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5 papers · 2 filters
On the ergodicity properties of some adaptive MCMC algorithms
Christophe Andrieu, Éric Moulines
In this paper we study the ergodicity properties of some adaptive Markov chain Monte Carlo algorithms (MCMC) that have been recently proposed in the literature. We prove that under…
Hitting times for Gaussian processes
Laurent Decreusefond, David Nualart
We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownia…
Large deviations for weighted empirical mean with outliers
Mylène Maïda, Jamal Najim, Sandrine Péché
We study in this article large deviations for the empirical mean of iid random vectors with some deterministic weights, whose empirical measure weakly converges to some compactly s…
Wasserstein distance on configuration space
L. Decreusefond
We investigate here the optimal transportation problem on configuration space for the quadratic cost. It is shown that, as usual, provided that the corresponding Wasserstein is fin…
Fluid limit of a heavily loaded EDF queue with impatient customers
Laurent Decreusefond, Pascal Moyal
In this paper we present the fluid limit of an heavily loaded Earliest Deadline First queue with impatient customers, represented by a measure-valued process keeping track of resid…