Results 1  10
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13
On The Distribution And Asymptotic Results For Exponential Functionals Of Lévy Processes
, 1997
"... . The aim of this note is to study the distribution and the asymptotic behavior of the exponential functional A t := R t 0 e s ds, where ( s ; s 0) denotes a L'evy process. When A1 ! 1, we show that in most cases, the law of A1 is a solution of an integrodifferential equation ; moreover, this ..."
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Cited by 65 (8 self)
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. The aim of this note is to study the distribution and the asymptotic behavior of the exponential functional A t := R t 0 e s ds, where ( s ; s 0) denotes a L'evy process. When A1 ! 1, we show that in most cases, the law of A1 is a solution of an integrodifferential equation ; moreover, this law is characterized by its integral moments. When the process is asymptotically ffstable, we prove that t \Gamma1=ff log A t converges in law, as t !1, to the supremum of an ffstable L'evy process ; in particular, if E [ 1 ] ? 0, then ff = 1 and (1=t) log A t converges almost surely to E [ 1 ]. Eventually, we use Girsanov's transform to give the explicit behavior of E \Theta (a +A t ()) \Gamma1 as t ! 1, where a is a constant, and deduce from this the rate of decay of the tail of the distribution of the maximum of a diffusion process in a random L'evy environment. 1. Introduction We first describe three different sources of interest for exponential functionals of Brownian mot...
On some inequalities for the gamma and psi functions
 MATH. COMP
, 1997
"... We present new inequalities for the gamma and psi functions, and we provide new classes of completely monotonic, starshaped, and superadditive functions which are related to Γ and ψ. Euler’s gamma function Γ(x) = ..."
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Cited by 38 (1 self)
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We present new inequalities for the gamma and psi functions, and we provide new classes of completely monotonic, starshaped, and superadditive functions which are related to Γ and ψ. Euler’s gamma function Γ(x) =
TreeValued Markov Chains Derived From GaltonWatson Processes.
 Ann. Inst. Henri Poincar'e
, 1997
"... Let G be a GaltonWatson tree, and for 0 u 1 let G u be the subtree of G obtained by retaining each edge with probability u. We study the treevalued Markov process (G u ; 0 u 1) and an analogous process (G u ; 0 u 1) in which G 1 is a critical or subcritical GaltonWatson tree conditio ..."
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Cited by 35 (9 self)
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Let G be a GaltonWatson tree, and for 0 u 1 let G u be the subtree of G obtained by retaining each edge with probability u. We study the treevalued Markov process (G u ; 0 u 1) and an analogous process (G u ; 0 u 1) in which G 1 is a critical or subcritical GaltonWatson tree conditioned to be infinite. Results simplify and are further developed in the special case of Poisson() offspring distribution. Running head. Treevalued Markov chains. Key words. Borel distribution, branching process, conditioning, GaltonWatson process, generalized Poisson distribution, htransform, pruning, random tree, sizebiasing, spinal decomposition, thinning. AMS Subject classifications 05C80, 60C05, 60J27, 60J80 Research supported in part by N.S.F. Grants DMS9404345 and 9622859 1 Contents 1 Introduction 2 1.1 Related topics : : : : : : : : : : : : : : : : : : : : : : : : : : : 4 2 Background and technical setup 5 2.1 Notation and terminology for trees : : : : : : : : : : : : : : :...
The Incomplete Gamma Functions Since Tricomi
 In Tricomi's Ideas and Contemporary Applied Mathematics, Atti dei Convegni Lincei, n. 147, Accademia Nazionale dei Lincei
, 1998
"... The theory of the incomplete gamma functions, as part of the theory of conuent hypergeometric functions, has received its rst systematic exposition by Tricomi in the early 1950s. His own contributions, as well as further advances made thereafter, are surveyed here with particular emphasis on asy ..."
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Cited by 15 (1 self)
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The theory of the incomplete gamma functions, as part of the theory of conuent hypergeometric functions, has received its rst systematic exposition by Tricomi in the early 1950s. His own contributions, as well as further advances made thereafter, are surveyed here with particular emphasis on asymptotic expansions, zeros, inequalities, computational methods, and applications.
Brownian Motion, Bridge, Excursion, and Meander Characterized by Sampling at Independent Uniform Times
 ELECTRON. J. PROBAB
, 1999
"... For a random process X consider the random vector defined by the values of X at times 0
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Cited by 12 (3 self)
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For a random process X consider the random vector defined by the values of X at times 0 <U n,1 < ... < U n,n < 1 and the minimal values of X on each of the intervals between consecutive pairs of these times, where the U n,i are the order statistics of n independent uniform (0, 1) variables, independent of X . The joint law of this random vector is explicitly described when X is a Brownian motion. Corresponding results for Brownian bridge, excursion, and meander are deduced by appropriate conditioning. These descriptions yield numerous new identities involving the laws of these processes, and simplified proofs of various known results, including Aldous's characterization of the random tree constructed by sampling the excursion at n independent uniform times, Vervaat's transformation of Brownian bridge into Brownian excursion, and Denisov's decomposition of the Brownian motion at the time of its minimum into two independent Brownian meanders. Other consequences of the sampling formulae a...
On the distribution of ranked heights of excursions of a Brownian bridge
 In preparation
, 1999
"... The distribution of the sequence of ranked maximum and minimum values attained during excursions of a standard Brownian bridge (B br t ; 0 t 1) is described. The height M br+ j of the jth highest maximum over a positive excursion of the bridge has the same distribution as M br+ 1 =j, where th ..."
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Cited by 11 (6 self)
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The distribution of the sequence of ranked maximum and minimum values attained during excursions of a standard Brownian bridge (B br t ; 0 t 1) is described. The height M br+ j of the jth highest maximum over a positive excursion of the bridge has the same distribution as M br+ 1 =j, where the distribution of M br+ 1 = sup 0t1 B br t is given by L'evy's formula P (M br+ 1 ? x) = e \Gamma2x 2 . The probability density of the height M br j of the jth highest maximum of excursions of the reflecting Brownian bridge (jB br t j; 0 t 1) is given by a modification of the known `function series for the density of M br 1 = sup 0t1 jB br t j. These results are obtained from a more general description of the distribution of ranked values of a homogeneous functional of excursions of the standardized bridge of a selfsimilar recurrent Markov process. Keywords: Brownian bridge, Brownian excursion, Brownian scaling, local time, selfsimilar recurrent Markov process, Bessel p...
An O(n) semipredictive universal encoder via the BWT
 IEEE Trans. Inform. Theory
, 2004
"... We provide an O(N) algorithm for a nonsequential semipredictive encoder whose pointwise redundancy with respect to any (unbounded depth) tree source is O(1) bits per state above Rissanen’s lower bound. This is achieved by using the Burrows Wheeler transform (BWT), an invertible permutation transfo ..."
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Cited by 8 (2 self)
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We provide an O(N) algorithm for a nonsequential semipredictive encoder whose pointwise redundancy with respect to any (unbounded depth) tree source is O(1) bits per state above Rissanen’s lower bound. This is achieved by using the Burrows Wheeler transform (BWT), an invertible permutation transform that has been suggested for lossless data compression. First, we use the BWT only as an efficient computational tool for pruning context trees, and encode the input sequence rather than the BWT output. Second, we estimate the minimum description length (MDL) source by incorporating suffix tree methods to construct the unbounded depth context tree that corresponds to the input sequence in O(N) time. Third, we point out that a variety of previous source coding methods required superlinear complexity for determining which tree source state generated each of the symbols of the input. We show how backtracking from the BWT output to the input sequence enables to solve this problem in O(N) worstcase complexity.
NECESSARY AND SUFFICIENT CONDITIONS FOR A FUNCTION INVOLVING DIVIDED DIFFERENCES OF THE DI AND TRIGAMMA FUNCTIONS TO BE COMPLETELY MONOTONIC
, 903
"... Abstract. In the present paper, necessary and sufficient conditions are established for a function involving divided differences of the digamma and trigamma functions to be completely monotonic. Consequently, necessary and sufficient conditions are derived for a function involving the ratio of two g ..."
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Cited by 7 (7 self)
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Abstract. In the present paper, necessary and sufficient conditions are established for a function involving divided differences of the digamma and trigamma functions to be completely monotonic. Consequently, necessary and sufficient conditions are derived for a function involving the ratio of two gamma functions to be logarithmically completely monotonic, and some double inequalities are deduced for bounding divided differences of polygamma functions. 1.
The barnes G function and its relations with sums and products of generalized Gamma variables, in preparation
"... Abstract. We give a probabilistic interpretation for the Barnes Gfunction which appears in random matrix theory and in analytic number theory in the important moments conjecture due to KeatingSnaith for the Riemann zeta function, via the analogy with the characteristic polynomial of random unitary ..."
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Cited by 3 (2 self)
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Abstract. We give a probabilistic interpretation for the Barnes Gfunction which appears in random matrix theory and in analytic number theory in the important moments conjecture due to KeatingSnaith for the Riemann zeta function, via the analogy with the characteristic polynomial of random unitary matrices. We show that the Mellin transform of the characteristic polynomial of random unitary matrices and the Barnes Gfunction are intimately related with products and sums of gamma, beta and loggamma variables. In particular, we show that the law of the modulus of the characteristic polynomial of random unitary matrices can be expressed with the help of products of gamma or beta variables, and that the reciprocal of the Barnes Gfunction has a LévyKhintchin type representation. These results lead us to introduce the so called generalized gamma convolution variables.