Electronic Journal of Probability
http://ejp.ejpecp.org/
<p><strong> </strong></p>The <strong>Electronic Journal of Probability</strong> (EJP) publishes full-length research articles in probability theory. Short papers, those less than 12 pages, should be submitted first to its sister journal, the <a href="http://ecp.ejpecp.org/" target="_blank">Electronic Communications in Probability</a> (ECP). EJP and ECP share the same editorial board, but with different Editors in Chief.<p>EJP and ECP are free access official journals of the <a href="http://www.imstat.org/">Institute of Mathematical Statistics</a> (IMS) and the <a href="http://isi.cbs.nl/BS/bshome.htm"> Bernoulli Society</a>. This web site uses the <a href="http://en.wikipedia.org/wiki/Open_Journal_Systems">Open Journal System</a> (OJS) free software developed by the non-profit organization <a href="http://en.wikipedia.org/wiki/Public_Knowledge_Project">Public Knowledge Project</a> (PKP).</p><p>Please consider donating to the <a href="http://www.imstat.org/publications/open.htm" target="_blank">Open Access Fund</a> of the IMS at this <a href="https://secure.imstat.org/secure/orders/donations.asp" target="_blank"><strong>page</strong></a> to keep the journal free.</p>en-USElectronic Journal of Probability1083-6489The Electronic Journal of Probability applies the <a href="http://creativecommons.org/licenses/by/2.5/legalcode" target="_blank">Creative Commons Attribution License</a> (CCAL) to all articles we publish in this journal. Under the CCAL, authors retain ownership of the copyright for their article, but authors allow anyone to download, reuse, reprint, modify, distribute, and/or copy articles published in EJP, so long as the original authors and source are credited. This broad license was developed to facilitate open access to, and free use of, original works of all types. Applying this standard license to your work will ensure your right to make your work freely and openly available.<br /><br /><strong>Summary of the Creative Commons Attribution License</strong><br /><br />You are free<br /><ul><li> to copy, distribute, display, and perform the work</li><li> to make derivative works</li><li> to make commercial use of the work</li></ul>under the following condition of Attribution: others must attribute the work if displayed on the web or stored in any electronic archive by making a link back to the website of EJP via its Digital Object Identifier (DOI), or if published in other media by acknowledging prior publication in this Journal with a precise citation including the DOI. For any further reuse or distribution, the same terms apply. Any of these conditions can be waived by permission of the Corresponding Author.A compact containment result for nonlinear historical superprocess approximations for population models with trait-dependence
http://ejp.ejpecp.org/article/view/3506
We consider an approximating sequence of interacting population models with branching, mutation and competition. Each individual is characterized by its trait and the traits of its ancestors. Birth- and death-events happen at exponential times. Traits are hereditarily transmitted unless mutation occurs. The present model is an extension of the model used in [Méléard and Tran, EJP, 2012], where for large populations with small individual biomasses and under additional assumptions, the diffusive limit is shown to converge to a nonlinear historical superprocess. The main goal of the present article is to verify a compact containment condition in the more general setup of Polish trait-spaces and general mutation kernels that allow for a dependence on the parent's trait. As a by-product, a result on the paths of individuals is obtained. An application to evolving genealogies on marked metric measure spaces is mentioned where genealogical distance, counted in terms of the number of births without mutation, can be regarded as a trait. Because of the use of exponential times in the modeling of birth- and death-events the analysis of the modulus of continuity of the trait-history of a particle plays a major role in obtaining appropriate bounds.Sandra Kliem2014-10-182014-10-1819On the heat kernel and the Dirichlet form of Liouville Brownian motion
http://ejp.ejpecp.org/article/view/2950
In a previous work, a Feller process called Liouville Brownian motion on $\mathbb{R}^2$ has been introduced. It can be seen as a Brownian motion evolving in a random geometry given formally by the exponential of a (massive) Gaussian Free Field $e^{\gamma\, X}$ and is the right diffusion process to consider regarding $2d$-Liouville quantum gravity. In this note, we discuss the construction of the associated Dirichlet form, following essentially Fukushima, Oshima, and Takeda, and the techniques introduced in our previous work. Then we carry out the analysis of the Liouville resolvent. In particular, we prove that it is strong Feller, thus obtaining the existence of the Liouville heat kernel via a non-trivial theorem of Fukushima and al. One of the motivations which led to introduce the Liouville Brownian motion in our previous work was to investigate the puzzling Liouville metric through the eyes of this new stochastic process. In particular, the theory developed for example in Stollmann and Sturm, whose aim is to capture the "geometry" of the underlying space out of the Dirichlet form of a process living on that space, suggests a notion of distance associated to a Dirichlet form. More precisely, under some mild hypothesis on the regularity of the Dirichlet form, they provide a distance in the wide sense, called intrinsic metric, which is interpreted as an extension of Riemannian geometry applicable to non differential structures. We prove that the needed mild hypotheses are satisfied but that the associated intrinsic metric unfortunately vanishes, thus showing that renormalization theory remains out of reach of the metric aspect of Dirichlet forms.Rémi RhodesChristophe GarbanVincent Vargas2014-10-162014-10-1619Martingale inequalities and deterministic counterparts
http://ejp.ejpecp.org/article/view/3270
We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the martingale inequality is determined by a fixed point of a simple nonlinear operator involving a concave envelope. Our results yield an explanation for certain inequalities that arise in mathematical finance in the context of robust hedging.Mathias BeiglböckMarcel Nutz2014-10-162014-10-1619A lognormal central limit theorem for particle approximations of normalizing constants
http://ejp.ejpecp.org/article/view/3428
Feynman-Kac path integration models arise in a large variety of scientic disciplines including physics, chemistry and signal processing. Their mean eld particle interpretations, termed Diusion or Quantum Monte Carlo methods in physics and Sequential Monte Carlo or Particle Filters in statistics and applied probability, have found numerous applications as they allow to sample approximately from sequences of complex probability distributions and estimate their associated normalizing constants.This article focuses on the lognormal fuctuations of these normalizing constant estimates when both the time horizon n and the number of particles N go to innity in such a way that n/N tends to some number between 0 and 1. To the best of our knowledge, this is the first result of this type for mean field type interacting particle systems. We also discuss special classes of models, including particle absorption models in time-homogeneous environment and hidden Markov models in ergodic random environment, for which more explicit descriptions of the limiting bias and variance can be obtained.Jean BérardPierre Del MoralArnaud Doucet2014-10-072014-10-0719Moment bounds and concentration inequalities for slowly mixing dynamical systems
http://ejp.ejpecp.org/article/view/3427
We obtain optimal moment bounds for Birkhoff sums, and optimal concentration inequalities, for a large class of slowly mixing dynamical systems, including those that admit anomalous diffusion in the form of a stable law or a central limit theorem with nonstandard scaling $(n\log n)^{1/2}$.Sébastien GouëzelIan Melbourne2014-10-032014-10-0319