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5 papers · 2 filters
Skorokhod embeddings for two-sided Markov chains
Peter Morters, Istvan Redl
Let be a two-sided recurrent Markov chain with fixed initial state and let be a probability measure on its state space. We give a necessary and suff…
On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale
Alexander M. G. Cox, Jan Obłój
We study the joint laws of a continuous, uniformly integrable martingale, its maximum, and its minimum. In particular, we give explicit martingale inequalities which provide upper…
Intermittency for branching random walk in Pareto environment
Marcel Ortgiese, Matthew I. Roberts
We consider a branching random walk on the lattice, where the branching rates are given by an i.i.d. Pareto random potential. We describe the process, including a detailed shape th…
Anchored burning bijections on finite and infinite graphs
Samuel L. Gamlin, Antal A. Járai
Let be an infinite graph such that each tree in the wired uniform spanning forest on has one end almost surely. On such graphs , we give a family of continuous, measure…
New families of subordinators with explicit transition probability semigroup
James Burridge, Mateusz Kwaśnicki, Alexey Kuznetsov +1
There exist only a few known examples of subordinators for which the transition probability density can be computed explicitly along side an expression for its Lévy measure and Lap…