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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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 -