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Comment: Published at http://dx.doi.org/10.1214/074921706000000905 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)
Let $(S_n)_n$ be a $R^d$-valued random walk ($d\geq2$). Using Babillot's method [2], we give general conditions on the characteristic function of $S_n$ under which $(S_n)_n$ satisfies the same renewal theorem as the classical one obtained for random walks with i.i.d. non-centered increments. This statement is applied to additive functionals of strongly ergodic Markov chains under the non-lattice condition and (almost) optimal moment conditions.
We describe conditions on non-gradient drift diffusion Fokker-Planck equations for its solutions to converge to equilibrium with a uniform exponential rate in Wasserstein distance. This asymptotic behaviour is related to a functional inequality, which links the distance with its dissipation and ensures a spectral gap in Wasserstein distance. We give practical criteria for this inequality and compare it to classical ones. The key point is to quantify the contribution of the diffusion term to the rate of convergence, which to our knowledge is a novelty.
Comment: Stochastic Processes and Applications, accepted for publication
We present a synthesis of a number of developments which have been made around the celebrated Tsirelson's equation (1975), conveniently modified in the framework of a Markov chain taking values in a compact group $ G $, and indexed by negative time. To illustrate, we discuss in detail the case of the one-dimensional torus $ G=\bT $.
Comment: Published in at http://dx.doi.org/10.1214/09-AOP500 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)
In this paper, we prove that a fuzzy set--valued Brownian motion $B_t$, as defined in [1], can be handle by an $R^d$--valued Wiener process $b_t$, in the sense that $B_t =\indicator{b_t}$; i.e. it is actually the indicator function of a Wiener process.
We prove the existence of the intersection local time for two independent, d -dimensional fractional Brownian motions with the same Hurst parameter H. Assume d greater or equal to 2, then the intersection local time exists if and only if Hd<2.
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