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Well-Posedness for Path-Distribution Dependent Stochastic Differential Equations with Singular Drifts 具有奇异漂移的路径分布依赖随机微分方程的良好拟合
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-07-14 DOI: 10.1007/s10959-024-01356-y
Xiao-Yu Zhao
{"title":"Well-Posedness for Path-Distribution Dependent Stochastic Differential Equations with Singular Drifts","authors":"Xiao-Yu Zhao","doi":"10.1007/s10959-024-01356-y","DOIUrl":"https://doi.org/10.1007/s10959-024-01356-y","url":null,"abstract":"<p>Well-posedness is derived for singular path-distribution dependent stochastic differential equations (SDEs) with non-degenerate noise, where the drift is allowed to be singular in the current state, but maintains local Lipschitz continuity in the historical path, and the coefficients are Lipschitz continuous with respect to a weighted variation distance in the distribution variable. Notably, this result is new even for classical path-dependent SDEs where the coefficients are distribution independent. Moreover, by strengthening the local Lipschitz continuity to Lipschitz continuity and replacing the weighted variation distance with the Wasserstein distance, we also obtain well-posedness.</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141608768","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Doubly Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients 具有均匀连续系数的 G 布朗运动驱动的双反射后向随机微分方程
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-07-10 DOI: 10.1007/s10959-024-01358-w
Shengqiu Sun
{"title":"Doubly Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients","authors":"Shengqiu Sun","doi":"10.1007/s10959-024-01358-w","DOIUrl":"https://doi.org/10.1007/s10959-024-01358-w","url":null,"abstract":"<p>In this paper, we consider doubly reflected backward stochastic differential equations driven by <i>G</i>-Brownian motion with uniformly continuous coefficients. The existence of solutions can be obtained by a monotone convergence argument, a linearization method, a penalization method and the method of Picard iteration.\u0000</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141584854","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Convergence to the Uniform Distribution of Vectors of Partial Sums Modulo One with a Common Factor 收敛到有公共因子的部分和模一向量的均匀分布
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-07-06 DOI: 10.1007/s10959-024-01348-y
Roberta Flenghi, Benjamin Jourdain
{"title":"Convergence to the Uniform Distribution of Vectors of Partial Sums Modulo One with a Common Factor","authors":"Roberta Flenghi, Benjamin Jourdain","doi":"10.1007/s10959-024-01348-y","DOIUrl":"https://doi.org/10.1007/s10959-024-01348-y","url":null,"abstract":"<p>In this work, we prove the joint convergence in distribution of <i>q</i> variables modulo one obtained as partial sums of a sequence of i.i.d. square-integrable random variables multiplied by a common factor given by some function of an empirical mean of the same sequence. The limit is uniformly distributed over <span>([0,1]^q)</span>. To deal with the coupling introduced by the common factor, we assume that the absolutely continuous (with respect to the Lebesgue measure) part of the joint distribution of the random variables is nonzero, so that the convergence in the central limit theorem for this sequence holds in total variation distance. While our result provides a generalization of Benford’s law to a data-adapted mantissa, our main motivation is the derivation of a central limit theorem for the stratified resampling mechanism, which is performed in the companion paper (Flenghi and Jourdain, Central limit theorem for the stratified selection mechanism, 2023, http://arxiv.org/abs/2308.02186).</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141577564","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Transition of the Simple Random Walk on the Ice Model Graph 冰模型图上简单随机游走的过渡
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-07-04 DOI: 10.1007/s10959-024-01357-x
Xavier Bressaud, Serge Cohen
{"title":"Transition of the Simple Random Walk on the Ice Model Graph","authors":"Xavier Bressaud, Serge Cohen","doi":"10.1007/s10959-024-01357-x","DOIUrl":"https://doi.org/10.1007/s10959-024-01357-x","url":null,"abstract":"<p>The 6-vertex model holds significance in various mathematical and physical domains. The configurations of the 6-vertex model correspond to the paths in multigraphs. This article focuses on calculating the transition probability for the simple random walk on these multigraphs. An intriguing aspect of the findings is the utilization of continued fractions in the computation of the transition probability.</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141551864","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Regularity of the Semigroup of Regular Probability Measures on Locally Compact Hausdorff Topological Groups 局部紧密豪斯多夫拓扑群上规则概率量半群的规则性
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-07-02 DOI: 10.1007/s10959-024-01353-1
M. N. N. Namboodiri
{"title":"Regularity of the Semigroup of Regular Probability Measures on Locally Compact Hausdorff Topological Groups","authors":"M. N. N. Namboodiri","doi":"10.1007/s10959-024-01353-1","DOIUrl":"https://doi.org/10.1007/s10959-024-01353-1","url":null,"abstract":"<p>Let <i>G</i> be a locally compact Hausdorff group, and let <i>P</i>(<i>G</i>) denote the class of all regular probability measures on <i>G</i>. It is well known that <i>P</i>(<i>G</i>) forms a semigroup under the convolution of measures. In this paper, we prove that <i>P</i>(<i>G</i>) is not algebraically regular in the sense that not every element has a generalized inverse. Additionally, we attempt to identify algebraically regular elements in some exceptional cases. Several supporting examples are provided to justify these assumptions.\u0000</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141503844","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Functional Large Deviations for Kac–Stroock Approximation to a Class of Gaussian Processes with Application to Small Noise Diffusions 一类高斯过程的 Kac-Stroock 近似函数大偏差与小噪声扩散的应用
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-06-27 DOI: 10.1007/s10959-024-01354-0
Jiang Hui, Xu Lihu, Yang Qingshan
{"title":"Functional Large Deviations for Kac–Stroock Approximation to a Class of Gaussian Processes with Application to Small Noise Diffusions","authors":"Jiang Hui, Xu Lihu, Yang Qingshan","doi":"10.1007/s10959-024-01354-0","DOIUrl":"https://doi.org/10.1007/s10959-024-01354-0","url":null,"abstract":"<p>In this paper, we establish the functional large deviation principle (LDP) for the Kac–Stroock approximations of a wild class of Gaussian processes constructed by telegraph types of integrals with <span>(L^2)</span>-integrands under mild conditions and find the explicit form for their rate functions. Our investigation includes a broad range of kernels, such as those related to Brownian motions, fractional Brownian motions with whole Hurst parameters, and Ornstein–Uhlenbeck processes. Furthermore, we consider a class of non-Markovian stochastic differential equations driven by the Kac–Stroock approximation and establish their Freidlin–Wentzell type LDP. The rate function clearly indicates an interesting phase transition phenomenon as the approximating rate moves from one region to the other.\u0000</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141503845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Sample Path Behaviors of Lévy Processes Conditioned to Avoid Zero 以避零为条件的莱维过程的路径行为样本
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-06-26 DOI: 10.1007/s10959-024-01352-2
Shosei Takeda
{"title":"Sample Path Behaviors of Lévy Processes Conditioned to Avoid Zero","authors":"Shosei Takeda","doi":"10.1007/s10959-024-01352-2","DOIUrl":"https://doi.org/10.1007/s10959-024-01352-2","url":null,"abstract":"<p>Takeda and Yano (Electron J Probab 28:1–35, 2023) determined the limit of Lévy processes conditioned to avoid zero via various random clocks in terms of Doob’s <span>(h)</span>-transform, where the limit processes may differ according to the choice of random clocks. The purpose of this paper is to investigate sample path behaviors of the limit processes in long time and in short time.</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141503846","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
On the Generalized Birth–Death Process and Its Linear Versions 论广义出生-死亡过程及其线性版本
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-06-22 DOI: 10.1007/s10959-024-01355-z
P. Vishwakarma, K. K. Kataria
{"title":"On the Generalized Birth–Death Process and Its Linear Versions","authors":"P. Vishwakarma, K. K. Kataria","doi":"10.1007/s10959-024-01355-z","DOIUrl":"https://doi.org/10.1007/s10959-024-01355-z","url":null,"abstract":"<p>In this paper, we consider a generalized birth–death process (GBDP) and examine its linear versions. Using its transition probabilities, we obtain the system of differential equations that governs its state probabilities. The distribution function of its waiting time in state <i>s</i> given that it starts in state <i>s</i> is obtained. For a linear version of it, namely the generalized linear birth–death process (GLBDP), we obtain the probability generating function, mean, variance and the probability of ultimate extinction of population. Also, we obtain the maximum likelihood estimate of its parameters. The differential equations that govern the joint cumulant generating functions of the population size with cumulative births and cumulative deaths are derived. In the case of constant birth and death rates in GBDP, the explicit forms of the state probabilities, joint probability mass functions of population size with cumulative births and cumulative deaths, and their marginal probability mass functions are obtained. It is shown that the Laplace transform of an integral of GBDP satisfies its Kolmogorov backward equation with certain scaled parameters. The first two moments of the path integral of GLBDP are obtained. Also, we consider the immigration effect in GLBDP for two different cases. An application of a linear version of GBDP and its path integral to a vehicles parking management system is discussed. Later, we introduce a time-changed version of the GBDP where time is changed via an inverse stable subordinator. We show that its state probabilities are governed by a system of fractional differential equations.\u0000</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141527795","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Some Families of Random Fields Related to Multiparameter Lévy Processes 与多参数莱维过程有关的一些随机场族
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-06-21 DOI: 10.1007/s10959-024-01351-3
Francesco Iafrate, Costantino Ricciuti
{"title":"Some Families of Random Fields Related to Multiparameter Lévy Processes","authors":"Francesco Iafrate, Costantino Ricciuti","doi":"10.1007/s10959-024-01351-3","DOIUrl":"https://doi.org/10.1007/s10959-024-01351-3","url":null,"abstract":"<p>Let <span>({mathbb {R}}^N_+= [0,infty )^N)</span>. We here make new contributions concerning a class of random fields <span>((X_t)_{tin {mathbb {R}}^N_+})</span> which are known as multiparameter Lévy processes. Related multiparameter semigroups of operators and their generators are represented as pseudo-differential operators. We also provide a Phillips formula concerning the composition of <span>((X_t)_{tin {mathbb {R}}^N_+})</span> by means of subordinator fields. We finally define the composition of <span>((X_t)_{tin {mathbb {R}}^N_+})</span> by means of the so-called inverse random fields, which gives rise to interesting long-range dependence properties. As a byproduct of our analysis, we present a model of anomalous diffusion in an anisotropic medium which extends the one treated in Beghin et al. (Stoch Proc Appl 130:6364–6387, 2020), by improving some of its shortcomings.\u0000</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141503847","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes 确定多制度阈值奥恩斯坦-乌伦贝克过程的阈值数量和数值
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-06-21 DOI: 10.1007/s10959-024-01343-3
Dingwen Zhang
{"title":"Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes","authors":"Dingwen Zhang","doi":"10.1007/s10959-024-01343-3","DOIUrl":"https://doi.org/10.1007/s10959-024-01343-3","url":null,"abstract":"<p>The threshold Ornstein–Uhlenbeck process is a stochastic process that satisfies a stochastic differential equation with a drift term modeled as a piecewise linear function and a diffusion term characterized by a positive constant. This paper addresses the challenge of determining both the number and values of thresholds based on the continuously observed process. We present three testing algorithms aimed at determining the unknown number and values of thresholds, in conjunction with least squares estimators for drift parameters. The limiting distribution of the proposed test statistic is derived. Additionally, we employ sequential and global methods to determine the values of thresholds, and prove their weak convergence. Monte Carlo simulation results are provided to illustrate and support our theoretical findings. We utilize the model to estimate the term structure of US treasury rates and currency foreign exchange rates.</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141528924","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
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