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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.
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.
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.
Packungen aus Kreisscheiben
(2019)
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.
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.
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.
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.