Zobrazeno 1 - 10
of 61
pro vyhledávání: '"Bravo, Gerónimo Uribe"'
Autor:
Ramírez, Miriam, Bravo, Gerónimo Uribe
Publikováno v:
Journal of Mathematical Analysis and Applications 530 (2024)
Stochastic Differential Equations (SDEs) were originally devised by It\^o to provide a pathwise construction of diffusion processes. A less explored approach to represent them is through Time Change Equations (TCEs) as put forth by Doeblin. TCEs are
Externí odkaz:
http://arxiv.org/abs/2301.00063
Publikováno v:
Fractional Calculus and Applied Analysis, Vol. 26, p. 619-650, 2023
The infinitesimal generator of a one-dimensional strictly $\alpha$-stable process can be represented as a weighted sum of (right and left) Riemann-Liouville fractional derivatives of order $\alpha$ and one obtains the fractional Laplacian in the case
Externí odkaz:
http://arxiv.org/abs/2209.01184
This paper presents a novel formula for the transition density of the Brownian motion on a sphere of any dimension and discusses an algorithm for the simulation of the increments of the spherical Brownian motion based on this formula. The formula for
Externí odkaz:
http://arxiv.org/abs/2012.12018
A degree sequence is a sequence ${\bf s}=(N_i,i\geq 0)$ of non-negative integers satisfying $1+\sum_i iN_i=\sum_i N_i<\infty$. We are interested in the uniform distribution $\mathbb{P}_{{\bf s}}$ on rooted plane trees whose degree sequence equals ${\
Externí odkaz:
http://arxiv.org/abs/2008.12242
Publikováno v:
Electron. J. Probab. 25 (2020) 1-33
Using marked Dirichlet processes we characterise the law of the convex minorant of the meander for a certain class of L\'evy processes, which includes subordinated stable and symmetric L\'evy processes. We apply this characterisaiton to construct $\v
Externí odkaz:
http://arxiv.org/abs/1910.13273
Consider a stochastic process $\mathfrak{X}$, regenerative at a state $x$ which is instantaneous and regular. Let $L$ be a regenerative local time for $\mathfrak{X}$ at $x$. Suppose furthermore that $\mathfrak{X}$ can be approximated by discrete time
Externí odkaz:
http://arxiv.org/abs/1910.09501
Publikováno v:
Trans. Amer. Math. Soc. Ser. B 7 (2020), 24-45
Let $X$ be an exchangeable increment (EI) process whose sample paths are of infinite variation. We prove that, for any fixed $t$ almost surely, \[ \limsup_{h\to 0 \pm} (X_{t+h}-X_t)/h=\infty \quad\text{and}\quad \liminf_{h\to 0\pm} (X_{t+h}-X_t)/h=-\
Externí odkaz:
http://arxiv.org/abs/1903.04745
Publikováno v:
Statistics & Probability Letters Volume 165, October 2020, 108836
We describe an exact simulation algorithm for the increments of Brownian motion on a sphere of arbitrary dimension, based on the skew-product decomposition of the process with respect to the standard geodesic distance. The radial process is closely r
Externí odkaz:
http://arxiv.org/abs/1811.12107
Publikováno v:
Mathematics of Operations Research 47(2) (2022) 1141-1168
We develop a novel approximate simulation algorithm for the joint law of the position, the running supremum and the time of the supremum of a general L\'evy process at an arbitrary finite time. We identify the law of the error in simple terms. We pro
Externí odkaz:
http://arxiv.org/abs/1810.11039
Random walks with preferential relocations and fading memory: a study through random recursive trees
Autor:
Mailler, Cécile, Bravo, Gerónimo Uribe
Publikováno v:
J. Stat. Mech. Theory Exp. 2019, no. 9, 093206, 49 pp
Consider a stochastic process that behaves as a $d$-dimensional simple and symmetric random walk, except that, with a certain fixed probability, at each step, it chooses instead to jump to a given site with probability proportional to the time it has
Externí odkaz:
http://arxiv.org/abs/1810.02735