We consider a diffusion process on , which upon hitting [not partial differential]D, is redistributed in D according to a probability measure depending continuously on its exit point. We prove that the distribution of the process converges exponentially fast to its unique invariant distribution...

In this paper we consider a two-dimensional lattice gas under Kawasaki dynamics, i.e., particles hop around randomly subject to hard-core repulsion and nearest-neighbor attraction. We show that, at fixed temperature and in the limit as the particle density tends to zero, such a gas evolves in a...

We consider a system of d linear stochastic heat equations driven by an additive infinite-dimensional fractional Brownian noise on the unit circle S1. We obtain sharp results on the Hölder continuity in time of the paths of the solution . We then establish upper and lower bounds on hitting...

A stochastic integral of Banach space valued deterministic functions with respect to Banach space valued Lévy processes is defined. There are no conditions on the Banach spaces or on the Lévy processes. The integral is defined analogously to the Pettis integral. The integrability of a function...

We consider a sequence ([xi]n)n=1 of i.i.d. random values residing in the domain of attraction of an extreme value distribution. For such a sequence, there exist (an) and (bn), with an0 and for every n=1, such that the sequence (Xn) defined by Xn=(max([xi]1,...,[xi]n)-bn)/an converges in...

Let (Vt) be a stationary and [beta]-mixing diffusion with unknown drift and diffusion coefficient. The integrated process is observed at discrete times with regular sampling interval . For both the drift function and the diffusion coefficient of the unobserved diffusion (Vt), we build...

We construct triplets of killed Brownian motions to obtain inequalities relating the solutions of the Schrodinger equation , with non-negative boundary conditions, on three interrelated compact sets in Euclidean space. These, in particular, include inequalities relating harmonic functions on the...

Let be a space-time Gaussian process which is stationary in the time variable t. We study Mn(h)=supt[set membership, variant][0,n]Zt(snh), the supremum of Z taken over t[set membership, variant][0,n] and rescaled by a properly chosen sequence sn--0. Under appropriate conditions on Z, we show...

There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions between agents. Our purpose is to present a general...

We consider backward stochastic differential equations (BSDEs) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE will be understood as a probability measure under which the generator is seen as vanishing, so that the classical...