发布求助
文献互助 智能选刊 最新文献

Stochastic Processes and their Applications最新文献

筛选
英文 中文
Approximation for the invariant measure with applications for jump processes (convergence in total variation distance) 不变度量的近似值及其在跳跃过程中的应用（总变异距离的收敛性）
IF 1.1 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-18 DOI: 10.1016/j.spa.2024.104416
Vlad Bally, Yifeng Qin
{"title":"Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)","authors":"Vlad Bally,&nbsp;Yifeng Qin","doi":"10.1016/j.spa.2024.104416","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104416","url":null,"abstract":"<div><p>In this paper, we establish an abstract framework for the approximation of the invariant probability measure for a Markov semigroup. Following Pagès and Panloup (2022) we use an Euler scheme with decreasing step (unadjusted Langevin algorithm). Under some contraction property with exponential rate and some regularization properties, we give an estimate of the error in total variation distance. This abstract framework covers the main results in Pagès and Panloup (2022) and Chen et al. (2023). As a specific application we study the convergence in total variation distance to the invariant measure for jump type equations. The main technical difficulty consists in proving the regularization properties — this is done under an ellipticity condition, using Malliavin calculus for jump processes.</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"176 ","pages":"Article 104416"},"PeriodicalIF":1.1,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141482397","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates 分数布朗运动驱动的 SDE 的欧拉方案：马利亚文可微分性和均匀上界估计
IF 1.1 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-08 DOI: 10.1016/j.spa.2024.104412
Jorge A. León , Yanghui Liu , Samy Tindel
{"title":"Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates","authors":"Jorge A. León ,&nbsp;Yanghui Liu ,&nbsp;Samy Tindel","doi":"10.1016/j.spa.2024.104412","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104412","url":null,"abstract":"<div><p>The Malliavin differentiability of a SDE plays a crucial role in the study of density smoothness and ergodicity among others. For Gaussian driven SDEs the differentiability issue is solved essentially in Cass et al., (2013). In this paper, we consider the Malliavin differentiability for the Euler scheme of such SDEs. We will focus on SDEs driven by fractional Brownian motions (fBm), which is a very natural class of Gaussian processes. We derive a uniform (in the step size <span><math><mi>n</mi></math></span>) path-wise upper-bound estimate for the Euler scheme for stochastic differential equations driven by fBm with Hurst parameter <span><math><mrow><mi>H</mi><mo>&gt;</mo><mn>1</mn><mo>/</mo><mn>3</mn></mrow></math></span> and its Malliavin derivatives.</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"175 ","pages":"Article 104412"},"PeriodicalIF":1.1,"publicationDate":"2024-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141444205","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quenched large deviations in renewal theory 更新理论中的淬火大偏差
IF 1.4 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-08 DOI: 10.1016/j.spa.2024.104414
Frank den Hollander , Marco Zamparo
{"title":"Quenched large deviations in renewal theory","authors":"Frank den Hollander ,&nbsp;Marco Zamparo","doi":"10.1016/j.spa.2024.104414","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104414","url":null,"abstract":"<div><p>In this paper we introduce and study renewal–reward processes in random environments where each renewal involves a reward taking values in a Banach space. We derive quenched large deviation principles and identify the associated rate functions in terms of variational formulas involving correctors. We illustrate the theory with three examples: compound Poisson processes in random environments, pinning of polymers at interfaces with disorder, and returns of Markov chains in dynamic random environments.</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"175 ","pages":"Article 104414"},"PeriodicalIF":1.4,"publicationDate":"2024-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304414924001200/pdfft?md5=e1d33b86b5051e4c0be68edb131cc37c&pid=1-s2.0-S0304414924001200-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141328935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stable trees as mixings of inhomogeneous continuum random trees 作为不均匀连续随机树混合体的稳定树
IF 1.4 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-08 DOI: 10.1016/j.spa.2024.104404
Minmin Wang
{"title":"Stable trees as mixings of inhomogeneous continuum random trees","authors":"Minmin Wang","doi":"10.1016/j.spa.2024.104404","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104404","url":null,"abstract":"<div><p>It has been claimed in Aldous et al. (2004) that all Lévy trees are mixings of inhomogeneous continuum random trees. We give a rigorous proof of this claim in the case of a stable branching mechanism, relying on a new procedure for recovering the tree distance from the graphical spanning trees that works simultaneously for stable trees and inhomogeneous continuum random trees.</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"175 ","pages":"Article 104404"},"PeriodicalIF":1.4,"publicationDate":"2024-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304414924001108/pdfft?md5=d3e1a880f6ad38447d891d0fc7b9d90e&pid=1-s2.0-S0304414924001108-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141328934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Backward doubly stochastic differential equations and SPDEs with quadratic growth 具有二次增长的后向双随机微分方程和 SPDEs
IF 1.4 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-08 DOI: 10.1016/j.spa.2024.104405
Ying Hu , Jiaqiang Wen , Jie Xiong
{"title":"Backward doubly stochastic differential equations and SPDEs with quadratic growth","authors":"Ying Hu ,&nbsp;Jiaqiang Wen ,&nbsp;Jie Xiong","doi":"10.1016/j.spa.2024.104405","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104405","url":null,"abstract":"<div><p>This paper shows the nonlinear stochastic Feynman–Kac formula holds under quadratic growth. For this, we initiate the study of backward doubly stochastic differential equations (BDSDEs, for short) with quadratic growth. The existence, uniqueness, and comparison theorem for one-dimensional BDSDEs are proved when the generator <span><math><mrow><mi>f</mi><mrow><mo>(</mo><mi>t</mi><mo>,</mo><mi>Y</mi><mo>,</mo><mi>Z</mi><mo>)</mo></mrow></mrow></math></span> grows in <span><math><mi>Z</mi></math></span> quadratically and the terminal value is bounded, by introducing innovative approaches. Furthermore, in this framework, we utilize BDSDEs to provide a probabilistic representation of solutions to semilinear stochastic partial differential equations (SPDEs, for short) in Sobolev spaces, and use it to prove the existence and uniqueness of such SPDEs, thereby extending the nonlinear stochastic Feynman–Kac formula for linear growth introduced by Pardoux and Peng (1994).</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"175 ","pages":"Article 104405"},"PeriodicalIF":1.4,"publicationDate":"2024-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141325693","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A non-oriented first passage percolation model and statistical invariance by time reversal 无取向第一通道渗流模型和时间逆转的统计不变性
IF 1.4 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-08 DOI: 10.1016/j.spa.2024.104413
Alejandro F. Ramírez , Santiago Saglietti , Lingyun Shao
{"title":"A non-oriented first passage percolation model and statistical invariance by time reversal","authors":"Alejandro F. Ramírez ,&nbsp;Santiago Saglietti ,&nbsp;Lingyun Shao","doi":"10.1016/j.spa.2024.104413","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104413","url":null,"abstract":"<div><p>We introduce and study a non-oriented first passage percolation model having a property of statistical invariance by time reversal. This model is defined in a graph having directed edges and the passage times associated with each set of outgoing edges from a given vertex are distributed according to a generalized Bernoulli–Exponential law and i.i.d. among vertices. We derive the statistical invariance property by time reversal through a zero-temperature limit of the random walk in Dirichlet environment model.</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"175 ","pages":"Article 104413"},"PeriodicalIF":1.4,"publicationDate":"2024-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141325694","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A note on oriented percolation with inhomogeneities and strict inequalities 关于具有不均匀性的定向渗流和严格不等式的说明
IF 1.4 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-07 DOI: 10.1016/j.spa.2024.104387
Bernardo N.B. de Lima , Daniel Ungaretti , Maria Eulália Vares
{"title":"A note on oriented percolation with inhomogeneities and strict inequalities","authors":"Bernardo N.B. de Lima ,&nbsp;Daniel Ungaretti ,&nbsp;Maria Eulália Vares","doi":"10.1016/j.spa.2024.104387","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104387","url":null,"abstract":"<div><p>This note was motivated by natural questions related to oriented percolation on a layered environment that introduces long range dependence. As a convenient tool, we are led to deal with questions on the strict decrease of the percolation parameter in the oriented setup when an extra dimension is added.</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"175 ","pages":"Article 104387"},"PeriodicalIF":1.4,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141314691","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cyclical long memory: Decoupling, modulation, and modeling 循环长记忆：去耦、调制和建模
IF 1.1 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-07 DOI: 10.1016/j.spa.2024.104403
Stefanos Kechagias , Vladas Pipiras , Pavlos Zoubouloglou
{"title":"Cyclical long memory: Decoupling, modulation, and modeling","authors":"Stefanos Kechagias ,&nbsp;Vladas Pipiras ,&nbsp;Pavlos Zoubouloglou","doi":"10.1016/j.spa.2024.104403","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104403","url":null,"abstract":"<div><p>A new model for general cyclical long memory is introduced, by means of random modulation of certain bivariate long memory time series. This construction essentially decouples the two key features of cyclical long memory: quasi-periodicity and long-term persistence. It further allows for a general cyclical phase in cyclical long memory time series. Several choices for suitable bivariate long memory series are discussed, including a parametric fractionally integrated vector ARMA model. The parametric models introduced in this work have explicit autocovariance functions that can be readily used in simulation, estimation, and other tasks.</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"175 ","pages":"Article 104403"},"PeriodicalIF":1.1,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141433794","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Lipschitz-continuity of time constant in generalized First-passage percolation 广义第一通道渗滤中时间常数的 Lipschitz-continuity
IF 1.4 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-04 DOI: 10.1016/j.spa.2024.104402
Van Hao Can , Shuta Nakajima , Van Quyet Nguyen
{"title":"Lipschitz-continuity of time constant in generalized First-passage percolation","authors":"Van Hao Can ,&nbsp;Shuta Nakajima ,&nbsp;Van Quyet Nguyen","doi":"10.1016/j.spa.2024.104402","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104402","url":null,"abstract":"<div><p>In this article, we consider a generalized First-passage percolation model, where each edge in <span><math><msup><mrow><mi>Z</mi></mrow><mrow><mi>d</mi></mrow></msup></math></span> is independently assigned an infinite weight with probability <span><math><mrow><mn>1</mn><mo>−</mo><mi>p</mi></mrow></math></span>, and a random finite weight otherwise. The existence and positivity of the time constant have been established in Cerf and Théret (2016). Recently, using sophisticated multi-scale renormalizations, Cerf and Dembin (2022) proved that the time constant of chemical distance in super-critical percolation is Lipschitz continuous. In this work, we propose a different approach leveraging lattice animal theory and a simple one-step renormalization with the aid of Russo’s formula, to show the Lipschitz continuity of the time constant in generalized First-passage percolation.</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"175 ","pages":"Article 104402"},"PeriodicalIF":1.4,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141325683","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A multi-dimensional version of Lamperti’s relation and the Matsumoto–Yor processes 兰佩蒂关系的多维版本和松本-尤尔过程
IF 1.4 2区 数学
Stochastic Processes and their Applications Pub Date : 2024-06-01 DOI: 10.1016/j.spa.2024.104401
Thomas Gerard , Valentin Rapenne , Christophe Sabot , Xiaolin Zeng
{"title":"A multi-dimensional version of Lamperti’s relation and the Matsumoto–Yor processes","authors":"Thomas Gerard ,&nbsp;Valentin Rapenne ,&nbsp;Christophe Sabot ,&nbsp;Xiaolin Zeng","doi":"10.1016/j.spa.2024.104401","DOIUrl":"https://doi.org/10.1016/j.spa.2024.104401","url":null,"abstract":"<div><p>The distribution of a one-dimensional drifted Brownian motion conditioned on its first hitting time to 0 is the same as a three-dimensional Bessel bridge. By applying the time change in Lamperti’s relation to this result, Matsumoto and Yor (2001) showed a relation between Brownian motions with opposite drifts. In two subsequent papers (Matsumoto and Yor, 2000; 2001), they established a geometric lifting of the process 2M-B in Pitman’s theorem, known as the Matsumoto–Yor process. They also established an equality in law involving Inverse Gaussian distribution and its reciprocal (as processes), known as the Matsumoto–Yor property, by conditioning some exponential Wiener functional.</p><p>Sabot and Zeng (2020) generalized some results on drifted Brownian motion conditioned on its first hitting. More precisely, they introduced a family of Brownian semimartingales with interacting drifts, for which when conditioned on the vector <span><math><mi>τ</mi></math></span> (the hitting times to 0 of each component), their joint law is the same as for independent three-dimensional Bessel bridges. The distribution of <span><math><mi>τ</mi></math></span> is a generalization of Inverse Gaussian distribution in multi-dimension and it is related to a random potential <span><math><mi>β</mi></math></span> that appears in the study of the Vertex Reinforced Jump Process.</p><p>The aim of this paper is to generalize the results of Matsumoto and Yor (2001, 2000) in the context of these interacting Brownian semimartingales. We apply a Lamperti-type time change to the previous family of interacting Brownian motions and we obtain a multi-dimensional opposite drift theorem. Moreover, we also give a multi-dimensional counterpart of the Matsumoto–Yor process and its intertwining relation with interacting geometric Brownian motions.</p></div>","PeriodicalId":51160,"journal":{"name":"Stochastic Processes and their Applications","volume":"175 ","pages":"Article 104401"},"PeriodicalIF":1.4,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141249974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信