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Martingale transform and Levy Processes on Lie Groups
Martingale transform Levy Processes Lie Groups Probability
2012/6/29
This paper constructs a class of martingale transforms based on L\'evy processes on Lie groups. From these, a natural class of bounded linear operators on the $L^p$-spaces of the group (with respect t...
Gradient estimates for porous medium and fast diffusion equations via FBSDE approach
Gradient estimates porous medium fast diffusion equations FBSDE approach Probability
2012/6/27
In this paper, we establish several gradient estimates for the positive solution of Porous Medium Equations (PMEs) and Fast Diffusion Equations (FDEs). Our proof is probabilistic and uses martingale t...
Regular perturbation of V -geometrically ergodic Markov chains
Regular perturbation V -geometrically ergodic Markov chains Probability
2012/6/21
In this paper, new conditions for the stability of V-geometrically ergodic Markov chains are introduced. The results are based on an extension of the standard perturbation theory formulated by Keller ...
Approximation of a random process with variable smoothness
locally stationary processes multifractional Brownian motion piecewise constant approximation
2012/6/25
We consider the rate of piecewise constant approximation to a locally stationary process $X(t),t\in [0,1]$, having a variable smoothness index $\alpha(t)$. Assuming that $\alpha(\cdot)$ attains its un...
On the Finite Dimensional Joint Characteristic Function of Levy's Stochastic Area Processes
the Finite Dimensional Joint Characteristic Function Levy's Stochastic Area Processes Probability
2012/6/25
The goal of this paper is to derive a formula for the finite dimensional joint characteristic function (the Fourier transform of the finite dimensional distribution) of the coupled process ${(W_{t},L_...
Localization Transition for Polymers in Poissonian Medium
Directed polymers random environment Probability
2012/6/25
We study a model of directed polymers in random environment in dimension $1+d$, given by a Brownian motion in a Poissonian potential. We study the effect of the density and the strength of inhomogenei...
A Mermin--Wagner theorem for quantum Gibbs states on 2D graphs, I
quantum bosonic system with continuous spins symmetry group the Feynman–Kac representation bi-dimensional graphs Gibbs states
2012/6/25
This is the the first of a series of papers considering properties of quantum systems over 2D graphs or manifolds, with continuous spins. In the model considered here the phase space of a single spin ...
Local Holder continuity property of the Densities of Solutions of SDEs with Singular Coefficients
Malliavin Calculus non-smooth drift density function Probability
2012/6/21
We prove that the weak solution of a uniformly elliptic stochastic differential equation with locally smooth diffusion coefficient and H\"{o}lder continuous drift has a H\"{o}lder continuous density f...
Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
Stochastic differential game Impulse control Quasi-variational inequality Viscosity solution
2012/6/25
We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equati...
Geometric Influences II: Correlation Inequalities and Noise Sensitivity
Influences geometric influences noise sensitivity correlation between increasing sets Talagrand’s bound Gaussian measure isoperimetric inequality
2012/6/25
In a recent paper, we presented a new definition of influences in product spaces of continuous distributions, and showed that analogues of the most fundamental results on discrete influences, such as ...
Anomalous Shock Displacement Probabilities for a Perturbed Scalar Conservation Law
Universite Paris VII Stanford University
2012/6/27
We consider an one-dimensional conservation law with random space-time forcing and calculate using large deviations the exponentially small probabilities of anomalous shock profile displacements. Unde...
Exponential-Uniform Identities Related to Records
records planar Poisson process distributional identities
2012/6/21
We consider a rectangular grid induced by the south-west records from the planar Poisson point process in $R^2_+$. A random symmetry property of the matrix whose entries are the areas of tiles of the ...
For a graph $G$, denote by $t(G)$ (resp. $b(G)$) the maximum size of a triangle-free (resp. bipartite) subgraph of $G$. Of course $t(G) \geq b(G)$ for any $G$, and a classic result of Mantel from 1907...
Strictly stationary solutions of ARMA equations in Banach spaces
Strictly stationary solutions ARMA equations Banach spaces Probability
2012/6/21
We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of ARMA equations in Banach spaces with independent and identically distributed noise under certain ass...
Derivative Formula, Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motion
Derivative formula integration by parts formula Harnack inequality stochastic differential equation fractional Brownian motion
2012/6/21
In the paper, the Bismut derivative formula is established for multidimensional SDEs driven by additive fractional noise ($1/2