Mostrando recursos 1 - 20 de 93

  1. Fringe trees, Crump–Mode–Jagers branching processes and $m$-ary search trees

    Holmgren, Cecilia; Janson, Svante
    This survey studies asymptotics of random fringe trees and extended fringe trees in random trees that can be constructed as family trees of a Crump–Mode–Jagers branching process, stopped at a suitable time. This includes random recursive trees, preferential attachment trees, fragmentation trees, binary search trees and (more generally) $m$-ary search trees, as well as some other classes of random trees. ¶ We begin with general results, mainly due to Aldous (1991) and Jagers and Nerman (1984). The general results are applied to fringe trees and extended fringe trees for several particular types of random trees, where the theory is developed in detail....

  2. Stein’s method for comparison of univariate distributions

    Ley, Christophe; Reinert, Gesine; Swan, Yvik
    We propose a new general version of Stein’s method for univariate distributions. In particular we propose a canonical definition of the Stein operator of a probability distribution which is based on a linear difference or differential-type operator. The resulting Stein identity highlights the unifying theme behind the literature on Stein’s method (both for continuous and discrete distributions). Viewing the Stein operator as an operator acting on pairs of functions, we provide an extensive toolkit for distributional comparisons. Several abstract approximation theorems are provided. Our approach is illustrated for comparison of several pairs of distributions: normal vs normal, sums of independent...

  3. From extreme values of i.i.d. random fields to extreme eigenvalues of finite-volume Anderson Hamiltonian

    Astrauskas, Arvydas
    The aim of this paper is to study asymptotic geometric properties almost surely or/and in probability of extreme order statistics of an i.i.d. random field (potential) indexed by sites of multidimensional lattice cube, the volume of which unboundedly increases. We discuss the following topics: (I) high level exceedances, in particular, clustering of exceedances; (II) decay rate of spacings in comparison with increasing rate of extreme order statistics; (III) minimum of spacings of successive order statistics; (IV) asymptotic behavior of values neighboring to extremes and so on. The conditions of the results are formulated in terms of regular variation (RV) of...

  4. On moment sequences and mixed Poisson distributions

    Kuba, Markus; Panholzer, Alois
    In this article we survey properties of mixed Poisson distributions and probabilistic aspects of the Stirling transform: given a non-negative random variable $X$ with moment sequence $(\mu_{s})_{s\in\mathbb{N}}$ we determine a discrete random variable $Y$, whose moment sequence is given by the Stirling transform of the sequence $(\mu_{s})_{s\in\mathbb{N}}$, and identify the distribution as a mixed Poisson distribution. We discuss properties of this family of distributions and present a new simple limit theorem based on expansions of factorial moments instead of power moments. Moreover, we present several examples of mixed Poisson distributions in the analysis of random discrete structures, unifying and extending...

  5. Hyperbolic measures on infinite dimensional spaces

    Bobkov, Sergey G.; Melbourne, James
    Localization and dilation procedures are discussed for infinite dimensional $\alpha$-concave measures on abstract locally convex spaces (following Borell’s hierarchy of hyperbolic measures).

  6. Fractional Gaussian fields: A survey

    Lodhia, Asad; Sheffield, Scott; Sun, Xin; Watson, Samuel S.
    We discuss a family of random fields indexed by a parameter $s\in\mathbb{R} $ which we call the fractional Gaussian fields, given by \[\mathrm{FGF}_{s}(\mathbb{R} ^{d})=(-\Delta)^{-s/2}W, \] where $W$ is a white noise on $\mathbb{R}^{d}$ and $(-\Delta)^{-s/2}$ is the fractional Laplacian. These fields can also be parameterized by their Hurst parameter $H=s-d/2$. In one dimension, examples of $\mathrm{FGF}_{s}$ processes include Brownian motion ($s=1$) and fractional Brownian motion ($1/2

  7. Conformal restriction and Brownian motion

    Wu, Hao
    This survey paper is based on the lecture notes for the mini course in the summer school at Yau Mathematics Science Center, Tsinghua University, 2014. ¶ We describe and characterize all random subsets $K$ of simply connected domain which satisfy the “conformal restriction” property. There are two different types of random sets: the chordal case and the radial case. In the chordal case, the random set $K$ in the upper half-plane $\mathbb{H}$ connects two fixed boundary points, say 0 and $\infty$, and given that $K$ stays in a simply connected open subset $H$ of $\mathbb{H}$, the conditional law of $\Phi(K)$ is identical...

  8. Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes

    Applebaum, David
    We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces driven by Lévy processes. The emphasis is on the different contexts in which these processes arise, such as stochastic partial differential equations, continuous-state branching processes, generalised Mehler semigroups and operator self-decomposable distributions. We also examine generalisations to the case where the driving noise is cylindrical.

  9. Current open questions in complete mixability

    Wang, Ruodu
    Complete and joint mixability has raised considerable interest in recent few years, in both the theory of distributions with given margins, and applications in discrete optimization and quantitative risk management. We list various open questions in the theory of complete and joint mixability, which are mathematically concrete, and yet accessible to a broad range of researchers without specific background knowledge. In addition to the discussions on open questions, some results contained in this paper are new.

  10. Around Tsirelson’s equation, or: The evolution process may not explain everything

    Yano, Kouji; Yor, Marc
    We present a synthesis of a number of developments which have been made around the celebrated Tsirelson’s equation (1975), conveniently modified in the framework of a Markov chain taking values in a compact group $G$, and indexed by negative time. To illustrate, we discuss in detail the case of the one-dimensional torus $G=\mathbb{T}$.

  11. The trace problem for Toeplitz matrices and operators and its impact in probability

    Ginovyan, Mamikon S.; Sahakyan, Artur A.; Taqqu, Murad S.
    The trace approximation problem for Toeplitz matrices and its applications to stationary processes dates back to the classic book by Grenander and Szegö, Toeplitz forms and their applications (University of California Press, Berkeley, 1958). It has then been extensively studied in the literature. ¶ In this paper we provide a survey and unified treatment of the trace approximation problem both for Toeplitz matrices and for operators and describe applications to discrete- and continuous-time stationary processes. ¶ The trace approximation problem serves indeed as a tool to study many probabilistic and statistical topics for stationary models. These include central and non-central limit theorems and large...

  12. Gaussian multiplicative chaos and applications: A review

    Rhodes, Rémi; Vargas, Vincent
    In this article, we review the theory of Gaussian multiplicative chaos initially introduced by Kahane’s seminal work in 1985. Though this beautiful paper faded from memory until recently, it already contains ideas and results that are nowadays under active investigation, like the construction of the Liouville measure in $2d$-Liouville quantum gravity or thick points of the Gaussian Free Field. Also, we mention important extensions and generalizations of this theory that have emerged ever since and discuss a whole family of applications, ranging from finance, through the Kolmogorov-Obukhov model of turbulence to $2d$-Liouville quantum gravity. This review also includes new results...

  13. Regularly varying measures on metric spaces: Hidden regular variation and hidden jumps

    Lindskog, Filip; Resnick, Sidney I.; Roy, Joyjit
    We develop a framework for regularly varying measures on complete separable metric spaces $\mathbb{S}$ with a closed cone $\mathbb{C}$ removed, extending material in [15,24]. Our framework provides a flexible way to consider hidden regular variation and allows simultaneous regular-variation properties to exist at different scales and provides potential for more accurate estimation of probabilities of risk regions. We apply our framework to iid random variables in $\mathbb{R}_{+}^{\infty}$ with marginal distributions having regularly varying tails and to càdlàg Lévy processes whose Lévy measures have regularly varying tails. In both cases, an infinite number of regular-variation properties coexist distinguished by different scaling...

  14. Reciprocal processes. A measure-theoretical point of view

    Léonard, Christian; Rœlly, Sylvie; Zambrini, Jean-Claude
    The bridges of a Markov process are also Markov. But an arbitrary mixture of these bridges fails to be Markov in general. However, it still enjoys the interesting properties of a reciprocal process. ¶ The structures of Markov and reciprocal processes are recalled with emphasis on their time-symmetries. A review of the main properties of the reciprocal processes is presented. Our measure-theoretical approach allows for a unified treatment of the diffusion and jump processes. Abstract results are illustrated by several examples and counter-examples.

  15. Distribution of the sum-of-digits function of random integers: A survey

    Chen, Louis H. Y.; Hwang, Hsien-Kuei; Zacharovas, Vytas
    We review some probabilistic properties of the sum-of-digits function of random integers. New asymptotic approximations to the total variation distance and its refinements are also derived. Four different approaches are used: a classical probability approach, Stein’s method, an analytic approach and a new approach based on Krawtchouk polynomials and the Parseval identity. We also extend the study to a simple, general numeration system for which similar approximation theorems are derived.

  16. Characterizations of GIG laws: A survey

    Koudou, Angelo Efoévi; Ley, Christophe
    Several characterizations of the Generalized Inverse Gaussian (GIG) distribution on the positive real line have been proposed in the literature, especially over the past two decades. These characterization theorems are surveyed, and two new characterizations are established, one based on maximum likelihood estimation and the other is a Stein characterization.

  17. Statistical properties of zeta functions’ zeros

    Kargin, Vladislav
    The paper reviews existing results about the statistical distribution of zeros for three main types of zeta functions: number-theoretical, geometrical, and dynamical. It provides necessary background and some details about the proofs of the main results.

  18. On the notion(s) of duality for Markov processes

    Jansen, Sabine; Kurt, Noemi
    We provide a systematic study of the notion of duality of Markov processes with respect to a function. We discuss the relation of this notion with duality with respect to a measure as studied in Markov process theory and potential theory and give functional analytic results including existence and uniqueness criteria and a comparison of the spectra of dual semi-groups. The analytic framework builds on the notion of dual pairs, convex geometry, and Hilbert spaces. In addition, we formalize the notion of pathwise duality as it appears in population genetics and interacting particle systems. We discuss the relation of duality...

  19. Integrable probability: From representation theory to Macdonald processes

    Borodin, Alexei; Petrov, Leonid
    These are lecture notes for a mini-course given at the Cornell Probability Summer School in July 2013. Topics include lozenge tilings of polygons and their representation theoretic interpretation, the $(q,t)$-deformation of those leading to the Macdonald processes, nearest neighbor dynamics on Macdonald processes, their limit to semi-discrete Brownian polymers, and large time asymptotic analysis of polymer’s partition function.

  20. Self-normalized limit theorems: A survey

    Shao, Qi-Man; Wang, Qiying
    Let $X_{1},X_{2},\ldots,$ be independent random variables with $EX_{i}=0$ and write $S_{n}=\sum_{i=1}^{n}X_{i}$ and $V_{n}^{2}=\sum_{i=1}^{n}X_{i}^{2}$. This paper provides an overview of current developments on the functional central limit theorems (invariance principles), absolute and relative errors in the central limit theorems, moderate and large deviation theorems and saddle-point approximations for the self-normalized sum $S_{n}/V_{n}$. Other self-normalized limit theorems are also briefly discussed.

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