Sylvie Rœlly

Reciprocal processes. A measure-theoretical point of view

This is a survey paper about reciprocal processes. The bridges of a Markov process are also Markov. But an arbitrary mixture of these bridges fails to be Markov in general. However, it still enjoys the interesting properties of a reciprocal process. The structures of Markov and reciprocal processes are recalled with emphasis on their time-symmetries. A review of the main properties of the reciprocal processes is presented. Our measure-theoretical approach allows for a unified treatment of the diffusion and jump processes. Abstract results are illustrated by several examples and counter-examples.

Surveys in Stochastic Processes

We discuss problems posed by the quantitative study of time inhomogeneous Markov chains. The two main notions for our purpose are merging and stability. Merging (also called weak ergodicity) occurs when the chain asymptotically forgets where it started. It is a loss of memory property. Stability relates to the question of whether or not, despite temporary variations, there is a rough shape describing the long time behavior of the chain. For instance, we will discuss an example where the long time behavior is roughly described by a binomial, with temporal variations.Based on an intuitive approach to the Ray-Knight representation of Feller’s branching diffusion in terms of Brownian excursions we survey a few recent developments around exploration and mass excursions. One of these is Bertoin’s “tree of alleles with rare mutations” [6], seen as a tree of excursions of Feller’s branching diffusion. Another one is a model of a population with individual reproduction, pairwise fights and emigration to ever new colonies, conceived as a tree of excursions of Feller’s branching diffusion with logistic growth [14]. Finally, we report on a Ray-Knight representation of Feller’s branching diffusion with logistic growth in terms of a reflected Brownian motion whose drift depends on the local time accumulated at its current level [19, 27]. 2010 Mathematics Subject Classification. Primary 60J70; Secondary 60J80, 60J55.The parabolic Anderson model is the Cauchy problem for the heat equation with random potential. It offers a case study for the effects that a random, or irregular, environment can have on a diffusion process. The main focus in the present survey is on phenomena that are due to a highly irregular potential, which we model by a spatially independent, identically distributed random field with heavy tails. Among the effects we discuss are random fluctuations in the growth of the total mass, localisation in the weak and almost sure sense, and ageing.Simple random walk is well understood. However, if we condition a random walk not to intersect itself, so that it is a self-avoiding walk, then it is much more difficult to analyse and many of the important mathematical problems remain unsolved. This paper provides an overview of some of what is known about the critical behaviour of the self-avoiding walk, including some old and some more recent results, using methods that touch on combinatorics, probability, and statistical mechanics. 2010 Mathematics Subject Classification. Primary 60K35, 82B41.

Reciprocal Processes: A Stochastic Analysis Approach

Reciprocal processes, whose concept can be traced back to E. Schrodinger, form a class of stochastic processes constructed as mixture of bridges. They are Markov fields indexed by a time interval. We discuss here a new unifying approach to characterize several types of reciprocal processes via duality formulae on path spaces: The case of reciprocal processes with continuous paths associated to Brownian diffusions and the case of pure jump reciprocal processes associated to counting processes are treated. This chapter is based on joint works with M. Thieullen, R. Murr, and C. Leonard.

Infinite dimensional diffusion processes with singular interaction

Abstract An infinite system of hard spheres in R d undergoing Brownian motions and submitted to a smooth pair potential is studied. It is modelized by an infinite-dimensional Stochastic Differential Equation with a local time term. We prove existence and uniqueness of such a diffusion process, and also that Gibbs states are reversible measures.

On Time Duality for Markov Chains

□ For an irreducible continuous time Markov chain, we derive the distribution of the first passage time from a given state i to another given state j and the reversed passage time from j to i, each under the condition of no return to the starting point. When these two distributions are identical, we say that i and j are in time duality. We introduce a new condition called permuted balance that generalizes the concept of reversibility and provides sufficient criteria, based on the structure of the transition graph of the Markov chain. Illustrative examples are provided.

INFINITELY MANY BROWNIAN GLOBULES WITH BROWNIAN RADII

We consider an infinite system of non-overlapping globules undergoing Brownian motions in ℝ3. The term globules means that the objects we are dealing with are spherical, but with a radius which is random and time-dependent. The dynamics is modelized by an infinite-dimensional stochastic differential equation with local time. Existence and uniqueness of a strong solution is proven for such an equation with fixed deterministic initial condition. We also find a class of reversible measures.

Conditioned Point Processes with Application to Lévy Bridges

Our first result concerns a characterization by means of a functional equation of Poisson point processes conditioned by the value of their first moment. It leads to a generalized version of Mecke’s formula. En passant, it also allows us to gain quantitative results about stochastic domination for Poisson point processes under linear constraints. Since bridges of a pure jump Lévy process in

A Constructive Approach to a Class of Ergodic HJB Equations with Unbounded and Nonsmooth Cost

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