Bøger i SpringerBriefs in Probability and Mathematical Statistics serien

An extension problem (often called a boundary problem) of Markov processes has been studied, particularly in the case of one-dimensional diffusion processes, by W. For this, Ito used, as a fundamental tool, the notion of Poisson point processes formed of all excursions of the process on S \ {a}.

The authors construct an extremely flexible framework using this concept in order to study limit theorems and large deviations for a number of probabilistic models related to classical probability, combinatorics, non-commutative random variables, as well as geometric and number-theoretical objects.

This is the only book discussing multifractal properties of densities of stable superprocesses, containing latest achievements while also giving the reader a comprehensive picture of the state of the art in this area.

The book presents new methods of asymptotic analysis for nonlinearly perturbed semi-Markov processes with a finite phase space.

Vershik curves are derived in that limit.A sharp interface limit for the Allen-Cahn equation, that is, a reaction-diffusion equation with bistable reaction term, leads to a mean curvature flow for the interfaces.

This book provides a self-contained presentation on the structure of a large class of stable processes, known as self-similar mixed moving averages. The first sections in the book review random variables, stochastic processes, and integrals, moving on to rigidity and flows, and finally ending with mixed moving averages and self-similarity.

This book describes and characterizes an extension to the classical path coupling method applied to statistical mechanical models, referred to as aggregate path coupling.

This book focuses on quantitative approximation results for weak limit theorems when the target limiting law is infinitely divisible with finite first moment. The first method is based on characteristic functions and Stein type identities when the involved sequence of random variables is itself infinitely divisible with finite first moment.

This SpringerBrief deals with a class of discrete-time zero-sum Markov games with Borel state and action spaces, and possibly unbounded payoffs, under discounted and average criteria, whose state process evolves according to a stochastic difference equation.

This SpringerBriefs employs a novel approach to obtain the precise asymptotic behavior at infinity of a large class of permanental sequences related to birth and death processes and autoregressive Gaussian sequences using techniques from the theory of Gaussian processes and Markov chains.

This book provides a unified exposition of some fundamental theoretical problems in high-dimensional statistics. Based on a surprising connection to a concentration of maxima probabilistic phenomenon, the authors obtain a complete characterization of the exact support recovery problem for thresholding estimators under dependent errors.

This book provides analytic tools to describe local and global behavior of solutions to Ito-stochastic differential equations with non-degenerate Sobolev diffusion coefficients and locally integrable drift. Regularity theory of partial differential equations is applied to construct such solutions and to obtain strong Feller properties, irreducibility, Krylov-type estimates, moment inequalities, various types of non-explosion criteria, and long time behavior, e.g., transience, recurrence, and convergence to stationarity. The approach is based on the realization of the transition semigroup associated with the solution of a stochastic differential equation as a strongly continuous semigroup in the Lp-space with respect to a weight that plays the role of a sub-stationary or stationary density. This way we obtain in particular a rigorous functional analytic description of the generator of the solution of a stochastic differential equation and its full domain. The existence of such a weight is shown under broad assumptions on the coefficients. A remarkable fact is that although the weight may not be unique, many important results are independent of it. Given such a weight and semigroup, one can construct and further analyze in detail a weak solution to the stochastic differential equation combining variational techniques, regularity theory for partial differential equations, potential, and generalized Dirichlet form theory. Under classical-like or various other criteria for non-explosion we obtain as one of our main applications the existence of a pathwise unique and strong solution with an infinite lifetime. These results substantially supplement the classical case of locally Lipschitz or monotone coefficients.We further treat other types of uniqueness and non-uniqueness questions, such as uniqueness and non-uniqueness of the mentioned weights and uniqueness in law, in a certain sense, of the solution.

This book offers an introduction to the field of stochastic analysis of Hermite processes. These selfsimilar stochastic processes with stationary increments live in a Wiener chaos and include the fractional Brownian motion, the only Gaussian process in this class. Using the Wiener chaos theory and multiple stochastic integrals, the book covers the main properties of Hermite processes and their multiparameter counterparts, the Hermite sheets. It delves into the probability distribution of these stochastic processes and their sample paths, while also presenting the basics of stochastic integration theory with respect to Hermite processes and sheets.The book goes beyond theory and provides a thorough analysis of physical models driven by Hermite noise, including the Hermite Ornstein-Uhlenbeck process and the solution to the stochastic heat equation driven by such a random perturbation. Moreover, it explores up-to-date topics central to current research in statistical inference for Hermite-driven models.