发布求助
文献互助 智能选刊 最新文献

Journal of Theoretical Probability最新文献

筛选
英文 中文
Stability, Uniqueness and Existence of Solutions to McKean–Vlasov Stochastic Differential Equations in Arbitrary Moments 任意时刻麦金-弗拉索夫随机微分方程解的稳定性、唯一性和存在性
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-08-19 DOI: 10.1007/s10959-024-01344-2
Alexander Kalinin, Thilo Meyer-Brandis, Frank Proske
{"title":"Stability, Uniqueness and Existence of Solutions to McKean–Vlasov Stochastic Differential Equations in Arbitrary Moments","authors":"Alexander Kalinin, Thilo Meyer-Brandis, Frank Proske","doi":"10.1007/s10959-024-01344-2","DOIUrl":"https://doi.org/10.1007/s10959-024-01344-2","url":null,"abstract":"<p>We deduce stability and pathwise uniqueness for a McKean–Vlasov equation with random coefficients and a multidimensional Brownian motion as driver. Our analysis focuses on a non-Lipschitz continuous drift and includes moment estimates for random Itô processes that are of independent interest. For deterministic coefficients, we provide unique strong solutions even if the drift fails to be of affine growth. The theory that we develop rests on Itô’s formula and leads to <i>p</i>th moment and pathwise exponential stability for <span>(pge 2)</span> with explicit Lyapunov exponents.</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":"35 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142201594","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
Penalization of Galton–Watson Trees with Marked Vertices 带标记顶点的加尔顿-沃森树的惩罚化
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-08-12 DOI: 10.1007/s10959-024-01364-y
Abraham Romain, Boulal Sonia, Debs Pierre
{"title":"Penalization of Galton–Watson Trees with Marked Vertices","authors":"Abraham Romain, Boulal Sonia, Debs Pierre","doi":"10.1007/s10959-024-01364-y","DOIUrl":"https://doi.org/10.1007/s10959-024-01364-y","url":null,"abstract":"<p>We consider a Galton–Watson tree where each node is marked independently of each other with a probability depending on its out-degree. Using a penalization method, we exhibit new martingales where the number of marks up to level <span>(n-1)</span> appears. Then, we use these martingales to define new probability measures via a Girsanov transformation and describe the distribution of the random trees under these new probabilities.\u0000</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":"2 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141949362","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
Berry–Esseen-Type Estimates for Random Variables with a Sparse Dependency Graph 具有稀疏依赖图的随机变量的贝里-埃森型估计值
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-08-12 DOI: 10.1007/s10959-024-01363-z
Maximilian Janisch, Thomas Lehéricy
{"title":"Berry–Esseen-Type Estimates for Random Variables with a Sparse Dependency Graph","authors":"Maximilian Janisch, Thomas Lehéricy","doi":"10.1007/s10959-024-01363-z","DOIUrl":"https://doi.org/10.1007/s10959-024-01363-z","url":null,"abstract":"<p>We obtain Berry–Esseen-type bounds for the sum of random variables with a dependency graph and uniformly bounded moments of order <span>(delta in (2,infty ])</span> using a Fourier transform approach. Our bounds improve the state-of-the-art obtained by Stein’s method in the regime where the degree of the dependency graph is large.</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":"53 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142201597","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
Generalized Iterated Poisson Process and Applications 广义迭代泊松过程及其应用
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-08-04 DOI: 10.1007/s10959-024-01362-0
Ritik Soni, Ashok Kumar Pathak
{"title":"Generalized Iterated Poisson Process and Applications","authors":"Ritik Soni, Ashok Kumar Pathak","doi":"10.1007/s10959-024-01362-0","DOIUrl":"https://doi.org/10.1007/s10959-024-01362-0","url":null,"abstract":"<p>In this paper, we consider the composition of a homogeneous Poisson process with an independent time-fractional Poisson process. We call this composition the generalized iterated Poisson process (GIPP). The probability law in terms of the fractional Bell polynomials, governing fractional differential equations, and the compound representation of the GIPP are obtained. We give explicit expressions for mean and covariance and study the long-range dependence property of the GIPP. It is also shown that the GIPP is over-dispersed. Some results related to first-passage time distribution and the hitting probability are also examined. We define the compound and the multivariate versions of the GIPP and explore their main characteristics. Further, we consider a surplus model based on the compound version of the iterated Poisson process (IPP) and derive several results related to ruin theory. Its applications using the Poisson–Lindley and the zero-truncated geometric distributions are also provided. Finally, simulated sample paths for the IPP and the GIPP are presented.</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":"191 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141930410","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
Optimal Controllability for Multi-Term Time-Fractional Stochastic Systems with Non-Instantaneous Impulses 具有非瞬时脉冲的多期时间-分数随机系统的最佳可控性
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-07-23 DOI: 10.1007/s10959-024-01360-2
A. Afreen, A. Raheem, A. Khatoon
{"title":"Optimal Controllability for Multi-Term Time-Fractional Stochastic Systems with Non-Instantaneous Impulses","authors":"A. Afreen, A. Raheem, A. Khatoon","doi":"10.1007/s10959-024-01360-2","DOIUrl":"https://doi.org/10.1007/s10959-024-01360-2","url":null,"abstract":"<p>In the present paper, we study the existence and optimal controllability of a multi-term time-fractional stochastic system with non-instantaneous impulses. Using semigroup theory, stochastic techniques, and Krasnoselskii’s fixed point theorem, we first establish the existence of a mild solution. Further, we obtain that there exists an optimal state-control pair for the system under certain assumptions. Some examples are given to illustrate the abstract results.</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":"62 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141776593","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
Moderate and $$L^p$$ Maximal Inequalities for Diffusion Processes and Conformal Martingales 扩散过程和共形马汀尔的温和与 $$L^p$$ 最大不等式
IF 0.8 4区 数学
Journal of Theoretical Probability Pub Date : 2024-07-18 DOI: 10.1007/s10959-024-01359-9
Xian Chen, Yong Chen, Yumin Cheng, Chen Jia
{"title":"Moderate and $$L^p$$ Maximal Inequalities for Diffusion Processes and Conformal Martingales","authors":"Xian Chen, Yong Chen, Yumin Cheng, Chen Jia","doi":"10.1007/s10959-024-01359-9","DOIUrl":"https://doi.org/10.1007/s10959-024-01359-9","url":null,"abstract":"<p>The <span>(L^p)</span> maximal inequalities for martingales are one of the classical results in the theory of stochastic processes. Here, we establish the sharp moderate maximal inequalities for one-dimensional diffusion processes, which generalize the <span>(L^p)</span> maximal inequalities for diffusions. Moreover, we apply our theory to many specific examples, including the Ornstein–Uhlenbeck (OU) process, Brownian motion with drift, reflected Brownian motion with drift, Cox–Ingersoll–Ross process, radial OU process, and Bessel process. The results are further applied to establish the moderate maximal inequalities for some high-dimensional processes, including the complex OU process and general conformal local martingales.\u0000</p>","PeriodicalId":54760,"journal":{"name":"Journal of Theoretical Probability","volume":"44 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141738034","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
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":"13 1","pages":""},"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":"94 1","pages":""},"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":"55 1","pages":""},"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":"34 1","pages":""},"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
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：604180095
Book学术官方微信
小红书