We investigate the random continuous trees called Lévy trees, which are obtained as scaling limits of discrete Galton-Watson trees. We give a mathematically precise definition of these random trees as random variables taking values in the set of equivalence classes of compact rooted R-trees, which is equipped with the Gromov-Hausdorff distance. To construct Lévy trees, we make use of the coding by the height process which was studied in detail in previous work. We then investigate various probabilistic properties of Lévy trees. In particular we establish a branching property analogous to the well-known property for Galton-Watson trees: Conditionally given the tree below level a, the subtrees originating from that level are distributed as the atoms of a Poisson point measure whose intensity involves a local time measure supported on the vertices at distance a from the root. We study regularity properties of local times in the space variable, and prove that the support of local time is the full level set, except for certain exceptional values of a corresponding to local extinctions. We also compute several fractal dimensions of Lévy trees, including Hausdorff and packing dimensions, in terms of lower and upper indices for the branching mechanism function $ψ$ which characterizes the distribution of the tree. We finally discuss some applications to super-Brownian motion with a general branching mechanism.
We introduce a new stick-breaking construction for inhomogeneous continuum random trees (ICRT). This new construction allows us to prove the necessary and sufficient condition for compactness conjectured by Aldous, Miermont and Pitman arXiv:math/0401115 by comparison with Lévy trees. We also compute the fractal dimensions (Minkowski, Packing, Hausdorff).
We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces driven by Lévy processes. The emphasis is on the different contexts in which these processes arise, such as stochastic partial differential equations, continuous-state branching processes, generalised Mehler semigroups and operator self-decomposable distributions. We also examine generalisations to the case where the driving noise is cylindrical.
We consider the second Ostrogradsky expansion from the number theory, probability theory, dynamical systems and fractal geometry points of view, and establish several new phenomena connected with this expansion. First of all we prove the singularity of the random second Ostrogradsky expansion. Secondly we study properties of the symbolic dynamical system generated by the natural one-sided shift-transformation $T$ on the second Ostrogradsky expansion. It is shown, in particular, that there are no probability measures which are simultaneously invariant and ergodic (w.r.t. $T$) and absolutely con…
Which Levy processes satisfy Hunt's hypothesis (H) is a long-standing open problem in probabilistic potential theory. The study of this problem for one-dimensional Levy processes suggests us to consider (H) from the point of view of the sum of Levy processes. In this paper, we present theorems and examples on the validity of (H) for the sum of two independent Levy processes. We also give a novel condition on the Levy measure which implies (H) for a large class of one-dimensional Levy processes.
This paper is concerned mainly with the macroscopic fractal behavior of various random sets that arise in modern and classical probability theory. Among other things, it is shown here that the macroscopic behavior of Boolean coverage processes is analogous to the microscopic structure of the Mandelbrot fractal percolation. Other, more technically challenging, results of this paper include: (i) The computation of the macroscopic dimension of the graph of a large family of Lévy processes; and (ii) The determination of the macroscopic monofractality of the extreme values of symmetric stable proce…
Let $X$ be a real Lévy process and let $\Xpos $ be the process conditioned to stay positive. We assume that $ 0 $ is regular for $(-\infty, 0)$ and $(0, +\infty) $ with respect to $X$. Using elementary excursion theory arguments, we provide a simple probabilistic description of the reversed paths of $X$ and $\Xpos $ at their first hitting time of $ (x, +\infty)$ and last passage time of $ (-\infty, x ] $, on a fixed time interval $[0, t]$, for a positive level $x$. From these reversion formulas, we derive an extension to general Lévy processes of Williams' decomposition theorems, Bismut's deco…
We consider Weierstraß and Takagi-van der Waerden functions with critical degree of roughness. In this case, the functions have vanishing $p^{\text{th}}$ variation for all $p>1$ but are also nowhere differentiable and hence not of bounded variation either. We resolve this apparent puzzle by showing that these functions have finite, nonzero, and linear Wiener--Young $Φ$-variation along the sequence of $b$-adic partitions, where $Φ(x)=x/\sqrt{-\log x}$. For the Weierstraß functions, our proof is based on the martingale central limit theorem (CLT). For the Takagi--van der Waerden functions, we us…
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent convex dynamic procedures in a non dominated setting. Making use of the martingale problem approach for continuous diffusions and diffusions with Levy generator, we give an explicit construction of such procedures having furthermore a Feller property. These procedures lead to viscosity solution of fully non linear second order partial differential equations in case of continuous diffusions. In case of diffusions wit…
Motivated by limits of critical inhomogeneous random graphs, we construct a family of sequences of measured metric spaces that we call continuous multiplicative graphs, that are expected to be the universal limit of graphs related to the multiplicative coalescent (the Erdős--Rényi random graph, more generally the so-called rank-one inhomogeneous random graphs of various types, and the configuration model). At the discrete level, the construction relies on a new point of view on (discrete) inhomogeneous random graphs that involves an embedding into a Galton--Watson forest. The new representatio…
We first introduce and derive some basic properties of a two-parameters family of one-sided Levy processes. Their Laplace exponents are given in terms of the Pochhammer symbol. This family includes, in a limit case, the family of Brownian motion with drifts. Then, we proceed by computing the density of the law of the exponential functional associated to some elements of this family (and their dual) and some transformations of these elements. These densities are expressed in terms of the Wright hypergeometric functions. By means of probabilistic arguments, we derive some interesting properties …
Associated to each complex-valued random variable satisfying appropriate integrability conditions, we introduce a different generalization of the Stirling numbers of the second kind. Various equivalent definitions are provided. Attention, however, is focused on applications. Indeed, such numbers describe the moments of sums of i.i.d. random variables, determining their precise asymptotic behavior without making use of the central limit theorem. Such numbers also allow us to obtain explicit and simple Edgeworth expansions. Applications to Lévy processes and cumulants are discussed, as well.
We study Markovian continuous-time random walk models for Lévy flights and we show an example in which the convergence to stable densities is not guaranteed when jumps follow a bi-modal power-law distribution that is equal to zero in zero. The significance of this result is two-fold: i) with regard to the probabilistic derivation of the fractional diffusion equation and also ii) with regard to the concept of site fidelity in the framework of Lévy-like motion for wild animals.
We consider three magnetic relativistic Schrödinger operators which correspond to the same classical symbol $\sqrt{(ξ-A(x))^2+m^2}+V(x)$ and whose heat semigroups admit the Feynman-Kac-Itô type path integral representation $E[e^{-S^m(x,t, X)}g(x+X(t))]$. Using these representations, we prove the convergence of these heat semigroups when the mass--parameter $m$ goes to zero. Its proof reduces to the convergence of $e^{-S^m(x,t;X)}$, which yields a limit theorem for exponentials of semimartingales as functionals of Lévy processes $X$.
We investigate the properties of the path integral over reparametrizations (= the boundary value of the Liouville field in open string theory). Discretizing the path integral, we apply the Metropolis-Hastings algorithm to numerical simulations of a proper (subordinator) stochastic process and find that typical trajectories are not Brownian but rather have discontinuities of the type of Levy's flights. We study a fractal structure of these trajectories and show that their Hausdorff dimension is zero. We confirm thereby the discretization and heuristic consideration of QCD scattering amplitudes …
Homogeneous random fractals form a probabilistic extension of self-similar sets with more dependencies than in random recursive constructions. For such random fractals we consider mean values of the Lipschitz-Killing curvatures of their parallel sets for small parallel radii. Under the Uniform Strong Open Set Condition and some further geometric assumptions we show that rescaled limits of these mean values exist as the parallel radius tends to zero. Moreover, integral representations are derived for these limits which extend those known in the deterministic case.
The search for hidden targets is a fundamental problem in many areas of science, engineering, and other fields. Studies of search processes often adopt a probabilistic framework, in which a searcher randomly explores a spatial domain for a randomly located target. There has been significant interest and controversy regarding optimal search strategies, especially for superdiffusive processes. The optimal search strategy is typically defined as the strategy that minimizes the time it takes a given single searcher to find a target, which is called a first hitting time (FHT). However, many systems…
We consider a modulated process S which, conditional on a background process X, has independent increments. Assuming that S drifts to -infinity and that its increments (jumps) are heavy-tailed (in a sense made precise in the paper), we exhibit natural conditions under which the asymptotics of the tail distribution of the overall maximum of S can be computed. We present results in discrete and in continuous time. In particular, in the absence of modulation, the process S in continuous time reduces to a Levy process with heavy-tailed Levy measure. A central point of the paper is that we make ful…
The self-similar growth-fragmentation equation describes the evolution of a medium in which particles grow and divide as time proceeds, with the growth and splitting of each particle depending only upon its size. The critical case of the equation, in which the growth and division rates balance one another, was considered by Doumic and Escobedo in the homogeneous case where the rates do not depend on the particle size. Here, we study the general self-similar case, using a probabilistic approach based on Lévy processes and positive self-similar Markov processes which also permits us to analyse q…
The main purpose of the paper is an essentially probabilistic analysis of relativistic quantum mechanics. It is based on the assumption that whenever probability distributions arise, there exists a stochastic process that is either responsible for temporal evolution of a given measure or preserves the measure in the stationary case. Our departure point is the so-called Schrödinger problem of probabilistic evolution, which provides for a unique Markov stochastic interpolation between any given pair of boundary probability densities for a process covering a fixed, finite duration of time, provid…
We study the exit problem of solutions of the stochastic differential equation dX(t)=-U'(X(t))dt+epsilon dL(t) from bounded or unbounded intervals which contain the unique asymptotically stable critical point of the deterministic dynamical system dY=-U'(Y) dt. The process L is composed of a standard Brownian motion and a symmetric alpha-stable Levy process. Using probabilistic estimates we show that in the small noise limit epsilon->0, the exit time of X from an interval is an exponentially distributed random variable and determine its expected value. Due to the heavy-tail nature of the alpha-…
This short survey is aimed at sketching the ergodic-theoretic aspects of the author's recent studies on Weyl's eigenvalue asymptotics for a \emph{"geometrically canonical" Laplacian} defined by the author on some self-conformal circle packing fractals including the classical \emph{Apollonian gasket}. The main result being surveyed is obtained by applying Kesten's renewal theorem [\emph{Ann.\ Probab.}\ \textbf{2} (1974), 355--386, Theorem 2] for functionals of Markov chains on general state spaces and provides an alternative probabilistic proof of the result by Oh and Shah [\emph{Invent.\ Math.…
The concept of the $p^{\text{th}}$ variation of a continuous function $f$ along a refining sequence of partitions is the key to a pathwise Itô integration theory with integrator $f$. Here, we analyze the $p^{\text{th}}$ variation of a class of fractal functions, containing both the Takagi--van der Waerden and Weierstraß functions. We use a probabilistic argument to show that these functions have linear $p^{\text{th}}$ variation for a parameter $p\ge1$, which can be interpreted as the reciprocal Hurst parameter of the function. It is shown moreover that if functions are constructed from (a skew…
We consider the dimension and measure of typical attractors of random iterated function systems (RIFSs). We define a RIFS to be a finite set of (deterministic) iterated function systems (IFSs) acting on the same metric space and, for a given RIFS, we define a continuum of random attractors corresponding to each sequence of deterministic IFSs. Much work has been done on computing the 'almost sure' dimensions of these random attractors. Here we compute the typical dimensions (in the sense of Baire) and observe that our results are in stark contrast to those obtained using the probabilistic appro…
We first consider the growth of trees by probabilistic attachment of new vertices to leaves. This leads to a growth model based on vertex clusters and probabilities assigned to clusters. This model turns out to be readily applicable to attachment at any depth of the tree, hence the paper evolves to a general study of tree growth by cluster-based attachment. Drawing inspiration from the concept of intrinsic vertex fitness due to Bianconi and Barabási, we introduce vertex mass as an additive intrinsic vertex attribute. Unlike Bianconi and Barabási who used fitness as a vertex degree multiplier i…
