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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.
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.
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.
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
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.
The Widom-Rowlinson model (or the Area-interaction model) is a Gibbs point process in R-d with the formal Hamiltonian defined as the volume of Ux epsilon omega B1(x), where. is a locally finite configuration of points and B-1(x) denotes the unit closed ball centred at x. The model is also tuned by two other parameters: the activity z > 0 related to the intensity of the process and the inverse temperature beta >= 0 related to the strength of the interaction. In the present paper we investigate the phase transition of the model in the point of view of percolation theory and the liquid-gas transition. First, considering the graph connecting points with distance smaller than 2r > 0, we show that for any beta >= 0, there exists 0 <(similar to a)(zc) (beta, r) < +infinity such that an exponential decay of connectivity at distance n occurs in the subcritical phase (i.e. z <(similar to a)(zc) (beta, r)) and a linear lower bound of the connection at infinity holds in the supercritical case (i.e. z >(similar to a)(zc) (beta, r)). These results are in the spirit of recent works using the theory of randomised tree algorithms (Probab. Theory Related Fields 173 (2019) 479-490, Ann. of Math. 189 (2019) 75-99, Duminil-Copin, Raoufi and Tassion (2018)). Secondly we study a standard liquid-gas phase transition related to the uniqueness/non-uniqueness of Gibbs states depending on the parameters z, beta. Old results (Phys. Rev. Lett. 27 (1971) 1040-1041, J. Chem. Phys. 52 (1970) 1670-1684) claim that a non-uniqueness regime occurs for z = beta large enough and it is conjectured that the uniqueness should hold outside such an half line ( z = beta >= beta(c) > 0). We solve partially this conjecture in any dimension by showing that for beta large enough the non-uniqueness holds if and only if z = beta. We show also that this critical value z = beta corresponds to the percolation threshold (similar to a)(zc) (beta, r) = beta for beta large enough, providing a straight connection between these two notions of phase transition.