Zobrazeno 1 - 10
of 3 780
pro vyhledávání: '"60J60"'
Autor:
Schuh, Katharina, Souttar, Iain
We establish general conditions under which there exists uniform in time convergence between a stochastic process and its approximated system. These standardised conditions consist of a local in time estimate between the original and the approximated
Externí odkaz:
http://arxiv.org/abs/2412.05239
Autor:
Kammerer, Emmanuel
We establish the scaling limit of the geodesics to the root for the first passage percolation distance on random planar maps. We first describe the scaling limit of the number of faces along the geodesics. This result enables to compare the metric ba
Externí odkaz:
http://arxiv.org/abs/2412.02666
Autor:
Salminen, Paavo, Vallois, Pierre
In this paper we give excursion theoretical proofs of Lehoczky's formula (in an extended form allowing a lower bound for the underlying diffusion) for the joint distribution of the first drawdown time and the maximum before this time, and of Malyutin
Externí odkaz:
http://arxiv.org/abs/2411.18374
Autor:
Qian, Bin, Zhang, Beibei
In this paper, we obtain the reverse Bakry-\'Emery type estimates for a class of hypoelliptic diffusion operator by coupling method. The (right and reverse) Poincar\'e inequalities and the (right and reverse) logarithmic Sobolev inequalities are pres
Externí odkaz:
http://arxiv.org/abs/2411.13788
Autor:
Qiu, Yaozhong W.
We continue the program initiated in [J. Funct. Anal. 260 (1), 76-116 (2011)] and [arXiv:2404.00293] and study $L^1$-type functional inequalities for some probability measures defined in terms of homogeneous norms on a stratified Lie group, our goal
Externí odkaz:
http://arxiv.org/abs/2411.13430
Autor:
Salminen, Paavo, Stenlund, David
We study the joint moments of occupation times on the legs of a diffusion spider. Specifically, we give a recursive formula for the Laplace transform of the joint moments, which extends earlier results for a one-dimensional diffusion. For a Bessel sp
Externí odkaz:
http://arxiv.org/abs/2411.09976
Autor:
Anagnostakis, Alexis, Mazzonetto, Sara
We distinguish between three types of crossing behaviors at a sticky threshold for a one-dimensional sticky diffusion process and analyze the asymptotic properties of the three corresponding number of crossings statistics in case the process is stick
Externí odkaz:
http://arxiv.org/abs/2411.08846
Autor:
Ekström, Erik, Wang, Yuqiong
We study a stopping game of preemption type between two players who both act under uncertain competition. In this framework we introduce, and study the effect of, (i) asymmetry of payoffs, allowing e.g. for different investment costs, and (ii) consol
Externí odkaz:
http://arxiv.org/abs/2411.04802
Autor:
Park, Jihyun, Sarantsev, Andrey
We study a multivariate autoregressive stochastic volatility model for the first 3 principal components (level, slope, curvature) of 10 series of zero-coupon Treasury bond rates with maturities from 1 to 10 years. We fit this model using monthly data
Externí odkaz:
http://arxiv.org/abs/2411.03699
Autor:
Krylov, N. V.
We prove weak uniqueness for admissible solutions of It\^o's equations with uniformly nondegenerate $a$ which is almost in VMO and $b$ in a Morrey class of functions with low integrability property. If $b\in L_{d}$ any solution is admissible.
Co
Co
Externí odkaz:
http://arxiv.org/abs/2410.19137