In this article we construct a Wpγ-theory of linear stochastic parabolic partial differential systems. Here, p∈[2,∞) and γ∈(−∞,∞). We also provide an example to show that for stochastic systems we need more restriction than the algebraic condition which ensures that diffusion...

Zero-range processes with jump rates that decrease with the number of particles per site can exhibit a condensation transition, where a positive fraction of all particles condenses on a single site when the total density exceeds a critical value. We consider rates which decay as a power law or a...

We construct a quasi likelihood analysis for diffusions under the high-frequency sampling over a finite time interval. For this, we prove a polynomial type large deviation inequality for the quasi likelihood random field. Then it becomes crucial to prove nondegeneracy of a key index χ0. By...

The important application of semi-static hedging in financial markets naturally leads to the notion of conditionally quasi self-dual processes which is, for continuous semimartingales, related to conditional symmetry properties of both their ordinary as well as their stochastic logarithms. We...

We derive quenched subdiffusive lower bounds for the exit time τ(n) from a box of size n for the simple random walk on the planar invasion percolation cluster. The first part of the paper is devoted to proving an almost sure analogue of H. Kesten’s subdiffusivity theorem for the random walk...

We prove the dynamic programming principle for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. The zeroth-order “coefficient” and the “free” term are only assumed to be...

In this paper we establish the large deviation principle for the stochastic quasi-geostrophic equation with small multiplicative noise in the subcritical case. The proof is mainly based on the weak convergence approach. Some analogous results are also obtained for the small time asymptotics of...

In the context of statistics for random processes, we prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval [0,T] when T→∞. We further exhibit the asymptotic behaviour of the covariation of the increments of the...

This paper introduces a new approach, based on large deviation theory and nonlinear renewal theory, for analyzing solutions to stochastic fixed point equations of the form V=Df(V), where f(v)=Amax{v,D}+B for a random triplet (A,B,D)∈(0,∞)×R2. Our main result establishes the tail estimate...

This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of the partially observed optimal stopping problem. Then,...