Statistical Skorohod embedding problem and its generalizations

Given a L\'evy process $L$, we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time $T$ based on i.i.d. sample from $L_{T}.$ Our approach is based on the genuine use of the Mellin and Laplace transforms. We propose a consistent estimator for the density of $T,$ derive its convergence rates and prove their optimality. It turns out that the convergence rates heavily depend on the decay of the Mellin transform of $T.$ We also consider the application of our results to the problem of statistical inference for variance-mean mixture models and for time-changed L\'evy processes

Statistical inference for generalized Ornstein-Uhlenbeck processes

In this paper, we consider the problem of statistical inference for generalized Ornstein-Uhlenbeck processes of the type $$X_{t} = e^{-\xi_{t}} \left( X_{0} + \int_{0}^{t} e^{\xi_{u-}} d u \right),$$ where $\xi_s$ is a L{\'e}vy process. Our primal goal is to estimate the characteristics of the L\'evy process $\xi$ from the low-frequency observations of the process $X$. We present a novel approach towards estimating the L{\'e}vy triplet of $\xi,$ which is based on the Mellin transform technique. It is shown that the resulting estimates attain optimal minimax convergence rates. The suggested algorithms are illustrated by numerical simulations.Comment: 32 pages. arXiv admin note: text overlap with arXiv:1312.473

Calculation of some determinants using the s-shifted factorial

Several determinants with gamma functions as elements are evaluated. This kind of determinants are encountered in the computation of the probability density of the determinant of random matrices. The s-shifted factorial is defined as a generalization for non-negative integers of the power function, the rising factorial (or Pochammer's symbol) and the falling factorial. It is a special case of polynomial sequence of the binomial type studied in combinatorics theory. In terms of the gamma function, an extension is defined for negative integers and even complex values. Properties, mainly composition laws and binomial formulae, are given. They are used to evaluate families of generalized Vandermonde determinants with s-shifted factorials as elements, instead of power functions.Comment: 25 pages; added section 5 for some examples of application

Dirichlet random walks

This article provides tools for the study of the Dirichlet random walk in $\mathbb{R}^d$. By this we mean the random variable $W=X_1\Theta_1+\cdots+X_n\Theta_n$ where $X=(X_1,\ldots,X_n) \sim \mathcal{D}(q_1,\ldots,q_n)$ is Dirichlet distributed and where $\Theta_1,\ldots \Theta_n$ are iid, uniformly distributed on the unit sphere of $\mathbb{R}^d$ and independent of $X.$ In particular we compute explicitely in a number of cases the distribution of $W.$ Some of our results appear already in the literature, in particular in the papers by G\'erard Le Ca\"{e}r (2010, 2011). In these cases, our proofs are much simpler from the original ones, since we use a kind of Stieltjes transform of $W$ instead of the Laplace transform: as a consequence the hypergeometric functions replace the Bessel functions. A crucial ingredient is a particular case of the classical and non trivial identity, true for $0\leq u\leq 1/2$:$$_2F_1(2a,2b;a+b+\frac{1}{2};u)= \_2F_1(a,b;a+b+\frac{1}{2};4u-4u^2).$$ We extend these results to a study of the limits of the Dirichlet random walks when the number of added terms goes to infinity, interpreting the results in terms of an integral by a Dirichlet process. We introduce the ideas of Dirichlet semigroups and of Dirichlet infinite divisibility and characterize these infinite divisible distributions in the sense of Dirichlet when they are concentrated on the unit ball of $\mathbb{R}^d.$ {4mm}\noindent \textsc{Keywords:} Dirichlet processes, Stieltjes transforms, random flight, distributions in a ball, hyperuniformity, infinite divisibility in the sense of Dirichlet. {4mm}\noindent \textsc{AMS classification}: 60D99, 60F99

A Stringy Mechanism for A Small Cosmological Constant

Based on the probability distributions of products of random variables, we propose a simple stringy mechanism that prefers the meta-stable vacua with a small cosmological constant. We state some relevant properties of the probability distributions of functions of random variables. We then illustrate the mechanism within the flux compactification models in Type IIB string theory. As a result of the stringy dynamics, we argue that the generic probability distribution for the meta-stable vacua typically peaks with a divergent behavior at the zero value of the cosmological constant. However, its suppression in the single modulus model studied here is modest.Comment: 36 pages, 8 figure

Completeness and Nonclassicality of Coherent States for Generalized Oscillator Algebras

The purposes of this work are (1) to show that the appropriate generalizations of the oscillator algebra permit the construction of a wide set of nonlinear coherent states in unified form; and (2) to clarify the likely contradiction between the nonclassical properties of such nonlinear coherent states and the possibility of finding a classical analog for them since they are P-represented by a delta function. In (1) we prove that a class of nonlinear coherent states can be constructed to satisfy a closure relation that is expressed uniquely in terms of the Meijer G-function. This property automatically defines the delta distribution as the P-representation of such states. Then, in principle, there must be a classical analog for them. Among other examples, we construct a family of nonlinear coherent states for a representation of the su(1,1) Lie algebra that is realized as a deformation of the oscillator algebra. In (2), we use a beam splitter to show that the nonlinear coherent states exhibit properties like anti-bunching that prohibit a classical description for them. We also show that these states lack second order coherence. That is, although the P-representation of the nonlinear coherent states is a delta function, they are not full coherent. Therefore, the systems associated with the generalized oscillator algebras cannot be considered `classical' in the context of the quantum theory of optical coherence.Comment: 26 pages, 10 figures, minor changes, misprints correcte

From duality to determinants for q-TASEP and ASEP

We prove duality relations for two interacting particle systems: the $q$-deformed totally asymmetric simple exclusion process ($q$-TASEP) and the asymmetric simple exclusion process (ASEP). Expectations of the duality functionals correspond to certain joint moments of particle locations or integrated currents, respectively. Duality implies that they solve systems of ODEs. These systems are integrable and for particular step and half-stationary initial data we use a nested contour integral ansatz to provide explicit formulas for the systems' solutions, and hence also the moments. We form Laplace transform-like generating functions of these moments and via residue calculus we compute two different types of Fredholm determinant formulas for such generating functions. For ASEP, the first type of formula is new and readily lends itself to asymptotic analysis (as necessary to reprove GUE Tracy--Widom distribution fluctuations for ASEP), while the second type of formula is recognizable as closely related to Tracy and Widom's ASEP formula [Comm. Math. Phys. 279 (2008) 815--844, J. Stat. Phys. 132 (2008) 291--300, Comm. Math. Phys. 290 (2009) 129--154, J. Stat. Phys. 140 (2010) 619--634]. For $q$-TASEP, both formulas coincide with those computed via Borodin and Corwin's Macdonald processes [Probab. Theory Related Fields (2014) 158 225--400]. Both $q$-TASEP and ASEP have limit transitions to the free energy of the continuum directed polymer, the logarithm of the solution of the stochastic heat equation or the Hopf--Cole solution to the Kardar--Parisi--Zhang equation. Thus, $q$-TASEP and ASEP are integrable discretizations of these continuum objects; the systems of ODEs associated to their dualities are deformed discrete quantum delta Bose gases; and the procedure through which we pass from expectations of their duality functionals to characterizing generating functions is a rigorous version of the replica trick in physics.Comment: Published in at http://dx.doi.org/10.1214/13-AOP868 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org