In previous papers [T. Funaki, Y. Hariya, M. Yor, Wiener integrals for centered powers of Bessel processes, I, Markov Processes Related Fields (2006) (in press); T. Funaki, Y. Hariya, M. Yor, Wiener integrals for centered Bessel and related processes, II, Alea (2006) (in press)], the authors...

Given an n-tuple of independent processes, each converging at an exponential rate, conditions are given under which a cut-off occurs for the n-tuple, when the convergence is measured by different distances between probability distributions. More precise estimates and explicit examples are given...

We establish Lamperti representations for semi-stable Markov processes in locally compact groups. We also study the particular cases of processes with values in and under the hypothesis that they do not visit 0. These Lamperti representations yield some properties of these semi-stable Markov...

We construct a multiple Stratonovich-type integral with respect to the fractional Brownian motion with Hurst parameter . This integral is obtained by a limit of Riemann sums procedure in the Solé and Utzet [Stratonovich integral and trace, Stochastics Stochastics Rep. 29 (2) (1990) 203-220]...

We construct a probabilistic model which "mimics" the behaviour of a certain number-theoretical algorithm. This model involves study of a binary tree with randomly labelled edges, such that the labels have different distributions, depending on their directions. A number of properties of this...

Motivated by the central limit theorem for weakly dependent variables, we show that the Brownian motion {X(t);t[set membership, variant][0,1]}, can be modeled as a process with independent increments, satisfying the following limiting condition.almost surely for all 0[less-than-or-equals,...

We consider a (1+1)-dimensional hydrophobic homopolymer, in interaction with an oil-water interface. In , the interface is modelled by the x axis, the oil is above, the water is below, and the polymer configurations are given by a simple random walk (Si)i=0. The hydrophobicity of each monomer...

We consider the path Zt described by a standard Brownian motion in on some time interval [0,t]. This is a random compact subset of . Using the support (curvature) measures of [D. Hug, G. Last, W. Weil, A local Steiner-type formula for general closed sets and applications, Math. Z. 246...

A Wentzell-Freidlin type large deviation principle is established for the two-dimensional Navier-Stokes equations perturbed by a multiplicative noise in both bounded and unbounded domains. The large deviation principle is equivalent to the Laplace principle in our function space setting. Hence,...

In this paper, we study the problem of estimating a Markov chain X (signal) from its noisy partial information Y, when the transition probability kernel depends on some unknown parameters. Our goal is to compute the conditional distribution process , referred to hereafter as the optimal filter....