We will give a survey on results concerning Girsanov transformations, transportation cost inequalities, convexity of entropy, and optimal transport maps on some infinite dimensional spaces. Some open Problems will be arisen.
We use a new approach to consider the extinction properties of the Markov branching process with immigration and migration recently discussed by Li and Liu [Sci. China Math., 2011, 54: 1043–1062]. Some much better explicit expressions are obtained for the extinction probabilities of the subtle super-interacting case.
Let (Xt)t≥0 be a symmetric strong Markov process generated by non-local regular Dirichlet form (D,
where J(x, y) is a strictly positive and symmetric measurable function on
In particular, we prove that for
This paper is concerned with the smoothness (in the sense of Meyer- Watanabe) of the local times of Gaussian random fields. Sufficient and necessary conditions for the existence and smoothness of the local times, collision local times, and self-intersection local times are established for a large class of Gaussian random fields, including fractional Brownian motions, fractional Brownian sheets and solutions of stochastic heat equations driven by space-time Gaussian noise.
Consider a supercritical superprocess X = {Xt, t≥0} on a locally compact separable metric space (E,m). Suppose that the spatial motion of X is a Hunt process satisfying certain conditions and that the branching mechanism is of the form
where
for any finite initial measure μ on E with compact support, where W∞ is the martingale limit defined by
This paper studies the long run behavior in evolutionary prisoner’s dilemma games. All players are assumed to sit around a circle and to interact only with their neighbors. It is known that full-defection is the unique long run equilibrium as the probability of players’ experimentation (or mutation) tends to zero in the best response dynamics. Here, it is shown that full-cooperation could emerge in the long run if one also cares for his neighbors in the bestresponse dynamics.
We consider laws of iterated logarithm for one-dimensional transient random walks in random environments. A quenched law of iterated logarithm is presented for transient random walks in general ergodic random environments, including independent identically distributed environments and uniformly ergodic environments.
We investigate the branching structure coded by the excursion above zero of a spectrally positive Lévy process. The main idea is to identify the level of the Lévy excursion as the time and count the number of jumps upcrossing the level. By regarding the size of a jump as the birth site of a particle, we construct a branching particle system in which the particles undergo nonlocal branchings and deterministic spatial motions to the left on the positive half line. A particle is removed from the system as soon as it reaches the origin. Then a measure-valued Borel right Markov process can be defined as the counting measures of the particle system. Its total mass evolves according to a Crump- Mode-Jagers (CMJ) branching process and its support represents the residual life times of those existing particles. A similar result for spectrally negative Lévy process is established by a time reversal approach. Properties of the measurevalued processes can be studied via the excursions for the corresponding Lévy processes.
This work is devoted to calculating the first passage probabilities of one-dimensional diffusion processes. For a one-dimensional diffusion process, we construct a sequence of Markov chains so that their absorption probabilities approximate the first passage probability of the given diffusion process. This method is especially useful when dealing with time-dependent boundaries.
We consider a multiclass service system with refusal and bulk-arrival. The properties regarding recurrence, ergodicity, and decay properties of such model are discussed. The explicit criteria regarding recurrence and ergodicity are obtained. The stationary distribution is given in the ergodic case. Then, the exact value of the decay parameter, denoted by λE, is obtained in the transient case. The criteria for the λE-recurrence are also obtained. Finally, the corresponding λE-invariant vector/measure is considered.
We obtain sufficient criteria for central limit theorems (CLTs) for ergodic continuous-time Markov chains (CTMCs). We apply the results to establish CLTs for continuous-time single birth processes. Moreover, we present an explicit expression of the time average variance constant for a single birth process whenever a CLT exists. Several examples are given to illustrate these results.
We consider the asymptotic property of the diffusion processes with Markovian switching. For a general case, we prove a large deviation principle for empirical measures of switching diffusion processes with small parameters.
We consider the diffusion process Xt on
We study the problem of the approximation in law of the Rosenblatt sheet. We prove the convergence in law of two families of process to the Rosenblatt sheet: the first one is constructed from a Poisson process in the plane and the second one is based on random walks.
This paper focuses on the constrained optimality problem (COP) of first passage discrete-time Markov decision processes (DTMDPs) in denumerable state and compact Borel action spaces with multi-constraints, state-dependent discount factors, and possibly unbounded costs. By means of the properties of a so-called occupation measure of a policy, we show that the constrained optimality problem is equivalent to an (infinite-dimensional) linear programming on the set of occupation measures with some constraints, and thus prove the existence of an optimal policy under suitable conditions. Furthermore, using the equivalence between the constrained optimality problem and the linear programming, we obtain an exact form of an optimal policy for the case of finite states and actions. Finally, as an example, a controlled queueing system is given to illustrate our results.