the jump rate depends on the distance between two adjacent sites. In one dimension, it is shown that when the jump rate…
We investigate the temporal evolution and spatial propagation of branching annihilating random walks in one dimension. Depending on the branching and annihilation rates, a few-particle initial state can evolve to a propagating finite…
In this paper, we prove a result of equivalence in law between a diffusion conditioned with respect to partial observations and an auxiliary process. By partial observations we mean coordinates (or linear transformation) of the process at a…
We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach, we derive formulas for the Laplace transform of its…
We consider a positive recurrent one-dimensional diffusion process with continuous coefficients and we establish stable central limit theorems for a certain type of additive functionals of this diffusion. In other words we find some…
Using the Lyapunov criteria arguments, we find sufficient conditions on explosion/nonexplosion for continuous-state branching processes with competition in L\'evy random environment. In particular, we identify the necessary and sufficient…
This article is concerned with the mathematical analysis of a family of adaptive importance sampling algorithms applied to diffusion processes. These methods, referred to as Adaptive Biasing Potential methods, are designed to efficiently…
We look for similarity transformations which yield mappings between different one-dimensional reaction-diffusion processes. In this way results obtained for special systems can be generalized to equivalent reaction-diffusion models. The…
We study reaction-diffusion processes with concentration-dependent diffusivity. First, we determine the decay of the concentration in the single-species and two-species diffusion-controlled annihilation processes. We then consider two…
This work focuses on a class of regime-switching jump diffusion processes, in which the switching component has countably infinite many states or regimes. The existence and uniqueness of the underlying process are obtained by an interlacing…
An integro-differential equation for the probability density of the generalized stochastic Ornstein-Uhlenbeck process with jump diffusion is considered. It is shown that for a certain ratio between the intensity of jumps and the speed of…
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treatment of the problem: we can either take…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
We consider the problem of frequency estimation by observations of the periodic diffusion process possesing ergodic properties in two different situations. The first one corresponds to continuously differentiable with respect to parameter…
For a time-changed symmetric $\alpha$-stable process killed upon hitting zero, under the condition of entrance from infinity, we prove the existence and uniqueness of quasi-stationary distribution (QSD). The exponential convergence to the…
We prove that self-similar measures on the real line are absolutely continuous for almost all parameters in the super-critical region, in particular confirming a conjecture of S-M. Ngai and Y. Wang. While recently there has been much…
We present a Markov approximation for jump-diffusions whose jump part consists in a Hawkes process with intensity driven by a general (possibly non-monotone) kernel. Under minimal integrability conditions, the kernel can be approximated by…
This thesis investigates critical phenomena and equilibrium states in various stochastic models through three interconnected studies. In the first chapter, we analyze the Activated Random Walk model on a one-dimensional ring in the…
We consider the problem of equivalence of Gibbs states and equilibrium states for continuous potentials on full shift spaces $E^{\mathbb{Z}}$. Sinai, Bowen, Ruelle and others established equivalence under various assumptions on the…
In this paper we study mutual absolute continuity and singularity of probability measures on the path space which are induced by an isotropic stable L\'evy process and the purely discontinuous Girsanov transform of this process. We also…