The Heckman-Opdam Markov processes

We introduce and study the natural counterpart of the Dunkl Markov processes in a negatively curved setting. We give a semimartingale decomposition of the radial part, and some properties of the jumps. We prove also a law of large numbers, a central limit theorem, and the convergence of the normalized process to the Dunkl process. Eventually we describe the asymptotic behavior of the infinite loop as it was done by Anker, Bougerol and Jeulin in the symmetric spaces setting in \cite{ABJ}

On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes

Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary $t\mapsto a+bt,\ a\geq 0,\,b\in \R,$ by a reflecting Brownian motion. The main tool hereby is Doob's formula which gives the probability that Brownian motion started inside a wedge does not hit this wedge. Other key ingredients are the time inversion property of Brownian motion and the time reversal property of diffusion bridges. Secondly, this methodology can also be applied for the three dimensional Bessel process. Thirdly, we consider Bessel bridges from 0 to 0 with dimension parameter $\delta>0$ and show that the probability that such a Bessel bridge crosses an affine boundary is equal to the probability that this Bessel bridge stays below some fixed value.Comment: 32 pages, 2 figure

Rates of convergence of a transient diffusion in a spectrally negative L\'{e}vy potential

We consider a diffusion process $X$ in a random L\'{e}vy potential $\mathbb{V}$ which is a solution of the informal stochastic differential equation \begin{eqnarray*}\cases{dX_t=d\beta_t-{1/2}\mathbb{V}'(X_t) dt,\cr X_0=0,}\end{eqnarray*} ($\beta$ B. M. independent of $\mathbb{V}$). We study the rate of convergence when the diffusion is transient under the assumption that the L\'{e}vy process $\mathbb{V}$ does not possess positive jumps. We generalize the previous results of Hu--Shi--Yor for drifted Brownian potentials. In particular, we prove a conjecture of Carmona: provided that there exists $0<\kappa<1$ such that $\mathbf{E}[e^{\kappa\mathbb{V}_1}]=1$, then $X_t/t^{\kappa}$ converges to some nondegenerate distribution. These results are in a way analogous to those obtained by Kesten--Kozlov--Spitzer for the transient random walk in a random environment.Comment: Published in at http://dx.doi.org/10.1214/009117907000000123 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Short-time asymptotics for marginal distributions of semimartingales

We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We derive in particular the asymptotic behavior of call options with short maturity in a semimartingale model: whereas the behavior of \textit{out-of-the-money} options is found to be linear in time, the short time asymptotics of \textit{at-the-money} options is shown to depend on the fine structure of the semimartingale

Equilibrium for fragmentation with immigration

This paper introduces stochastic processes that describe the evolution of systems of particles in which particles immigrate according to a Poisson measure and split according to a self-similar fragmentation. Criteria for existence and absence of stationary distributions are established and uniqueness is proved. Also, convergence rates to the stationary distribution are given. Linear equations which are the deterministic counterparts of fragmentation with immigration processes are next considered. As in the stochastic case, existence and uniqueness of solutions, as well as existence and uniqueness of stationary solutions, are investigated.Comment: Published at http://dx.doi.org/10.1214/105051605000000340 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Scattering rates and lifetime of exact and boson excitons

Although excitons are not exact bosons, they are commonly treated as such provided that their composite nature is included in effective scatterings dressed by exchange. We here \emph{prove} that, \emph{whatever these scatterings are}, they cannot give both the scattering rates $T_{ij}^{-1}$ and the exciton lifetime $\tau_0$, correctly: A striking factor 1/2 exists between $\tau_0^{-1}$ and the sum of $T_{ij}^{-1}$'s, which originates from the composite nature of excitons, irretrievably lost when they are bosonized. This result, which appears as very disturbing at first, casts major doubts on bosonization for problems dealing with \emph{interacting} excitons

Theory of spin precession monitored by laser pulse

We first predict the splitting of a spin degenerate impurity level when this impurity is irradiated by a circularly polarized laser beam tuned in the transparency region of a semiconductor. This splitting, which comes from different exchange processes between the impurity electron and the virtual pairs coupled to the pump beam, induces a spin precession around the laser beam axis, which lasts as long as the pump pulse. It can thus be used for ultrafast spin manipulation. This effect, which has similarities with the exciton optical Stark effect we studied long ago, is here derived using the concepts we developed very recently to treat many-body interactions between composite excitons and which make the physics of this type of effects quite transparent. They, in particular, allow to easily extend this work to other experimental situations in which a spin rotates under laser irradiation.Comment: 12 pages + 1 figur

Peintures italiennes du patrimoine français

Une sélection de réattributions et de découvertes récentes des services des Monuments historiques et de l’Inventaire général. Résumé de la conférence donnée le 9 mai 2000 à l’Institut national d’Histoire de l’Art, dans le cadre des « mardis » de l’Inventaire. Par sa qualité et son rayonnement international, la peinture italienne constitue un sujet d’étude privilégié. Depuis une trentaine d’années, le domaine connaît un renouvellement permanent, tant en Italie qu’en France ou dans d’autres pay..

Zeros of Dirichlet series with periodic coefficients

Let $a=(a_n)_{n\ge 1}$ be a periodic sequence, $F_a(s)$ the meromorphic continuation of $\sum_{n\ge 1} a_n/n^s$, and $N_a(\sigma_1, \sigma_2, T)$ the number of zeros of $F_a(s)$, counted with their multiplicities, in the rectangle $\sigma_1 < \Re s < \sigma_2$, $|\Im s | \le T$. We extend previous results of Laurin\v{c}ikas, Kaczorowski, Kulas, and Steuding, by showing that if $F_a(s)$ is not of the form $P(s) L_{\chi} (s)$, where $P(s)$ is a Dirichlet polynomial and $L_{\chi}(s)$ a Dirichlet L-function, then there exists an $\eta=\eta(a)>0$ such that for all $1/2 < \sigma_1 < \sigma_2 < 1+\eta$, we have $c_1 T \le N_a(\sigma_1, \sigma_2, T) \le c_2 T$ for sufficiently large $T$, and suitable positive constants $c_1$ and $c_2$ depending on $a$, $\sigma_1$, and $\sigma_2$.Comment: 12 pages, 1 figur

How to make Dupire's local volatility work with jumps

There are several (mathematical) reasons why Dupire's formula fails in the non-diffusion setting. And yet, in practice, ad-hoc preconditioning of the option data works reasonably well. In this note we attempt to explain why. In particular, we propose a regularization procedure of the option data so that Dupire's local vol diffusion process recreates the correct option prices, even in manifest presence of jumps