We study the joint limit distribution of the k largest eigenvalues of a p×p sample covariance matrix XXT based on a large p×n matrix X. The rows of X are given by independent copies of a linear process, Xit=∑jcjZi,t−j, with regularly varying noise (Zit) with tail index α∈(0,4). It is...

We prove an apparently new type of ergodic theorem, and apply it to the site percolation problem on sparse random sublattices of Zd (d≥2), called “lattices with large holes”. We show that for every such lattice the critical probability lies strictly between zero and one, and the number of...

Given a càdlàg process X on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let Psem be the set of all probability measures P under which X is a semimartingale. We...

For α∈R, let pR(t,x,x) denote the diagonal of the transition density of the α-Bessel process in (0,1], killed at 0 and reflected at 1. As a function of x, if either α≥3 or α=1, then for t>0, the diagonal is nondecreasing. This monotonicity property fails if 1≠α<3.

The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen (2005) and subsequently used by others to study the L2 and L3 moduli of continuity of Brownian local time. A version of the DSLT for fractional Brownian motion (fBm) was introduced in Yan et al....

In the present paper, we characterize the behavior of supercritical branching processes in random environment with linear fractional offspring distributions, conditioned on having small, but positive values at some large generation. As it has been noticed in previous works, there is a phase...

In this paper, we show that the integration of a stochastic differential equation driven by G-Brownian motion (G-SDE for short) in R can be reduced to the integration of an ordinary differential equation (ODE for short) parameterized by a variable in (Ω,F). By this result, we obtain a...

Let N be an integer greater than 1. We consider the pseudo-process X=(Xt)t≥0 driven by the high-order heat-type equation ∂/∂t=(−1)N−1∂2N/∂x2N. Let us introduce the first exit time τab from a bounded interval (a,b) by X (a,b∈R) together with the related location, namely Xτab.

In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square-integrable martingale under partial information. We discuss some special cases where the solution to a BSDE under restricted information can be derived by that related to a problem of a...

We consider continuous-time random interlacements on Zd, d≥3, and investigate the percolation model where a site x of Zd is occupied if the total amount of time spent at x by all the trajectories of the interlacement at level u≥0 exceeds some constant α≥0, and empty otherwise. We also...