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15 papers · 2 filters
Random symmetric matrices on Clifford algebras
Dominique Bakry, Marguerite Zani
We consider Brownian motions and other processes (Ornstein-Uhlenbeck processes, spherical Brownian motions) on various sets of symmetric matrices constructed from algebra structure…
Complex Obtuse Random Walks and their Continuous-Time Limits
S. Attal, J. Deschamps, C. Pellegrini
We study a particular class of complex-valued random variables and their associated random walks: the complex obtuse random variables. They are the generalization to the complex ca…
Strong stationary times for one-dimensional diffusions
Laurent Miclo
A necessary and sufficient condition is obtained for the existence of strong stationary times for ergodic one-dimensional diffusions, whatever the initial distribution. The strong…
Eigenvalue variance bounds for covariance matrices
Sandrine Dallaporta
This work is concerned with finite range bounds on the variance of individual eigenvalues of random covariance matrices, both in the bulk and at the edge of the spectrum. In a prec…
A stochastic model for speculative bubbles
Sébastien Gadat, Laurent Miclo, Fabien Panloup
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual s…
Ornstein-Uhlenbeck pinball: I. Poincaré inequalities in a punctured domain
Emmanuel Boissard, Patrick Cattiaux, Arnaud Guillin +1
In this paper we study the Poincaré constant for the Gaussian measure restricted to where denotes the Euclidean ball with center and radius , and…