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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.
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.
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.
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.
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 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.
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.