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7 papers · 2 filters
Modeling and simulation with operator scaling
Serge Cohen, Mark M. Meerschaert, Jan Rosinski
Self-similar processes are useful in modeling diverse phenomena that exhibit scaling properties. Operator scaling allows a different scale factor in each coordinate. This paper dev…
Approximation of stationary solutions of Gaussian driven Stochastic Differential Equations
Serge Cohen, Fabien Panloup
We study sequences of empirical measures of Euler schemes associated to some non-Markovian SDEs: SDEs driven by Gaussian processes with stationary increments. We obtain the functio…
A stochastic min-driven coalescence process and its hydrodynamical limit
Anne-Laure Basdevant, Philippe Laurencot, James R. Norris +1
A stochastic system of particles is considered in which the sizes of the particles increase by successive binary mergers with the constraint that each coagulation event involves a…
On ergodic two-armed bandits
Pierre Tarrès, Pierre Vandekerkhove
A device has two arms with unknown deterministic payoffs and the aim is to asymptotically identify the best one without spending too much time on the other. The Narendra algorithm…
First passage time law for some jump-diffusion processes : existence of a density
Laure Coutin, Diana Dorobantu
Let (Xt, t >= 0) be a diffusion process with jumps, sum of a Brownian motion with drift and a compound Poisson process. We consider T_x the first hitting time of a fixed level x >…
Curvature, concentration and error estimates for Markov chain Monte Carlo
Aldéric Joulin, Yann Ollivier
We provide explicit nonasymptotic estimates for the rate of convergence of empirical means of Markov chains, together with a Gaussian or exponential control on the deviations of em…