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Showing 2006 · math.PRShow all

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math.PR2006★ 3 cited

On the excursion theory for linear diffusions

Paavo Salminen, Pierre Vallois, Marc Yor

We present a number of important identities related to the excursion theory of linear diffusions. In particular, excursions straddling an independent exponential time are studied i…

math.PR2006★ 3 cited

Trees and asymptotic developments for fractional stochastic differential equations

Andreas Neuenkirch, Ivan Nourdin, Andreas Rößler +1

In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H>1/3. After solving this equation in a rathe…

math.PR2006

Quelques approximations du temps local brownien

Blandine Berard Bergery, Pierre Vallois

We give some approximations of the local time process at level of the real Brownian motion . We prove that $ \frac{2}ε\int_0^{t} X_{(u+ε)\wedge…

math.PR2006

Localized large sums of random variables

Kevin Ford, Gerald Tenenbaum

We study large partial sums, localized with respect to the sums of variances, of a sequence of centered random variables. An application is given to the distribution of prime facto…

math.PR2006★ 32 cited

On the absolute continuity of Lévy processes with drift

Ivan Nourdin, Thomas Simon

We consider the problem of absolute continuity for the one-dimensional SDE \[X_t=x+\int_0^ta(X_s) ds+Z_t,\] where is a real Lévy process without Brownian part and a functio…

math.PR2006★ 67 cited

Large deviations and a Kramers' type law for self-stabilizing diffusions

Samuel Herrmann, Peter Imkeller, Dierk Peithmann

We investigate exit times from domains of attraction for the motion of a self-stabilized particle traveling in a geometric (potential type) landscape and perturbed by Brownian nois…