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作者：Bernardin, C.; Funaki, T.; Sethuraman, S.
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite Cote d'Azur; Waseda University; University of Arizona
摘要：We consider the fluctuation fields of multi-species weakly-asymmetric zero-range interacting particle systems in one dimension, where the mass density of each species is conserved. Although such fields have been studied in systems with a single species, the multi-species setting is much less understood. Among other results, we show that when the system starts from stationary states with a particular property, the scaling limits of the multi-species fluctuation fields, seen in a characteristic ...
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作者：Atar, Rami; Budhiraja, Amarjit; Dupuis, Paul; Wu, Ruoyu
作者单位：Technion Israel Institute of Technology; University of North Carolina; University of North Carolina Chapel Hill; Brown University; Iowa State University
摘要：This paper develops tools to obtain robust probabilistic estimates for queueing models at the large deviations (LD) scale. These tools are based on the recently introduced robust Renyi bounds, which provide LD estimates (and more generally risk-sensitive (RS) cost estimates) that hold uniformly over an uncertainty class of models, provided that the class is defined in terms of Renyi divergence with respect to a reference model and that estimates are available for the reference model. One very ...
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作者：Caillerie, Nils; Vovelle, Julien
作者单位：Georgetown University; Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON)
摘要：We derive the hydrodynamic limit of a kinetic equation with a stochastic, short range perturbation of the velocity operator. Under some mixing hypotheses on the stochastic perturbation, we establish a diffusion-approximation result: the limit we obtain is a parabolic stochastic partial differential equation on the macroscopic parameter, the density here.
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作者：Friz, P. K.; Gassiat, P.; Pigato, P.
作者单位：Universite PSL; Universite Paris-Dauphine
摘要：We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices. Our main tool is the theory of regularity structures, which we use in the form of Bayer et al. (Math. Finance 30 (2020) 782-832) In essence, we implement a Laplace method on the space of models (in the sense of Hairer), which generalizes classical works of Azencott and Ben Arous on path space and then Aida, In...
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作者：Aurzada, Frank; Betz, Volker; Lifshits, Mikhail
作者单位：Technical University of Darmstadt; Saint Petersburg State University
摘要：We investigate the behaviour of a finite chain of Brownian particles, interacting through a pairwise linear force, with one end of the chain fixed and the other end pulled away at slow speed, in the limit of slow speed and small Brownian noise. We study the instant when the chain breaks, that is, the distance between two neighbouring particles becomes larger than a certain threshold. There are three different regimes depending on the relation between the speed of pulling and the Brownian noise...
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作者：Bobkov, Sergey G.; Ledoux, Michel
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Universite de Toulouse; Universite Toulouse III - Paul Sabatier
摘要：We present a short and elementary proof of the Ajtai-Komlos-Tusnady (AKT) optimal matching theorem in dimension 2 via Fourier analysis and a smoothing argument. The upper bound applies to more general families of samples, including dependent variables, of interest in the study of rates of convergence for empirical measures. Following the recent pde approach by L. Ambrosio, F. Stra and D. Trevisan, we also adapt a simple proof of the lower bound.
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作者：Marinucci, Domenico; Rossi, Maurizia; Vidotto, Anna
作者单位：University of Rome Tor Vergata; University of Milano-Bicocca; G d'Annunzio University of Chieti-Pescara
摘要：In this paper, we consider isotropic and stationary real Gaussian random fields defined on S-2 x R and we investigate the asymptotic behavior, as T -> +infinity, of the empirical measure (excursion area) in S-2 x [0, T] at any threshold, covering both cases when the field exhibits short and long memory, that is, integrable and nonintegrable temporal covariance. It turns out that the limiting distribution is not universal, depending both on the memory parameters and the threshold. In particular...
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作者：Champagnat, Nicolas; Meleard, Sylvie; Viet Chi Tran
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite de Lorraine; Centre National de la Recherche Scientifique (CNRS); Institut Polytechnique de Paris; Ecole Polytechnique; Universite Gustave-Eiffel; Universite Paris-Est-Creteil-Val-de-Marne (UPEC)
摘要：Horizontal gene transfer consists in exchanging genetic materials between microorganisms during their lives. This is a major mechanism of bacterial evolution and is believed to be of main importance in antibiotics resistance. We consider a stochastic model for the evolution of a discrete population structured by a trait taking finitely many values, with density-dependent competition. Traits are vertically inherited unless a mutation occurs, and can also be horizontally transferred by unilatera...
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作者：Lyberopoulos, Demetrios P.; Macheras, Nikolaos D.
作者单位：University of Piraeus
摘要：If a given aggregate process S is a mixed compound Poisson process under a probability measure P, we provide a characterization of all probability measures Q on the domain of P, such that P and Q are progressively equivalent and S remains a mixed compound Poisson process with improved properties. This result generalizes earlier work of Delbaen and Haezendonck (Insurance Math. Econom. 8 (1989) 269-277). Implications related to the computation of premium calculation principles in an insurance ma...
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作者：Ferrari, Patrik L.; Veto, Balint
作者单位：University of Bonn; Budapest University of Technology & Economics; MTA-BME Stochastics Research Group
摘要：We consider uniform random domino tilings of the restricted Aztec diamond which is obtained by cutting off an upper triangular part of the Aztec diamond by a horizontal line. The restriction line asymptotically touches the arctic circle that is the limit shape of the north polar region in the unrestricted model. We prove that the rescaled boundary of the north polar region in the restricted domain converges to the Airy(2) process conditioned to stay below a parabola with explicit continuous st...
