We first consider a super Brownian motion $X$ with a general branching mechanism. Using the Brownian snake representation with subordination, we get the Hausdorff dimension of supp $X_t$, the topological support of $X_t$ and, more generally, the Hausdorff dimension of $\Bigcup_{t/in B}\supp X _t$. We also provide estimations on the hitting probability of small balls for those random measures. We then deduce that the support is totally disconnected in high dimension. Eventually, considering a super $\alpha$-stable process with a general branching mechanism, we prove that in low dimension this random measure is absolutely continuous with respect to the Lebesgue measure.

The main goal of this paper is to present an explicit capacity estimate for hitting probabilities of the Brownian sheet. As applications, we determine the escape rates of the Brownian sheet and also obtain a local intersection equivalence between the Brownian sheet and the additive Brownian motion. Other applications concern quasisure properties in Wiener space.

We consider a Brownian motion in a Benedicks domain with absorption at the boundary. We show ratio limit theorems for the associated heat kernel. When the hole is compact, therefore the Martin boundary is two dimensional; we obtain sharp estimates on the lifetime probabilities and we identify, in probabilistic terms, the various constants appearing in the theory.

We consider Brownian motion perturbed by the exponential of an action. The action is the sum of an external, one-body potential and a two-body interaction potential which depends only on the increments. Under suitable conditions on these potentials, we establish existence and uniqueness of the corresponding Gibbs measure. We also provide an example where uniqueness fails because of a slow decay in the interaction potential.

We derive explicitly the asymptotic law of the tagged particle process in a system of interacting Brownian motions in the presence of a diffusive scaling in nonequilibrium. The interaction is local and interpolates between the totally independent case (noninteracting) and the totally reflecting case and can be viewed as the limiting local version of an interaction through a pair potential as its support shrinks to zero. We also prove the independence of two tagged particles in the limit.

It has been shown that for a system of Brownian motions with local interaction considered in a diffusive scaling, under some regularity assumptions on the initial profile, the tagged particle process converges to a diffusion. We provide a sufficient condition for granting both the existence and the uniqueness of the tagged particle process for an arbitrary initial profile.

We study the two-dimensional process of integrated Brownian motion and Brownian motion, where integrated Brownian motion is conditioned to be positive. The transition density of this process is derived from the asymptotic behavior of hitting times of the unconditioned process. Explicit expressions for the transition density in terms of confluent hypergeometric functions are derived, and it is shown how our results on the hitting time distributions imply previous results of Isozaki-Watanabe and Goldman. The conditioned process is characterized by a system of stochastic differential equations (SDEs) for which we prove an existence and unicity result. Some sample path properties are derived from the SDEs and it is shown that $t \to t^{9/10}$ is a “critical curve” for the conditioned process in the sense that the expected time that the integral part of the conditioned process spends below any curve $t \to t^{\alpha}$ is finite for $\alpha < 9 /10$ and infinite for $\alpha \geq 9/10$.

Soit $X =(X _t)_t \geq 0$ un processus de Poisson ponctuel àvaleurs dans $]0;+\infty[$. On suppose que la mesure caractéristique $\mu$ est infinie, mais que $0 < \mu]a;+\infty[<+\infty$ pour tout $a>0$. On démontre qu’il n’est pas possible d’énumérer les instants de records larges du processus $X$ par une suite strictement croissante de temps d’arrêt (indexée par Z). La preuve repose sur l’inexistence de chaînes de Markov indexées par Z pour les probabilités de transition $\pi_x=\mathscr{l}_{[x;+\infty}[\mu/\mu[x;+\infty[=\mu[\cdot|[x;+\infty[]$. Lorsqu¡’on s’intéresse aux records stricts,ce résultat peut être mis en défaut: nous donnons une condition nécessaire et suffisante sur la mesure $\mu$pour que l’on puisse énumérer les instants de records stricts par une suite strictement croissante de temps d’arrêt. Enfin, nous étudions s’il est possible ou non de numéroter cycliquement et optionnellement les instants de records larges dans une filtration pour laquelle le processus $X$ soit Poissonien. Nous montrons que cela dépend de la filtration et que c’est impossible dans la filtration naturelle associée au processus $X$ .

Let ${X _n}_ {n\geq 0}$ be a Harris recurrent Markov chain with state space $(E,\mathscr{E})$, transition probability $P(x, A)$ and invariant measure $\pi$ . Given a nonnegative $\pi$-integrable function $f$ on $E$, the exact asymptotic order is given for the additive functionals

\sum_{k=1}^{n} f(X_k) \quad n=1,2,\dots

in the forms of both weak and strong convergences. In particular, the frequency of ${X_n}_{n \geq 0}$ visiting a given set $A\in \mathscr{E}$ with $0 < \pi (A) < + \infty$ is determined by taking $f = I_A$. Under the regularity assumption, the limits in our theorems are identified. The one- and two-dimensional random walks are taken as the examples of applications.

We show that independent percolation on any Cayley graph of a nonamenable group has no infinite components at the critical parameter. This result was obtained by the present authors earlier as a corollary of a general study of group-invariant percolation. The goal here is to present a simpler self-contained proof that easily extends to quasi-transitive graphs with a unimodular automorphism group. The key tool is a “mass-transport” method, which is a technique of averaging in nonamenable settings.

This work presents a construction of a solution for the nonlinear stochastic differential equation $X_t= X_0+ \int_0^t \mathbb{E}[u_0(X_0)|X_s]ds, t \geq 0$. The random variable $X_0$ with values in $\mathb{R}$ and the function $u_0$ are given. We denote by $P_t$ the probability distribution of $X_t$ and $u(x,t) = \mathbb{E}[u_0(X_0)|X_t= x]$. We prove that $(P_t,u(\cdot,t), t\geq 0)$ is a weak solution for a system of conservation laws arising in adhesion particle dynamics.

A stochastic process called vertex-reinforced random walk (VRRW) is defined in Pemantle [Ann. Probab. 16 1229–1241] . We consider this process in the case where the underlying graph is an infinite chain (i.e., the one-dimensional integer lattice). We show that the range is almost surely finite, that at least five points are visited infinitely often almost surely and that with positive probability the range contains exactly five points. There are always points visited infinitely often but at a set of times of zero density, and we show that the number of visits to such a point to time $n$ may be asymptotically $n ^[\alpha}$ for a dense set of values $\alpha \in (0,1)$. The power law analysis relies on analysis of a related urn model.

We consider a one-dimensional random walk $(X_n)_{n \times \mathbb{N}}$ in a random environment of zero or strictly positive drifts. We establish a full large deviation principle for $X_n/n$ of the correct order $n/(\log n)^2$ in the low speed regime, valid for almost every environment. This completes the large deviation picture obtained earlier by Greven and den Hollander and Gantert and Zeitouni in the case of zero and positive drifts. The proof uses coarse graining along with concentration of measure techniques.

In this paper we study the typical profiles of a random field Kac model. We give upper and lower bounds of the space scale where the profiles are constant. The results hold almost surely with respect to the realizations of the random field. The analysis is based on a block-spin construction, deviation techniques for the local empirical order parameters and concentration inequalities for the realizations of the random magnetic field. For the upper bound, we exhibit a scale related to the law of the iterated logarithm, where the random field makes an almost sure fluctuation that obliges the system to break its rigidity. For the lower bound, we prove that on a smaller scale the fluctuations are not strong enough to allow this transition.

We derive upper bounds for the conditional moment $\mathbf{E} \{| X|^{\varrho}|Y=y\}$ of a strictly $\alpha$-stable random vector (X,Y) when $\alpha\neq 1$ and $\varrho\leq 2$ and prove weak convergences for the conditional law $(X/u|Y= u)$ as $u \to \infty$ when $\alpha > 1$. As an example of application, we derive a new result in crossing theory for $\alpha$-stable processes.

We study the existence of finitary codings (also called finitary homomorphisms or finitary factor maps) from a finite-valued i.i.d. process to certain random fields. For Markov random fields we show, using ideas of Marton and Shields, that the presence of a phase transition is an obstruction for the existence of the above coding; this yields a large class of Bernoulli shifts for which no such coding exists.

Conversely, we show that, for the stationary distribution of a monotone exponentially ergodic probabilistic cellular automaton, such a coding does exist. The construction of the coding is partially inspired by the Propp–Wilson algorithm for exact simulation.

In particular, combining our results with a theorem of Martinelli and Olivieri, we obtain the fact that for the plus state for the ferromagnetic Ising model on $\mathbf{Z}^d, d \geq 2$, there is such a coding when the interaction parameter is below its critical value and there is no such coding when the interaction parameter is above its critical value.

We consider the age processes $A ^{(1)}\geq\cdots\geq A^{(n)}$ associated to a monotone sequence $\mathscr{R}^{(1)}\subseteq\cdots\subseteq\mathscr{R}^{(n)}$ of regenerative sets. We obtain limit theorems in distribution for (A_t^{(1)},\ldots, A_t^{(n)})$ and for $((1/t) A_t^{(1)},\ldots,(1/t)A_t^{(n)})$, which correspond to multivariate versions of the renewal theorem and of the Dynkin–Lamperti theorem, respectively. Dirichlet distributions play a key role in the latter.

Let $B _n = (1/N) T_n^{1/2} X _n X _n^*T_n^{1/2}$ where $X_n$ is $n \times N$ with i.i.d. complex standardized entries having finite fourth moment, and $T_n^{1/2}$ is a Hermitian square root of the nonnegative definite Hermitian matrix $T_n$. It was shown in an earlier paper by the authors that, under certain conditions on the eigenvalues of $T_n$, with probability 1 no eigenvalues lie in any interval which is outside the support of the limiting empirical distribution (known to exist) for all large $n$. For these $n$ the interval corresponds to one that separates the eigenvalues of $T_n$. The aim of the present paper is to prove exact separation of eigenvalues; that is, with probability 1, the number of eigenvalues of $B_n$ and $T_n$ lying on one side of their respective intervals are identical for all large $n$.

A precise link proved by Kuelbs and Li relates the small ball behavior of a Gaussian measure $\mu$ on a Banach space $E$ with the metric entropy behavior of $K_\mu$, the unit ball of the reproducing kernel Hilbert space of $\mu$ in $E$. We remove the main regularity assumption imposed on the unknown function in the link. This enables the application of tools and results from functional analysis to small ball problems and leads to small ball estimates of general algebraic type as well as to new estimates for concrete Gaussian processes. Moreover, we show that the small ball behavior of a Gaussian process is also tightly connected with the speed of approximation by “finite rank” processes.

This paper investigates the asymptotic distribution of the partial sum, $S_N=\sum_{n=1}^N [K(X_n)-EK(X_n)]$, as $N \to \infty$, where ${X_n}$ is a moving average stable process and $K$ is a bounded and measurable function. The results show that $S_N$ follows a central or non-central limit theorem depending on the rate at which the moving average coefficients tend to 0.