Foundations of modern probability
The monograph is a comprehensive treatment of large parts of probability theory from the basic theory to advanced subjects -- mainly in stochastic analysis. There are chapters on elements of measure theory (including the construction of Lebesgue's integral), convergence concepts for r.v.'s, processes and measures, characteristic functions, conditional expectations and disintegration, renewal theory (on \(\mathbb{R}\)) and random walks, (subadditive) ergodic theorems, point processes, Skorokhod embedding and invariance principles, Feller processes and semigroups. A substantial part of the book is devoted to stochastic analysis from martingale theory to the general theory of stochastic integration w.r.t. (possibly) discontinuous semimartingales and the Bichteler-Dellacherie theorem. Further, stochastic differential equations (strong and weak solutions) with a special chapter on one-dimensional equations, Ray-Knight theorems, additive functionals and the connection to PDEs and potential theory are treated. All results (with the exception of a few theorems in the appendix such as the projection theorem) are presented with proofs. The book is very carefully written. Occasionally new and shorter and/or more elegant proofs are provided even for classical results. Topics which are not covered (and which the author regrets not to have covered) are large deviations, Gibbs measures, stochastic differential geometry, Malliavin calculus and branching and superprocesses. It is truly surprising how much material the author has managed to cover in the book. Of course a certain price had to be paid: proofs are often very concise and examples are not numerous. Therefore beginners in probability theory may find the book too hard to follow. On the other hand more advanced readers are likely to regard the book as an ideal reference. Indeed the monograph has the potential to become a (possibly even ``the) major reference book on large parts of probability theory for the next decade or more.
- Itô type measure-valued stochastic differential equations
- Poisson cluster measures: Quasi-invariance, integration by parts and equilibrium stochastic dynamics
- Bounds for the transition density of time-homogeneous diffusion processes
- Optimal and better transport plans
- A decomposition of Markov processes via group actions
- Measure-valued flows given consistent exchangeable families
- A general definition of conditional information and its application to ergodic decomposition
- A test for independence of two multivariate samples
- A general multidimensional Hermite-Hadamard type inequality
- Internal supply chain coordination in the electric utility industry
- On the fluctuations about the Vlasov limit for \(N\)-particle systems with mean-field interactions
- The stability of conditional Markov processes and Markov chains in random environments
- Quasi-stationary distributions and diffusion models in population dynamics
- On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
- Nearest neighbor conditional estimation for Harris recurrent Markov chains
- Small-time expansions for the transition distributions of Lévy processes
- Integral expressions of Lyapunov exponents for autonomous ordinary differential systems
- The Cauchy problem and the martingale problem for integro-differential operators with non-smooth kernels
- Robustness of exponential stability of a class of stochastic functional differential equations with infinite delay
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- A Cox process with log-normal intensity.
- On the number of near-maximum insurance claim under dependence.
- Weak and strong uniform consistency of a kernel error density estimator in nonparametric regression
- Ballot theorems and sojourn laws for stationary processes
- Asymptotically invariant sampling and averaging
- Brownian motion and random walk above quenched random wall
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- Maximum asymmetry of copulas revisited
- Distributed testing and estimation under sparse high dimensional models
- KPZ and Airy limits of Hall-Littlewood random plane partitions
- Polynomial chaos expansion approach to interest rate models
- Exchangeable trait allocations
- The Brownian limit of separable permutations
- On the mixing time of Kac's walk and other high-dimensional Gibbs samplers with constraints
- On the length of copula level curves
- Strong Feller property of sticky reflected distorted Brownian motion
- Probabilistic properties of generalized stochastic processes in algebras of generalized functions
- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
- A maximum principle for mean-field SDEs with time change
- Expected similarity estimation for large-scale batch and streaming anomaly detection
- On the supremum of a Brownian bridge standardized by its maximizing point with applications to statistics
- A couple of remarks on the convergence of \(\sigma\)-fields on probability spaces
- Weak law of large numbers for linear processes
- Special weak Dirichlet processes and BSDEs driven by a random measure
- A structured population model suggests that long life and post-reproductive lifespan promote the evolution of cooperation
- Particle Gaussian mixture filters. I.
- Asymptotic behavior of positive solutions of a competitive system subject to environmental noise
- Martingale solutions for the three-dimensional stochastic nonhomogeneous incompressible Navier-Stokes equations driven by Lévy processes
- Canonical RDEs and general semimartingales as rough paths
- Impact of demography on extinction/fixation events
- Statistical estimation of the Shannon entropy
- Change-point detection for Lévy processes
- Stable limit theorems for empirical processes under conditional neighborhood dependence
- From random partitions to fractional Brownian sheets
- SPDE limit of the global fluctuations in rank-based models
- On patterns of conditional independences and covariance signs among binary variables
- The greedy walk on an inhomogeneous Poisson process
- Duality and fixation in \(\Xi\)-Wright-Fisher processes with frequency-dependent selection
- Stopping times
- De Finetti-type theorems for nonexchangeable \(0\)-\(1\) random variables
- Bivariate maximum insurance claim and related point processes
- Structure of large random hypergraphs
- Continuity and boundedness of infinitely divisible processes: A Poisson point process approach
- Stochastic integral operator model for IS, US and WSSUS channels
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Segregating Markov chains
- Palm measure duality and conditioning in regenerative sets
- Convergence results for a normalized triangular array of symmetric random variables
- Remarks on domination of maxima
- Limit distributions of norms of vectors of positive i. i. d. random variables
- On stochastic differential equations driven by a Cauchy process and other stable Lévy motions
- Laws of the iterated logarithm for the range of random walks in two and three dimensions
- Theory and numerical analysis for exact distributions of functionals of a Dirichlet process
- Flows, coalescence and noise.
- Exact asymptotics for boundary crossings of the Brownian bridge with trend with application to the Kolmogorov test
- On multivariate Gaussian tails
- Sample path large deviations for diffusion processes on configuration spaces over a Riemannian manifold
- Local hitting and conditioning in symmetric interval partitions.
- Variation analysis of uncertain stationary independent increment processes
- Crossings of smooth shot noise processes
- Stochastic functional differential equations driven by Lévy processes and quasi-linear partial integro-differential equations
- Consistent nonparametric Bayesian inference for discretely observed scalar diffusions
- Small and large time stability of the time taken for a Lévy process to cross curved boundaries
- Distributional convergence for the number of symbol comparisons used by QuickSort
- Martingale solution to equations for differential type fluids of grade two driven by random force of Lévy type
- Symmetric representations of bivariate distributions
- Projective limit random probabilities on Polish spaces
- A new order relation on fuzzy soft sets and its application
- Convergence rates for rank-based models with applications to portfolio theory
- Some limit results for probabilities estimates of Brownian motion with polynomial drift
- The Wright-Fisher model with efficiency
- Flux large deviations of independent and reacting particle systems, with implications for macroscopic fluctuation theory
- Non-explosivity of stochastically modeled reaction networks that are complex balanced
- Diffusion limit for the partner model at the critical value
- The Euler equations of an inviscid incompressible fluid driven by a Lévy noise
- Moderate parts in regenerative compositions: the case of regular variation
- Operations that preserve integrability, and truncated Riesz spaces
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- On the moments of the (2+1)-dimensional directed polymer and stochastic heat equation in the critical window
- Observables on lexicographic effect algebras
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