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4 papers · 2 filters
Drawdowns of diffusions
Paavo Salminen, Pierre Vallois
In this paper we give excursion theoretical proofs of Lehoczky's formula (in an extended form allowing a lower bound for the underlying diffusion) for the joint distribution of the…
Quasi-stationary distribution for kinetic SDEs with low regularity coefficients
Nicolas Champagnat, Tony Lelièvre, Mouad Ramil +2
We consider kinetic SDEs with low regularity coefficients in the setting recently introduced in [6]. For the solutions to such equations, we first prove a Harnack inequality. Using…
On the separation cut-off phenomenon for Brownian motions on high dimensional rotationally symmetric compact manifolds
Koléhè Coulibaly-Pasquier, Marc Arnaudon, Laurent Miclo
Given a family of rotationally symmetric compact manifolds indexed by the dimension and a weight function, the goal of this paper is to investigate the cut-off phenomenon for the B…
Chain rule symmetry for singular SPDEs
Yvain Bruned, Vladimir Dotsenko
We characterise the chain rule symmetry for the geometric stochastic heat equations in the full subcritical regime for Gaussian and non-Gaussian noises. We show that the renormalis…