Bénézet, Cyril Chassagneux, Jean-François Richou, Adrien

We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switching modes and associated costs. We show that the optimal value of the switching problem is related to a new class of multidimensional obliquely reflected BSDEs. These BSDEs...

Lelièvre, Tony Ramil, Mouad Reygner, Julien

Consider the Langevin process, described by a vector (position,momentum) in Rd×Rd. Let O be a C2 open bounded and connected set of Rd. We prove the compactness of the semigroup of the Langevin process absorbed at the boundary of the domain D:=O×Rd. We then obtain the existence of a unique quasi-stationary distribution (QSD) for the Langevin process...

Alfonsi, Aurélien Kebaier, Ahmed

In this work, we develop a multi-factor approximation for Stochastic Volterra Equations with Lipschitz coefficients and kernels of completely monotone type that may be singular. Our approach consists in truncating and then discretizing the integral defining the kernel, which corresponds to a classical Stochastic Differential Equation. We prove stro...

Betea, Dan Bouttier, Jérémie Walsh, Harriet

We study two families of probability measures on integer partitions, which are Schur measures with parameters tuned in such a way that the edge fluctuations are characterized by a critical exponent different from the generic $1/3$. We find that the first part asymptotically follows a "higher-order analogue" of the Tracy-Widom GUE distribution, prev...

Sulkowska, Małgorzata Benevides, Fabrício Siqueira

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Germain, Maximilien Pham, Huyên Warin, Xavier

We prove a rate of convergence of order 1/N for the N-particle approximation of a second-order partial differential equation in the space of probability measures, like the Master equation or Bellman equation of mean-field control problem under common noise. The proof relies on backward stochastic differential equations techniques.

Morin, Léo Mouzard, Antoine

We define the random magnetic Laplacien with spatial white noise as magnetic field on the two-dimensional torus using paracontrolled calculus. It yields a random self-adjoint operator with pure point spectrum and domain a random subspace of nonsmooth functions in L 2. We give sharp bounds on the eigenvalues which imply an almost sure Weyl-type law....

Bodini, Olivier Genitrini, Antoine Mailler, Cécile Naima, Mehdi

In this paper we introduce three new models of labelled random trees that generalise the original unlabelled Schröder tree. Our new models can be seen as models for phylogenetic trees in which nodes represent species and labels encode the order of appearance of these species, and thus the chronology of evolution. One important feature of our trees ...

Mallein, Bastien Miłoś, Piotr

The behavior of the maximal displacement of a supercritical branching random walk has been a subject of intense studies for a long time. But only recently the case of time-inhomogeneous branching has gained focus. The contribution of this paper is to analyze a time-inhomogeneous model with two levels of randomness. In the first step a sequence of b...

Gradinaru, Mihai Luirard, Emeline

We study a one-dimensional kinetic stochastic model driven by a Lévy process, with a non-linear time-inhomogeneous drift. More precisely, the process $(V,X)$ is considered, where $X$ is the position of the particle and its velocity $V$ is the solution of a stochastic differential equation with a drift of the form $t^{-\beta}F(v)$. The driving noise...