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On the support of a hypoelliptic diffusion on the Heisenberg group 关于Heisenberg群上的次椭圆扩散的支持
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-27 DOI: 10.30757/alea.v20-26
M. Carfagnini
We provide an elementary proof of the support of the law of a hypoelliptic Brownian motion on the Heisenberg group $mathbb{H}$. We consider a control norm associated to left-invariant vector fields on $mathbb{H}$, and describe the support in terms of the space of finite energy horizontal curves.
我们提供了海森堡群$mathbb{H}$上次椭圆布朗运动定律的支持的一个初等证明。我们考虑了$mathbb{H}$上与左不变向量场相关的控制范数,并用有限能量水平曲线的空间来描述其支持。
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引用次数: 0
A probabilistic proof of Cooper and Frieze's First Visit Time Lemma Cooper和Frieze首次访问时间引理的概率证明
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-26 DOI: 10.30757/alea.v18-64
F. Manzo, Matteo Quattropani, E. Scoppola
We present an alternative proof of the so-called First Visit Time Lemma (FVTL), originally presented by Cooper and Frieze in its first formulation in Cooper and Frieze (2005), and then used and refined in a list of papers by Cooper, Frieze and coauthors. We work in the original setting, considering a growing sequence of irreducible Markov chains on n states. We assume that the chain is rapidly mixing and with a stationary measure with no entry being either too small nor too large. Under these assumptions, the FVTL shows the exponential decay of the distribution of the hitting time of a given state x—for the chain started at stationarity—up to a small multiplicative correction. While the proof by Cooper and Frieze is based on tools from complex analysis, and it requires an additional assumption on a generating function, we present a completely probabilistic proof, relying on the theory of quasi-stationary distributions and on strong-stationary times arguments. In addition, under the same set of assumptions, we provide some quantitative control on the Doob’s transform of the chain on the complement of the state x.
我们提出了所谓的首次访问时间引理(FVTL)的另一种证明,FVTL最初是由Cooper和Frieze(2005)在Cooper和Frieze的第一个公式中提出的,然后在Cooper、Frieze和合作者的一系列论文中使用和改进。我们在原始环境中工作,考虑n个状态上的不可约马尔可夫链的增长序列。我们假设链正在快速混合,并且具有平稳的度量,没有入口太小或太大。在这些假设下,FVTL显示了给定状态x的命中时间分布的指数衰减-对于从平稳开始的链-直到一个小的乘修正。虽然Cooper和Frieze的证明是基于复杂分析的工具,并且它需要对生成函数进行额外的假设,但我们提出了一个完全概率的证明,依赖于准平稳分布理论和强平稳时间参数。此外,在相同的假设集合下,我们对状态x的补上的链的Doob变换提供了一些定量控制。
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引用次数: 9
Asymptotic behaviour of the lattice Green function 格格林函数的渐近性质
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-12 DOI: 10.30757/alea.v19-38
Emmanuel Michta, G. Slade
The lattice Green function, i.e., the resolvent of the discrete Laplace operator, is fundamental in probability theory and mathematical physics. We derive its long-distance behaviour via a detailed analysis of an integral representation involving modified Bessel functions. Our emphasis is on the decay of the massive lattice Green function in the vicinity of the massless (critical) case, and the recovery of Euclidean isotropy in the massless limit. This provides a prototype for the expected but unproven long-distance behaviour of near-critical two-point functions in statistical mechanical models such as percolation, the Ising model, and the self-avoiding walk above their upper critical dimensions.
晶格格林函数,即离散拉普拉斯算子的解,是概率论和数学物理的基础。我们通过对包含修正贝塞尔函数的积分表示的详细分析,推导出它的远距离行为。我们的重点是在无质量(临界)情况附近的质量晶格格林函数的衰减,以及在无质量极限下欧几里得各向同性的恢复。这为统计力学模型(如渗透、Ising模型和自避行走)中近临界两点函数的预期但未经证实的长距离行为提供了一个原型。
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引用次数: 10
Asymptotics of k dimensional spherical integrals and applications k维球面积分的渐近性及其应用
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-06 DOI: 10.30757/alea.v19-30
A. Guionnet, Jonathan Husson
In this article, we prove that k-dimensional spherical integrals are asymptotically equivalent to the product of 1-dimensional spherical integrals. This allows us to generalize several large deviations principles in random matrix theory known before only in a one-dimensional case. As examples, we study the universality of the large deviations for k extreme eigenvalues of Wigner matrices (resp. Wishart matrices, resp. matrices with general variance profiles) with sharp sub-Gaussian entries, as well as large deviations principles for extreme eigenvalues of Gaussian Wigner and Wishart matrices with a finite dimensional perturbation.
本文证明了k维球面积分与一维球面积分之积渐近等价。这使我们能够推广以前只在一维情况下已知的随机矩阵理论中的几个大偏差原理。作为例子,我们研究了Wigner矩阵k个极值特征值的大偏差的普适性。Wishart矩阵,如。具有一般方差轮廓的矩阵)具有尖锐的亚高斯条目,以及具有有限维摄动的高斯Wigner和Wishart矩阵的极端特征值的大偏差原理。
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引用次数: 10
Some simple variance bounds from Stein’s method 斯坦方法的一些简单方差限
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-01 DOI: 10.30757/alea.v18-69
Fraser Daly, Fatemeh Ghaderinezhad, Christophe Ley, Yvik Swan
Using coupling techniques based on Stein’s method for probability approximation, we revisit classical variance bounding inequalities of Chernoff, Cacoullos, Chen and Klaassen. Our bounds are immediate in any context wherein a Stein identity is available. After providing illustrative examples for a Gaussian and a Gumbel target distribution, our main contributions are new variance bounds in settings where the underlying density function is unknown or intractable. Applications include bounds for analysis of the posterior in Bayesian statistics, bounds for asymptotically Gaussian random variables using zero-biased couplings, and bounds for random variables which are New Better (Worse) than Used in Expectation.
利用基于Stein概率近似方法的耦合技术,我们回顾了Chernoff、Cacoullos、Chen和Klaassen的经典方差边界不等式。我们的界限在任何可以使用斯坦恒等式的情况下都是直接的。在提供了高斯和甘贝尔目标分布的说明性示例之后,我们的主要贡献是在潜在密度函数未知或难以处理的情况下设置新的方差界限。应用包括贝叶斯统计中后验分析的界,使用零偏耦合的渐近高斯随机变量的界,以及比期望中使用的新更好(更差)的随机变量的界。
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引用次数: 0
Counting excursions: symmetries, knock-ins andnon-linear formula for Itô--McKean diffusions 计算漂移:对称性,碰撞和Itô- McKean扩散的非线性公式
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-01 DOI: 10.30757/ALEA.V18-16
Maciej Wiśniewolski
Excursion theory is revisited on the ground of Itô–McKean diffusions. There are raised questions about symmetries, knock-in processes, excursion local time and the non-linear version of the master formula of excursions. The questions are answered due to introducing the counting excursion technique. The technique is a synthesis of straddling at time approach, the classical, potential in spirit approach, and the theory of convolution algebra of locally integrable functions, generalized later in this work for the convolutions of σ–finite measures. Some examples are presented, including the famous problem of expressing the density of first hitting time of Ornstein-Uhlenbeck process in terms of elementary functions.
在Itô-McKean扩散的基础上重新审视了偏移理论。提出了关于对称性、碰撞过程、局部时间偏移和偏移主公式的非线性版本的问题。由于引入了计数偏移技术,这些问题得到了解答。该方法综合了时间跨界方法、经典的精神势方法和局部可积函数的卷积代数理论,并在以后的工作中推广到σ -有限测度的卷积。给出了一些例子,包括著名的用初等函数表示Ornstein-Uhlenbeck过程的首击时间密度的问题。
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引用次数: 0
Hitting probabilities for Lévy processeson the real line 在实际线上,lsamvy过程的命中概率
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-01 DOI: 10.30757/ALEA.V18-27
T. Grzywny, Łukasz Leżaj, Maciej Miśta
We prove sharp two-sided estimates on the tail probability of the first hitting time of bounded interval as well as its asymptotic behaviour for general non-symmetric processes which satisfy an integral condition ∫ ∞ 0 dξ 1 + Reψ(ξ) < ∞. To this end, we first prove and then apply the global scale invariant Harnack inequality. Results are obtained under certain conditions on the characteristic exponent. We provide a wide class of Lévy processs which satisfy these assumptions.
对于满足积分条件∫∞0 dξ 1 + Reψ(ξ) <∞的一般非对称过程,证明了有界区间第一次命中时间的尾概率的尖锐双边估计及其渐近性。为此,我们首先证明并应用了全局尺度不变的哈纳克不等式。在一定条件下得到了特征指数的结果。我们提供了一系列满足这些假设的lsamvy过程。
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引用次数: 3
BSDEs with jumps and two completely separatedirregular barriers in a general filtration 一般过滤中具有跳跃和两个完全分离的非规则障碍的BSDEs
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-01 DOI: 10.30757/ALEA.V18-28
M. Marzougue, M. Otmani
We consider a doubly reflected backward stochastic differential equations with jumps and two completely separated optional barriers in a general filtration that supports a one-dimensional Brownian motion and an independent Poisson random measure. We suppose that the barriers have trajectories with left and right finite limits. We provide the existence and uniqueness result when the coefficient is stochastic Lipschitz by using a penalization method.
我们考虑了一个支持一维布朗运动和独立泊松随机测量的一般过滤系统中具有跳跃和两个完全分离的可选障碍的双反射后向随机微分方程。我们假设势垒有左右有限极限的轨迹。利用惩罚方法给出了系数为随机Lipschitz时的存在唯一性结果。
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引用次数: 3
On A Family of Isospectral Pure-Birth Processes 一类等谱纯生过程
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-01 DOI: 10.30757/alea.v18-65
L. Miclo, Chi Zhang
The investigation of the spectra of finite Markov generators was first motivated by the quest of quantitative bounds on the convergence to equilibrium of the corresponding processes, see for instance the reference book Levin et al. (2009). There is also a classification reason: what are the possible spectra of Markov generators?, and for such a given spectrum, is there a simple representative Markov process? This structural question is related to the previous motivation, as ergodic finite isospectral Markov generators can be intertwined and under certain circumstances this relation enables good transfers of information about the speed of convergence, see e.g. Miclo (2018); Miclo and Patie (2021). Our goal here goes in this general direction, by providing a simple family of Markov generators for real spectra with geometric multiplicity 1.
对有限马尔可夫生成器谱的研究最初是由对相应过程收敛到平衡的定量界限的探索所激发的,例如参见参考书Levin et al.(2009)。还有一个分类原因:马尔可夫发生器的可能谱是什么?,对于这样一个给定的频谱,是否存在一个简单的具有代表性的马尔可夫过程?这个结构问题与前面的动机有关,因为遍历有限等谱马尔可夫生成器可以交织在一起,并且在某些情况下,这种关系能够很好地传递关于收敛速度的信息,例如Miclo (2018);Miclo and Patie(2021)。我们的目标是沿着这个大致的方向,通过提供一组简单的马尔可夫发生器,用于具有几何多重性1的实谱。
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引用次数: 0
The rate of convergence of the block counting processof exchangeable coalescents with dust 交换结结物与粉尘的块计数过程的收敛速度
IF 0.7 4区 数学 Q4 STATISTICS & PROBABILITY Pub Date : 2021-01-01 DOI: 10.30757/alea.v18-44
M. Möhle
For exchangeable coalescents with dust the rate of convergence as the sample size tends to infinity of the scaled block counting process to the frequency of singleton process is determined. This rate is expressed in terms of a certain Bernstein function. The proofs are based on Taylor expansions of the infinitesimal generators and semigroups and involve a particular concentration inequality arising in the context of Karlin’s infinite urn model.
对于含尘交换聚结,确定了当样本大小趋于无穷大时,比例块计数过程对单次过程频率的收敛速度。这个速率是用某个伯恩斯坦函数表示的。这些证明是基于无穷小生成和半群的泰勒展开式,并涉及Karlin无限瓮模型中产生的一个特殊的浓度不等式。
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引用次数: 5
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Alea-Latin American Journal of Probability and Mathematical Statistics
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