TY - INPR A1 - Méléard, Sylvie A1 - Roelly, Sylvie T1 - Evolutive two-level population process and large population approximations N2 - We are interested in modeling the Darwinian evolution of a population described by two levels of biological parameters: individuals characterized by an heritable phenotypic trait submitted to mutation and natural selection and cells in these individuals influencing their ability to consume resources and to reproduce. Our models are rooted in the microscopic description of a random (discrete) population of individuals characterized by one or several adaptive traits and cells characterized by their type. The population is modeled as a stochastic point process whose generator captures the probabilistic dynamics over continuous time of birth, mutation and death for individuals and birth and death for cells. The interaction between individuals (resp. between cells) is described by a competition between individual traits (resp. between cell types). We are looking for tractable large population approximations. By combining various scalings on population size, birth and death rates and mutation step, the single microscopic model is shown to lead to contrasting nonlinear macroscopic limits of different nature: deterministic approximations, in the form of ordinary, integro- or partial differential equations, or probabilistic ones, like stochastic partial differential equations or superprocesses. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 2 (2013) 8 KW - Two-level interacting process KW - birth-death-mutation-competition point process KW - non-linear integro-differential equations Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-64604 SN - 2193-6943 ER - TY - INPR A1 - Méléard, Sylvie A1 - Roelly, Sylvie T1 - A host-parasite multilevel interacting process and continuous approximations N2 - We are interested in modeling some two-level population dynamics, resulting from the interplay of ecological interactions and phenotypic variation of individuals (or hosts) and the evolution of cells (or parasites) of two types living in these individuals. The ecological parameters of the individual dynamics depend on the number of cells of each type contained by the individual and the cell dynamics depends on the trait of the invaded individual. Our models are rooted in the microscopic description of a random (discrete) population of individuals characterized by one or several adaptive traits and cells characterized by their type. The population is modeled as a stochastic point process whose generator captures the probabilistic dynamics over continuous time of birth, mutation and death for individuals and birth and death for cells. The interaction between individuals (resp. between cells) is described by a competition between individual traits (resp. between cell types). We look for tractable large population approximations. By combining various scalings on population size, birth and death rates and mutation step, the single microscopic model is shown to lead to contrasting nonlinear macroscopic limits of different nature: deterministic approximations, in the form of ordinary, integro- or partial differential equations, or probabilistic ones, like stochastic partial differential equations or superprocesses. The study of the long time behavior of these processes seems very hard and we only develop some simple cases enlightening the difficulties involved. T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2011, 01 KW - two-level interacting processes KW - birth-death-mutation-competition point process KW - host-parasite stochastic particle system Y1 - 2011 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-51694 ER - TY - JOUR A1 - Conforti, Giovanni A1 - Kosenkova, Tetiana A1 - Roelly, Sylvie T1 - Conditioned Point Processes with Application to Levy Bridges JF - Journal of theoretical probability N2 - Our first result concerns a characterization by means of a functional equation of Poisson point processes conditioned by the value of their first moment. It leads to a generalized version of Mecke’s formula. En passant, it also allows us to gain quantitative results about stochastic domination for Poisson point processes under linear constraints. Since bridges of a pure jump Lévy process in Rd with a height a can be interpreted as a Poisson point process on space–time conditioned by pinning its first moment to a, our approach allows us to characterize bridges of Lévy processes by means of a functional equation. The latter result has two direct applications: First, we obtain a constructive and simple way to sample Lévy bridge dynamics; second, it allows us to estimate the number of jumps for such bridges. We finally show that our method remains valid for linearly perturbed Lévy processes like periodic Ornstein–Uhlenbeck processes driven by Lévy noise. KW - Ornstein-Uhlenbeck Y1 - 2019 U6 - https://doi.org/10.1007/s10959-018-0863-8 SN - 0894-9840 SN - 1572-9230 VL - 32 IS - 4 SP - 2111 EP - 2134 PB - Springer CY - New York ER - TY - INPR A1 - Roelly, Sylvie T1 - Reciprocal processes : a stochastic analysis approach N2 - Reciprocal processes, whose concept can be traced back to E. Schrödinger, form a class of stochastic processes constructed as mixture of bridges, that satisfy a time Markov field property. We discuss here a new unifying approach to characterize several types of reciprocal processes via duality formulae on path spaces: The case of reciprocal processes with continuous paths associated to Brownian diffusions and the case of pure jump reciprocal processes associated to counting processes are treated. This presentation is based on joint works with M. Thieullen, R. Murr and C. Léonard. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 2 (2013) 6 KW - Reciprocal process KW - Brownian bridge KW - Poisson bridge KW - duality formula Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-64588 SN - 2193-6943 ER - TY - INPR A1 - Roelly, Sylvie A1 - Vallois, Pierre T1 - Convoluted Brownian motion BT - a semimartingale approach N2 - In this paper we analyse semimartingale properties of a class of Gaussian periodic processes, called convoluted Brownian motions, obtained by convolution between a deterministic function and a Brownian motion. A classical example in this class is the periodic Ornstein-Uhlenbeck process. We compute their characteristics and show that in general, they are neither Markovian nor satisfy a time-Markov field property. Nevertheless, by enlargement of filtration and/or addition of a one-dimensional component, one can in some case recover the Markovianity. We treat exhaustively the case of the bidimensional trigonometric convoluted Brownian motion and the higher-dimensional monomial convoluted Brownian motion. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 5 (2016) 9 KW - periodic Gaussian process KW - periodic Ornstein-Uhlenbeck process KW - Markov-field property KW - enlargement of filtration Y1 - 2016 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-96339 SN - 2193-6943 VL - 5 IS - 9 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - BOOK A1 - Champagnat, Nicolas A1 - Roelly, Sylvie T1 - Multitype Dawson-Watanabe superprocesses conditioned by remote survival T3 - Preprint / Universität Potsdam, Institut für Mathematik, Mathematische Statistik un Y1 - 2007 SN - 1613-3307 PB - Univ. CY - Potsdam ER - TY - INPR A1 - Roelly, Sylvie A1 - Fradon, Myriam T1 - Infinite system of Brownian balls : equilibrium measures are canonical Gibbs N2 - We consider a system of infinitely many hard balls in Rd undergoing Brownian motions and submitted to a smooth pair potential. It is modelized by an infinite-dimensional stochastic differential equation with a local time term. We prove that the set of all equilibrium measures, solution of a detailed balance equation, coincides with the set of canonical Gibbs measures associated to the hard core potential added to the smooth interaction potential. KW - Stochastic Differential Equation KW - hard core potential KW - Canonical Gibbs measure KW - detailed balance equation KW - reversible measure Y1 - 2006 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-6720 ER - TY - INPR A1 - Cattiaux, Patrick A1 - Fradon, Myriam A1 - Kulik, Alexei Michajlovič A1 - Roelly, Sylvie T1 - Long time behavior of stochastic hard ball systems N2 - We study the long time behavior of a system of two or three Brownian hard balls living in the Euclidean space of dimension at least two, submitted to a mutual attraction and to elastic collisions. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 2(2013)15 KW - Stochastic differential equations KW - hard core interaction KW - reversible measure KW - normal reflection KW - local time Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-68388 ER - TY - INPR A1 - Conforti, Giovanni A1 - Roelly, Sylvie T1 - Reciprocal class of random walks on an Abelian group N2 - Processes having the same bridges as a given reference Markov process constitute its reciprocal class. In this paper we study the reciprocal class of a continuous time random walk with values in a countable Abelian group, we compute explicitly its reciprocal characteristics and we present an integral characterization of it. Our main tool is a new iterated version of the celebrated Mecke's formula from the point process theory, which allows us to study, as transformation on the path space, the addition of random loops. Thanks to the lattice structure of the set of loops, we even obtain a sharp characterization. At the end, we discuss several examples to illustrate the richness of reciprocal classes. We observe how their structure depends on the algebraic properties of the underlying group. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 4 (2015) 1 KW - reciprocal class KW - stochastic bridge KW - random walk on Abelian group Y1 - 2015 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-72604 SN - 2193-6943 VL - 4 IS - 1 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - GEN A1 - Roelly, Sylvie A1 - Sortais, Michel T1 - Space-time asymptotics of an infinite-dimensional diffusion having a long- range memory N2 - We develop a cluster expansion in space-time for an infinite-dimensional system of interacting diffusions where the drift term of each diffusion depends on the whole past of the trajectory; these interacting diffusions arise when considering the Langevin dynamics of a ferromagnetic system submitted to a disordered external magnetic field. KW - Random Field Ising Model KW - Langevin Dynamics KW - Interacting Diffusion Processes KW - Space-Time Cluster Expansions Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-6700 ER - TY - GEN A1 - Roelly, Sylvie A1 - Thieullen, Michèle T1 - Duality formula for the bridges of a Brownian diffusion : application to gradient drifts N2 - In this paper, we consider families of time Markov fields (or reciprocal classes) which have the same bridges as a Brownian diffusion. We characterize each class as the set of solutions of an integration by parts formula on the space of continuous paths C[0; 1]; R-d) Our techniques provide a characterization of gradient diffusions by a duality formula and, in case of reversibility, a generalization of a result of Kolmogorov. KW - reciprocal processes KW - stochastic bridge KW - mixture of bridges KW - integration by parts formula KW - Malliavin calculus KW - entropy KW - time reversal Y1 - 2005 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-6710 ER - TY - GEN A1 - Roelly, Sylvie A1 - Dai Pra, Paolo T1 - An existence result for infinite-dimensional Brownian diffusions with non- regular and non Markovian drift N2 - We prove in this paper an existence result for infinite-dimensional stationary interactive Brownian diffusions. The interaction is supposed to be small in the norm ||.||∞ but otherwise is very general, being possibly non-regular and non-Markovian. Our method consists in using the characterization of such diffusions as space-time Gibbs fields so that we construct them by space-time cluster expansions in the small coupling parameter. KW - infinite-dimensional Brownian diffusion KW - space-time Gibbs field KW - cluster expansion Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-6684 ER - TY - JOUR A1 - Dombrowsky, Charlotte A1 - Und, Myriam Fradon A1 - Roelly, Sylvie T1 - Packungen aus Kreisscheiben BT - Wie eine wahrscheinlichkeitstheoretische Sichtweise eine geometrische Analyse vervollständigen kann JF - Elemente der Mathematik N2 - Der englische Seefahrer Sir Walter Raleigh fragte sich einst, wie er in seinem Schiffsladeraum moeglichst viele Kanonenkugeln stapeln koennte. Johannes Kepler entwickelte daraufhin 1611 eine Vermutung ueber die optimale Anordnung der Kugeln. Diese Vermutung sollte sich als eine der haertesten mathematischen Nuesse der Geschichte erweisen. Selbst in der Ebene sind dichteste Packungen kongruenter Kreise eine Herausforderung. 1892 und 1910 veroeffentlichte Axel Thue (kritisierte) Beweise, dass die hexagonale Kreispackung optimal sei. Erst 1940 lieferte Laszlo Fejes Toth schliesslich einen wasserdichten Beweis fuer diese Tatsache. Eine Variante des Problems verlangt, Packungen mit endlich vielen kongruenten Kugeln zu finden, die eine gewisse quadratische Energie minimieren: Diese spannende geometrische Aufgabe wurde 1967 von Toth gestellt. Sie ist auch heute noch nicht vollstaendig gelaest. In diesem Beitrag schlagen die Autorinnen eine originelle wahrscheinlichkeitstheoretische Methode vor, um in der Ebene Näherungen der Lösung zu konstruieren. Y1 - 2019 U6 - https://doi.org/10.4171/EM/381 SN - 0013-6018 SN - 1420-8962 VL - 74 IS - 2 SP - 45 EP - 62 PB - EMS Publ. CY - Zürich ER - TY - JOUR A1 - Conforti, Giovanni A1 - Pra, Paolo Dai A1 - Roelly, Sylvie T1 - Reciprocal Class of Jump Processes JF - Journal of theoretical probability N2 - Processes having the same bridges as a given reference Markov process constitute its reciprocal class. In this paper we study the reciprocal class of compound Poisson processes whose jumps belong to a finite set . We propose a characterization of the reciprocal class as the unique set of probability measures on which a family of time and space transformations induces the same density, expressed in terms of the reciprocal invariants. The geometry of plays a crucial role in the design of the transformations, and we use tools from discrete geometry to obtain an optimal characterization. We deduce explicit conditions for two Markov jump processes to belong to the same class. Finally, we provide a natural interpretation of the invariants as short-time asymptotics for the probability that the reference process makes a cycle around its current state. KW - Reciprocal processes KW - Stochastic bridges KW - Jump processes KW - Compound Poisson processes Y1 - 2015 U6 - https://doi.org/10.1007/s10959-015-0655-3 SN - 0894-9840 SN - 1572-9230 VL - 30 SP - 551 EP - 580 PB - Springer CY - New York ER - TY - JOUR A1 - Rœlly, Sylvie A1 - Zass, Alexander T1 - Marked Gibbs point processes with unbounded interaction BT - An existence result JF - Journal of statistical physics N2 - We construct marked Gibbs point processes in R-d under quite general assumptions. Firstly, we allow for interaction functionals that may be unbounded and whose range is not assumed to be uniformly bounded. Indeed, our typical interaction admits an a.s. finite but random range. Secondly, the random marks-attached to the locations in R-d-belong to a general normed space G. They are not bounded, but their law should admit a super-exponential moment. The approach used here relies on the so-called entropy method and large-deviation tools in order to prove tightness of a family of finite-volume Gibbs point processes. An application to infinite-dimensional interacting diffusions is also presented. KW - Marked Gibbs process KW - Infinite-dimensional interacting diffusion KW - Specific entropy KW - DLR equation Y1 - 2020 U6 - https://doi.org/10.1007/s10955-020-02559-3 SN - 0022-4715 SN - 1572-9613 VL - 179 IS - 4 SP - 972 EP - 996 PB - Springer CY - New York ER - TY - JOUR A1 - Dereudre, David A1 - Mazzonetto, Sara A1 - Roelly, Sylvie T1 - Exact simulation of Brownian diffusions with drift admitting jumps JF - SIAM journal on scientific computing N2 - In this paper, using an algorithm based on the retrospective rejection sampling scheme introduced in [A. Beskos, O. Papaspiliopoulos, and G. O. Roberts,Methodol. Comput. Appl. Probab., 10 (2008), pp. 85-104] and [P. Etore and M. Martinez, ESAIM Probab.Stat., 18 (2014), pp. 686-702], we propose an exact simulation of a Brownian di ff usion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps, providing numerical simulations. Our main contribution is to manage the technical di ffi culty due to the presence of t w o jumps thanks to a new explicit expression of the transition density of the skew Brownian motion with two semipermeable barriers and a constant drift. KW - exact simulation methods KW - skew Brownian motion KW - skew diffusions KW - Brownian motion with discontinuous drift Y1 - 2017 U6 - https://doi.org/10.1137/16M107699X SN - 1064-8275 SN - 1095-7197 VL - 39 IS - 3 SP - A711 EP - A740 PB - Society for Industrial and Applied Mathematics CY - Philadelphia ER - TY - JOUR A1 - Fradon, Myriam A1 - Roelly, Sylvie T1 - Infinitely many Brownian globules with Brownian radii N2 - We consider an infinite system of non-overlapping globules undergoing Brownian motions in R-3. The term globules means that the objects we are dealing with are spherical, but with a radius which is random and time-dependent. The dynamics is modelized by an infinite-dimensional stochastic differential equation with local time. Existence and uniqueness of a strong solution is proven for such an equation with fixed deterministic initial condition. We also find a class of reversible measures. Y1 - 2010 UR - http://www.worldscinet.com/sd/sd.shtml U6 - https://doi.org/10.1142/S021949371000311x SN - 0219-4937 ER - TY - BOOK A1 - Keller, Peter A1 - Roelly, Sylvie A1 - Valleriana, Angelo T1 - On Time Duality for Markov Chains with Asborbing Boundardies T3 - Preprint / Universität Potsdam, Institut für Mathematik, Mathematische Statistik un Y1 - 2011 SN - 1613-3307 PB - Univ. CY - Potsdam ER - TY - JOUR A1 - Roelly, Sylvie A1 - Ruszel, W. M. T1 - Propagation of gibbsianness for infinite-dimensional diffusions with space-time interaction JF - Markov processes and related fields N2 - We consider infinite-dimensional diffusions where the interaction between the coordinates has a finite extent both in space and time. In particular, it is not supposed to be smooth or Markov. The initial state of the system is Gibbs, given by a strong summable interaction. If the strongness of this initial interaction is lower than a suitable level, and if the dynamical interaction is bounded from above in a right way, we prove that the law of the diffusion at any time t is a Gibbs measure with absolutely summable interaction. The main tool is a cluster expansion in space uniformly in time of the Girsanov factor coming from the dynamics and exponential ergodicity of the free dynamics to an equilibrium product measure. KW - infinite-dimensional diffusion KW - cluster expansion KW - non-Markov drift KW - Girsanov formula KW - ultracontractivity KW - planar rotors Y1 - 2014 SN - 1024-2953 VL - 20 IS - 4 SP - 653 EP - 674 PB - Polymat CY - Moscow ER - TY - JOUR A1 - Cattiaux, Patrick A1 - Fradon, Myriam A1 - Kulik, Alexei M. A1 - Roelly, Sylvie T1 - Long time behavior of stochastic hard ball systems JF - Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability N2 - We study the long time behavior of a system of n = 2, 3 Brownian hard balls, living in R-d for d >= 2, submitted to a mutual attraction and to elastic collisions. KW - hard core interaction KW - local time KW - Lyapunov function KW - normal reflection KW - Poincare inequality KW - reversible measure KW - stochastic differential equations Y1 - 2016 U6 - https://doi.org/10.3150/14-BEJ672 SN - 1350-7265 SN - 1573-9759 VL - 22 SP - 681 EP - 710 PB - International Statistical Institute CY - Voorburg ER - TY - JOUR A1 - Conforti, Giovanni A1 - Leonard, Christian A1 - Murr, Rüdiger A1 - Roelly, Sylvie T1 - Bridges of Markov counting processes. Reciprocal classes and duality formulas JF - Electronic communications in probability N2 - Processes sharing the same bridges are said to belong to the same reciprocal class. In this article we analyze reciprocal classes of Markov counting processes by identifying their reciprocal invariants and we characterize them as the set of counting processes satisfying some duality formula. KW - Counting process KW - bridge KW - reciprocal class KW - duality formula Y1 - 2015 U6 - https://doi.org/10.1214/ECP.v20-3697 SN - 1083-589X VL - 20 PB - Univ. of Washington, Mathematics Dep. CY - Seattle ER - TY - JOUR A1 - Keller, Peter A1 - Roelly, Sylvie A1 - Valleriani, Angelo T1 - On time duality for Markov Chains JF - Stochastic models N2 - For an irreducible continuous time Markov chain, we derive the distribution of the first passage time from a given state i to another given state j and the reversed passage time from j to i, each under the condition of no return to the starting point. When these two distributions are identical, we say that i and j are in time duality. We introduce a new condition called permuted balance that generalizes the concept of reversibility and provides sufficient criteria, based on the structure of the transition graph of the Markov chain. Illustrative examples are provided. KW - Time duality KW - Detailed balance KW - First passage time KW - Reversibility KW - Permuted balance KW - Markov chain Y1 - 2015 U6 - https://doi.org/10.1080/15326349.2014.969736 SN - 1532-6349 SN - 1532-4214 VL - 31 IS - 1 SP - 98 EP - 118 PB - Taylor & Francis Group CY - Philadelphia ER - TY - JOUR A1 - Keller, Peter A1 - Roelly, Sylvie A1 - Valleriani, Angelo T1 - A Quasi Random Walk to Model a Biological Transport Process JF - Methodology and computing in applied probability N2 - Transport molecules play a crucial role for cell viability. Amongst others, linear motors transport cargos along rope-like structures from one location of the cell to another in a stochastic fashion. Thereby each step of the motor, either forwards or backwards, bridges a fixed distance and requires several biochemical transformations, which are modeled as internal states of the motor. While moving along the rope, the motor can also detach and the walk is interrupted. We give here a mathematical formalization of such dynamics as a random process which is an extension of Random Walks, to which we add an absorbing state to model the detachment of the motor from the rope. We derive particular properties of such processes that have not been available before. Our results include description of the maximal distance reached from the starting point and the position from which detachment takes place. Finally, we apply our theoretical results to a concrete established model of the transport molecule Kinesin V. KW - Molecular motor KW - Kinesin V KW - Birth-and-death process KW - Markov Chain KW - Quasi Random Walk Y1 - 2015 U6 - https://doi.org/10.1007/s11009-013-9372-5 SN - 1387-5841 SN - 1573-7713 VL - 17 IS - 1 SP - 125 EP - 137 PB - Springer CY - Dordrecht ER - TY - CHAP A1 - Valleriani, Angelo A1 - Roelly, Sylvie A1 - Kulik, Alexei Michajlovič ED - Roelly, Sylvie ED - Högele, Michael ED - Rafler, Mathias T1 - Stochastic processes with applications in the natural sciences BT - international workshop at Universidad de los Andes, Bogotá, Colombia T2 - Lectures in pure and applied mathematics N2 - The interdisciplinary workshop STOCHASTIC PROCESSES WITH APPLICATIONS IN THE NATURAL SCIENCES was held in Bogotá, at Universidad de los Andes from December 5 to December 9, 2016. It brought together researchers from Colombia, Germany, France, Italy, Ukraine, who communicated recent progress in the mathematical research related to stochastic processes with application in biophysics. The present volume collects three of the four courses held at this meeting by Angelo Valleriani, Sylvie Rœlly and Alexei Kulik. A particular aim of this collection is to inspire young scientists in setting up research goals within the wide scope of fields represented in this volume. Angelo Valleriani, PhD in high energy physics, is group leader of the team "Stochastic processes in complex and biological systems" from the Max-Planck-Institute of Colloids and Interfaces, Potsdam. Sylvie Rœlly, Docteur en Mathématiques, is the head of the chair of Probability at the University of Potsdam. Alexei Kulik, Doctor of Sciences, is a Leading researcher at the Institute of Mathematics of Ukrainian National Academy of Sciences. T3 - Lectures in pure and applied mathematics - 4 KW - macromolecular decay KW - Markov processes KW - branching processes KW - long-time behaviour KW - makromolekularer Zerfall KW - Markovprozesse KW - Verzweigungsprozesse KW - Langzeitverhalten Y1 - 2017 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-401802 SN - 978-3-86956-414-2 SN - 2199-4951 SN - 2199-496X IS - 4 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - JOUR A1 - Conforti, Giovanni A1 - Roelly, Sylvie T1 - Bridge mixtures of random walks on an Abelian group JF - Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability KW - random walk on Abelian group KW - reciprocal class KW - stochastic bridge Y1 - 2017 U6 - https://doi.org/10.3150/15-BEJ783 SN - 1350-7265 SN - 1573-9759 VL - 23 SP - 1518 EP - 1537 PB - International Statistical Institute CY - Voorburg ER - TY - GEN A1 - Champagnat, Nicolas A1 - Roelly, Sylvie T1 - Limit theorems for conditioned multitype Dawson-Watanabe processes and Feller diffusions N2 - A multitype Dawson-Watanabe process is conditioned, in subcritical and critical cases, on non-extinction in the remote future. On every finite time interval, its distribution is absolutely continuous with respect to the law of the unconditioned process. A martingale problem characterization is also given. Several results on the long time behavior of the conditioned mass process - the conditioned multitype Feller branching diffusion - are then proved. The general case is first considered, where the mutation matrix which models the interaction between the types, is irreducible. Several two-type models with decomposable mutation matrices are analyzed too . T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - paper 065 KW - multitype measure-valued branching processes KW - conditioned KW - critical and subcritical Dawson-Watanabe process KW - conditioned Feller diffusion Y1 - 2008 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-18610 ER - TY - INPR A1 - Conforti, Giovanni A1 - Léonard, Christian A1 - Murr, Rüdiger A1 - Roelly, Sylvie T1 - Bridges of Markov counting processes : reciprocal classes and duality formulas N2 - Processes having the same bridges are said to belong to the same reciprocal class. In this article we analyze reciprocal classes of Markov counting processes by identifying their reciprocal invariants and we characterize them as the set of counting processes satisfying some duality formula. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 3 (2014) 9 KW - counting process KW - bridge KW - reciprocal class KW - duality formula Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-71855 SN - 2193-6943 VL - 3 IS - 9 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - INPR A1 - Fradon, Myriam A1 - Roelly, Sylvie T1 - Infinite system of Brownian balls with interaction : the non-reversible case N2 - We consider an infinite system of hard balls in Rd undergoing Brownian motions and submitted to a smooth pair potential. It is modelized by an infinite- dimensional Stochastic Differential Equation with an infinite-dimensional local time term. Existence and uniqueness of a strong solution is proven for such an equation with fixed deterministic initial condition. We also show that Gibbs measures are reversible measures. T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2005, 01 KW - Stochastic Differential Equation KW - local time KW - hard core potential KW - Gibbs measure KW - reversible measure Y1 - 2005 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-51546 ER - TY - GEN A1 - Imkeller, Peter A1 - Roelly, Sylvie T1 - Die Wiederentdeckung eines Mathematikers: Wolfgang Döblin N2 - "Considerons une particule mobile se mouvant aleatoirement sur la droite (ou sur un segment de droite). Supposons qu'il existe une probabilite F(x,y;s,t) bien definie pour que la particule se trouvant a l'instant s dans la position x se trouve a l'instant t (> s) a gauche de y, probabilite independante du mouvement anterieur de la particule...." Mit diesen Worten beginnt eines der berühmtesten mathematischen Manuskripte des letzten Jahrhunderts. Es stammt vom Soldaten Wolfgang Döblin, Sohn des deutschen Schriftstellers Alfred Döblin, und trägt den Titel "Sur l'equation de Kolmogoroff". Seine Veröffentlichung verbindet sich mit einer unglaublichen Geschichte. Wolfgang Döblin, stationiert mit seiner Einheit in den Ardennen im Winter 1939/1940, arbeitete an diesem Manuskript. Er entschloss sich, es als versiegeltes Manuskript an die Academie des Sciences in Paris zu schicken. Aber er kehrte nie aus diesem Krieg zurück. Sein Manuskript blieb 60 Jahre unter Verschluss im Archiv, und wurde erst im Jahre 2000 geöffnet. Wie weit Döblin damit seiner Zeit voraus war, wurde erkannt, nachdem es von Bernard Bru und Marc Yor ausgewertet worden war. Im ersten Satz umschreibt W. Döblin gleichzeitig das Programm des Manuskripts: "Wir betrachten ein bewegliches Teilchen, das sich zufällig auf der Geraden (oder einem Teil davon) bewegt." Er widmet sich damit der Aufgabe, die Fundamente eines Gebiets zu legen, das wir heute als stochastische Analysis bezeichnen. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - paper 035 KW - Kolmogorov-Gleichung KW - Stochastische Analysis KW - Döblin KW - Wolfgang KW - Doblin KW - Vincent KW - Doeblin KW - Wolfgang Y1 - 2007 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-16397 ER - TY - INPR A1 - Champagnat, Nicolas A1 - Roelly, Sylvie T1 - Limit theorems for conditioned multitype Dawson-Watanabe processes N2 - A multitype Dawson-Watanabe process is conditioned, in subcritical and critical cases, on non-extinction in the remote future. On every nite time interval, its distribution law is absolutely continuous with respect to the law of the unconditioned process. A martingale problem characterization is also given. The explicit form of the Laplace functional of the conditioned process is used to obtain several results on the long time behaviour of the mass of the conditioned and unconditioned processes. The general case is considered first, where the mutation matrix which modelizes the interaction between the types, is irreducible. Several two-type models with decomposable mutation matrices are also analysed. T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2007, 01 Y1 - 2007 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-49426 ER - TY - INPR A1 - Fradon, Myriam A1 - Roelly, Sylvie T1 - Infinite system of Brownian Balls: Equilibrium measures are canonical Gibbs N2 - We consider a system of infinitely many hard balls in Rd undergoing Brownian motions and submitted to a smooth pair potential. It is modelized by an infinite-dimensional Stochastic Differential Equation with a local time term. We prove that the set of all equilibrium measures, solution of a Detailed Balance Equation, coincides with the set of canonical Gibbs measures associated to the hard core potential added to the smooth interaction potential. T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2005, 02 KW - Stochastic Differential Equation KW - hard core potential KW - Canonical Gibbs measure KW - detailed balance equation KW - reversible measure Y1 - 2005 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-51594 ER - TY - INPR A1 - Roelly, Sylvie T1 - Unas propiedades basicas de procesos de ramificación : Lectures held at ICIMAF La Habana, Cuba, 2009 and 2010 N2 - Aus dem Inhalt: 1. Unas propiedades de los procesos de Bienaymé-Galton-Watson de tiempo dis- creto (BGW) 2. Unas propiedades del proceso BGW de tiempo continuo 3. Limites de procesos de BGW cuando la población es numerosa T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2010, 07 Y1 - 2010 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-49620 ER - TY - INPR A1 - Fradon, Myriam A1 - Roelly, Sylvie T1 - Infinitely many Brownian globules with Brownian radii N2 - We consider an infinite system of non overlaping globules undergoing Brownian motions in R3. The term globules means that the objects we are dealing with are spherical, but with a radius which is random and time-dependent. The dynamics is modelized by an infinitedimensional Stochastic Differential Equation with local time. Existence and uniqueness of a strong solution is proven for such an equation with fixed deterministic initial condition. We also find a class of reversible measures. T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2009, 07 Y1 - 2009 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-49552 ER - TY - INPR A1 - Léonard, Christian A1 - Roelly, Sylvie A1 - Zambrini, Jean-Claude T1 - Temporal symmetry of some classes of stochastic processes N2 - In this article we analyse the structure of Markov processes and reciprocal processes to underline their time symmetrical properties, and to compare them. Our originality consists in adopting a unifying approach of reciprocal processes, independently of special frameworks in which the theory was developped till now (diffusions, or pure jump processes). This leads to some new results, too. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 2 (2013) 7 KW - Markov processes KW - reciprocal processes KW - time symmetry Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-64599 SN - 2193-6943 ER - TY - INPR A1 - Keller, Peter A1 - Roelly, Sylvie A1 - Valleriani, Angelo T1 - A quasi-random-walk to model a biological transport process N2 - Transport Molecules play a crucial role for cell viability. Amongst others, linear motors transport cargos along rope-like structures from one location of the cell to another in a stochastic fashion. Thereby each step of the motor, either forwards or backwards, bridges a fixed distance. While moving along the rope the motor can also detach and is lost. We give here a mathematical formalization of such dynamics as a random process which is an extension of Random Walks, to which we add an absorbing state to model the detachment of the motor from the rope. We derive particular properties of such processes that have not been available before. Our results include description of the maximal distance reached from the starting point and the position from which detachment takes place. Finally, we apply our theoretical results to a concrete established model of the transport molecule Kinesin V. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 2 (2013) 3 KW - Markov chain KW - random walk KW - molecular motor KW - step process Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-63582 ER - TY - INPR A1 - Fradon, Myriam A1 - Roelly, Sylvie T1 - Brownian Hard Balls submitted to an infinite rangeinteraction with slow decay N2 - We consider an infinite system of hard balls in Rd undergoing Brownian motions and submitted to a pair potential with infinite range and quasi polynomial decay. It is modelized by an infinite-dimensional Stochastic Differential Equation with an infinite-dimensional local time term. Existence and uniqueness of a strong solution is proven for such an equation with deterministic initial condition. We also show that the set of all equilibrium measures, solution of a Detailed Balance Equation, coincides with the set of canonical Gibbs measures associated to the hard core potential. T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2006, 01 Y1 - 2005 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-49379 ER - TY - JOUR A1 - Zimmermann, Matthias A1 - Sophia, Rost A1 - Dötmann, Eik A1 - Kampe, Heike A1 - Görlich, Petra A1 - Sütterlin, Sabine A1 - Eckardt, Barbara A1 - Horn-Conrad, Antje A1 - Schwaibold, Julia A1 - Jäger, Sophie A1 - Sophia, Rost A1 - Mangelsdorf, Birgit A1 - Roelly, Sylvie T1 - Portal Wissen = Glauben BT - Das Forschungsmagazin der Universität Potsdam N2 - Menschen wollen wissen, was wirklich ist. Kinder lassen sich gern eine Geschichte erzählen, aber spätestens mit vier Jahren fragten meine, ob diese Geschichte so passiert sei oder nur erfunden. Das setzt sich fort: Auch unsere wissenschaftliche Neugier wird vom Interesse befeuert herauszufinden, was wirklich ist. Selbst dort, wo wir poetische Texte oder Träume erforschen, tun wir es in der Absicht, die realen sprachlichen Strukturen bzw. die neurologischen Faktoren von bloß vermuteten zu unterscheiden. Im Idealfall können wir Ergebnisse präsentieren, die von anderen logisch nachvollzogen und empirisch wiederholbar sind. Meistens geht das aber nicht. Wir können nicht jedes Buch lesen und nicht in jedes Mikroskop schauen, nicht einmal innerhalb der eigenen Disziplin. Wie viel mehr sind wir in der Lebenswelt darauf angewiesen, den Ausführungen anderer zu vertrauen, wenn wir wissen wollen, wo es zum Bahnhof geht oder ob es in Ulan Bator schön ist. Deshalb haben wir uns daran gewöhnt, anderen Glauben zu schenken, vom Freund bis zum Tagesschausprecher. Das ist kein kindliches Verhalten, sondern eine Notwendigkeit. Freilich ist das riskant, denn alle anderen könnten uns – wie in der „Truman- Show“ – anlügen. In der Wirklichkeit wissen wir uns erst dann, wenn wir unser Selbstbewusstsein verlassen und akzeptieren, dass wir erstens nicht nur Objekte, sondern Subjekte im Bewusstsein von anderen sind, und zweitens, dass alle unsere dialogischen Beziehungen noch einmal von einem Dritten betrachtet werden, der nicht Teil dieser Welt ist. Für Religiöse ist das der Glaube. Glaube als Unterstellung, dass alle menschlichen Beziehungen erst dann wirklich, ernst und über Zweifel erhaben sind, wenn sie sich vor den Augen Gottes wissen. Erst vor ihm ist etwas als es selbst und nicht nur „für mich“ oder „unter uns“. Daher unterscheidet die biblische Sprache drei Formen des Glaubens: die Beziehung zur Ding-Welt („glauben, dass“), die Beziehung zur Subjekt-Welt („jemandem glauben“) und die Annahme einer subjekthaften überirdischen Wirklichkeit („glauben an“). Wissenschaftstheoretisch gesehen ist Glaube also eine Totalhypothese. Glaube ist nicht das Gegenteil von Wissen, sondern der Versuch, Wirklichkeit vor dem Zweifel zu retten, indem man die fragile empirische Welt als Ausdruck einer stabilen transzendenten Welt begreift. Oft wollen Studierende in Gesprächen nicht nur wissen, was ich weiß, sondern, was ich glaube. Als Religionswissenschaftler und gleichzeitig gläubiger Katholik sitze ich zwischen den Stühlen: Einerseits ist es als Professor meine Aufgabe, alles zu bezweifeln, d.h. jeden religiösen Text auf seine historischen Kontexte und soziologischen Funktionen zurückzuführen. Andererseits hält der Christ in mir bestimmte religiöse Dokumente – in meinem Fall die Bibel – zwar für einen interpretierbaren, aber doch irreversiblen, offenbarten Text, der vom Ursprung der Wirklichkeit handelt. Werktags ist das Neue Testament eine antike Schriftensammlung neben vielen anderen, am Sonntag ist es die Offenbarung. Beides kann klar unterschieden werden, aber es ist schwer zu entscheiden, ob das Zweifeln oder das Glauben wirklicher ist. Das vorliegende Heft geht diesem doppelten Verhältnis zum Glauben nach: Wie steht Wissenschaft zum Glauben – ob religiös oder nicht? Wo bringt Wissenschaft Dinge ans Licht, die wir kaum glauben mögen oder uns (wieder) glauben lassen? Was passiert, wenn Forschung irrige Annahmen oder Mythen aufklärt? Ist Wissenschaft in der Lage, Dingen auf den Grund zu gehen, die zwar überzeugend, aber unerklärbar sind? Wie kann sie selbst glaubwürdig bleiben und sich dennoch weiterentwickeln? In den Beiträgen dieser „Portal Wissen“ scheinen diese Fragen immer wieder auf. Sie bilden ein vielfältiges, spannendes und auch überraschendes Bild der Forschungsprojekte und der Wissenschaftler an der Universität Potsdam. Glauben Sie mir, es erwartet Sie eine anregende Lektüre! Prof. Dr. Johann Hafner Professor für Religionswissenschaft mit dem Schwerpunkt Christentum Dekan der Philosophischen Fakultät T3 - Portal Wissen: Das Forschungsmagazin der Universität Potsdam [Deutsche Ausgabe] - 01/2014 Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-440830 SN - 2194-4237 IS - 01/2014 ER - TY - INPR A1 - Conforti, Giovanni A1 - Dai Pra, Paolo A1 - Roelly, Sylvie T1 - Reciprocal class of jump processes N2 - Processes having the same bridges as a given reference Markov process constitute its reciprocal class. In this paper we study the reciprocal class of compound Poisson processes whose jumps belong to a finite set A in R^d. We propose a characterization of the reciprocal class as the unique set of probability measures on which a family of time and space transformations induces the same density, expressed in terms of the reciprocal invariants. The geometry of A plays a crucial role in the design of the transformations, and we use tools from discrete geometry to obtain an optimal characterization. We deduce explicit conditions for two Markov jump processes to belong to the same class. Finally, we provide a natural interpretation of the invariants as short-time asymptotics for the probability that the reference process makes a cycle around its current state. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 3 (2014) 6 KW - reciprocal processes KW - stochastic bridges KW - jump processes KW - compound Poisson processes Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-70776 SN - 2193-6943 VL - 3 IS - 6 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - INPR A1 - Roelly, Sylvie A1 - Ruszel, Wioletta M. T1 - Propagation of Gibbsianness for infinite-dimensional diffusions with space-time interaction N2 - We consider infinite-dimensional diffusions where the interaction between the coordinates has a finite extent both in space and time. In particular, it is not supposed to be smooth or Markov. The initial state of the system is Gibbs, given by a strong summable interaction. If the strongness of this initial interaction is lower than a suitable level, and if the dynamical interaction is bounded from above in a right way, we prove that the law of the diffusion at any time t is a Gibbs measure with absolutely summable interaction. The main tool is a cluster expansion in space uniformly in time of the Girsanov factor coming from the dynamics and exponential ergodicity of the free dynamics to an equilibrium product measure. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 2(2013)18 KW - infinite-dimensional diffusion KW - cluster expansion KW - non-Markov drift KW - Girsanov formula KW - ultracontractivity Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-69014 ER - TY - INPR A1 - Keller, Peter A1 - Roelly, Sylvie A1 - Valleriani, Angelo T1 - On time duality for quasi-birth-and-death processes N2 - We say that (weak/strong) time duality holds for continuous time quasi-birth-and-death-processes if, starting from a fixed level, the first hitting time of the next upper level and the first hitting time of the next lower level have the same distribution. We present here a criterion for time duality in the case where transitions from one level to another have to pass through a given single state, the so-called bottleneck property. We also prove that a weaker form of reversibility called balanced under permutation is sufficient for the time duality to hold. We then discuss the general case. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 1 (2012) 4 KW - continuous time Markov chain KW - hitting times KW - time duality KW - absorbing boundary Y1 - 2012 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-56973 ER - TY - INPR A1 - Redig, Frank A1 - Roelly, Sylvie A1 - Ruszel, Wioletta T1 - Short-time Gibbsianness for infinite-dimensional diffusions with space-time interaction N2 - We consider a class of infinite-dimensional diffusions where the interaction between the components is both spatial and temporal. We start the system from a Gibbs measure with finiterange uniformly bounded interaction. Under suitable conditions on the drift, we prove that there exists t0 > 0 such that the distribution at time t = t0 is a Gibbs measure with absolutely summable interaction. The main tool is a cluster expansion of both the initial interaction and certain time-reversed Girsanov factors coming from the dynamics. T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2009, 04 Y1 - 2009 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-49514 ER - TY - BOOK A1 - Dereudre, David A1 - Roelly, Sylvie T1 - On Gibbsianness of infinite-dimensional diffussions T3 - Preprint / Universität Potsdam, Institut für Mathematik, Mathematische Statistik un Y1 - 2004 SN - 1613-3307 PB - Univ. CY - Potsdam ER - TY - INPR A1 - Dereudre, David A1 - Mazzonetto, Sara A1 - Roelly, Sylvie T1 - Exact simulation of Brownian diffusions with drift admitting jumps N2 - Using an algorithm based on a retrospective rejection sampling scheme, we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps, providing numerical simulations. Our main contribution is to manage the technical difficulty due to the presence of two jumps thanks to a new explicit expression of the transition density of the skew Brownian motion with two semipermeable barriers and a constant drift. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 5 (2016) 7 KW - exact simulation method KW - skew Brownian motion KW - skew diffusion KW - Brownian motion with discontinuous drift Y1 - 2016 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-91049 SN - 2193-6943 VL - 5 IS - 7 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - GEN A1 - Roelly, Sylvie A1 - Dereudre, David T1 - Propagation of Gibbsiannes for infinite-dimensional gradient Brownian diffusions N2 - We study the (strong-)Gibbsian character on R Z d of the law at time t of an infinitedimensional gradient Brownian diffusion , when the initial distribution is Gibbsian. KW - infinite-dimensional Brownian diffusion KW - Gibbs measure KW - cluster expansion Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-6918 ER - TY - INPR A1 - Dereudre, David A1 - Roelly, Sylvie T1 - Propagation of Gibbsianness for infinite-dimensional gradient Brownian diffusions N2 - We study the (strong-)Gibbsian character on RZd of the law at time t of an infinitedimensional gradient Brownian diffusion , when the initial distribution is Gibbsian. T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2004, 06 KW - infinite-dimensional Brownian diffusion KW - Gibbs measure KW - cluster expansion Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-51535 ER - TY - INPR A1 - Dereudre, David A1 - Mazzonetto, Sara A1 - Roelly, Sylvie T1 - An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers N2 - In this paper we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this density in an exact way. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 4 (2015) 9 KW - skew Brownian motion KW - semipermeable barriers KW - distorted Brownian motion KW - local time KW - rejection sampling KW - exact simulation Y1 - 2015 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-80613 SN - 2193-6943 VL - 4 IS - 9 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - INPR A1 - Dereudre, David A1 - Roelly, Sylvie T1 - Path-dependent infinite-dimensional SDE with non-regular drift : an existence result N2 - We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be neither small or continuous, nor Markov. On the initial law we only assume that it admits a finite specific entropy. Our result strongly improves the previous ones obtained for free dynamics with a small perturbative drift. The originality of our method leads in the use of the specific entropy as a tightness tool and on a description of such stochastic differential equation as solution of a variational problem on the path space. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 3(2014)11 KW - Infinite-dimensional SDE KW - non-Markov drift KW - non-regular drift KW - variational principle KW - specific entropy Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-72084 SN - 2193-6943 VL - 3 IS - 11 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - GEN A1 - Roelly, Sylvie A1 - Dereudre, David T1 - On Gibbsianness of infinite-dimensional diffusions N2 - The authors analyse different Gibbsian properties of interactive Brownian diffusions X indexed by the d-dimensional lattice. In the first part of the paper, these processes are characterized as Gibbs states on path spaces. In the second part of the paper, they study the Gibbsian character on R^{Z^d} of the law at time t of the infinite-dimensional diffusion X(t), when the initial law is Gibbsian. AMS Classifications: 60G15 , 60G60 , 60H10 , 60J60 KW - infinite-dimensional Brownian diffusion KW - Gibbs field KW - cluster expansion Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-6692 ER - TY - BOOK A1 - Dereudre, David A1 - Roelly, Sylvie T1 - On Gibbsianness of infinite-dimensional diffusions N2 - We analyse different Gibbsian properties of interactive Brownian diffusions X indexed by the lattice $Z^{d} : X = (X_{i}(t), i ∈ Z^{d}, t ∈ [0, T], 0 < T < +∞)$. In a first part, these processes are characterized as Gibbs states on path spaces of the form $C([0, T],R)Z^{d}$. In a second part, we study the Gibbsian character on $R^{Z}^{d}$ of $v^{t}$, the law at time t of the infinite-dimensional diffusion X(t), when the initial law $v = v^{0}$ is Gibbsian. T3 - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2004, 01 KW - infinite-dimensional Brownian diffusion KW - Gibbs field KW - cluster expansion Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-52630 ER - TY - JOUR A1 - Dereudre, David A1 - Roelly, Sylvie T1 - Path-dependent infinite-dimensional SDE with non-regular drift BT - an existence result JF - Annales de l'Institut Henri Poincaré : B, Probability and statistics N2 - We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be neither bounded or continuous, nor Markov. On the initial law we only assume that it admits a finite specific entropy and a finite second moment. The originality of our method leads in the use of the specific entropy as a tightness tool and in the description of such infinite-dimensional stochastic process as solution of a variational problem on the path space. Our result clearly improves previous ones obtained for free dynamics with bounded drift. N2 - Nous établissons, dans cet article, l’existence de solutions faibles pour un système infini-dimensionnel de diffusions browniennes. Le terme de dérive est véritablement général, au sens où il est supposé n’être ni borné, ni continu, ni Markovien. Nous supposons cependant que la loi initiale admet une entropie spécifique finie. L’originalité de notre méthode consiste en l’utilisation de la bornitude de l’entropie spécifique comme critère de tension et en l’identification des solutions du système comme solutions d’un problème variationnel sur l’espace des trajectoires. Notre résultat améliore clairement ceux préexistants concernant des dynamiques libres perturbées par des dérives bornées. KW - Infinite-dimensional SDE KW - Non-Markov drift KW - Non-regular drift KW - Variational principle KW - Specific entropy Y1 - 2017 U6 - https://doi.org/10.1214/15-AIHP728 SN - 0246-0203 VL - 53 IS - 2 SP - 641 EP - 657 PB - Inst. of Mathematical Statistics CY - Bethesda ER - TY - GEN A1 - Ehlen, Tobias A1 - Flöge, Annie A1 - Göbel, Franziska A1 - Keller, Peter A1 - Rœlly, Sylvie ED - Keller, Peter ED - Rœlly, Sylvie T1 - Übungsbuch zur Stochastik BT - Aufgaben und Lösungen ; Grundlegende Konzepte und Anwendungen N2 - Dieses Buch stellt Übungen zu den Grundbegriffen und Grundsätzen der Stochastik und ihre Lösungen zur Verfügung. So wie man Tonleitern in der Musik trainiert, so berechnet man Übungsaufgaben in der Mathematik. In diesem Sinne soll dieses Übungsbuch vor allem als Vorlage dienen für das eigenständige, eigenverantwortliche Lernen und Üben. Die Schönheit und Einzigartigkeit der Wahrscheinlichkeitstheorie besteht darin, dass sie eine Vielzahl von realen Phänomenen modellieren kann. Daher findet man hier Aufgaben mit Verbindungen zur Geometrie, zu Glücksspielen, zur Versicherungsmathematik, zur Demographie und vielen anderen Themen. N2 - This book provides exercises on the basic concepts and principles of stochastics and their solutions. Just as one trains scales in music, one calculates exercises in mathematics. In this sense, this exercise book is primarily intended to serve as a template for independent learning and practice. The beauty and uniqueness of probability theory is that it can model a variety of real phenomena. Therefore, one can find exercises with connections to geometry, gambling, actuarial mathematics, demography and many other topics. KW - Aufgabensammlung KW - Wahrscheinlichkeitstheorie KW - Stochastik KW - Wahrscheinlichkeitsverteilung KW - Zufallsvariable KW - Grenzwertsatz KW - Konfidenzintervall KW - exercise collection KW - probability theory KW - stochastics KW - probability distribution KW - random variable KW - limit theorem KW - confidence interval Y1 - 2023 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-595939 SN - 978-3-86956-563-7 PB - Universitätsverlag Potsdam CY - Potsdam ER -