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Anastasia Ruzmaikina

Publications and source records attributed to Anastasia Ruzmaikina.

2 recordsLinked to original sources

Characterization of invariant measures at the leading edge for competing particle systems

We study systems of particles on a line which have a maximum, are locally finite and evolve with independent increments. ``Quasi-stationary states'' are defined as probability measures, on the σ-algebra generated by the gap variables, for which joint distribution of gaps between particles is invariant under the time evolution. Examples are provided by Poisson processes with densities of the form ρ(dx)=e^{-sx}s dx, with s>0, and linear superpositions of such measures. We show that, conversely, any quasi-stationary state for the independent dynamics, with an exponentially bounded integrated density of particles, corresponds to a superposition of Poisson processes with densities ρ(dx)=e^{-sx}s dx with s>0, restricted to the relevant σ-algebra. Among the systems for which this question is of some relevance are spin-glass models of statistical mechanics, where the point process represents the collection of the free energies of distinct ``pure states,'' the time evolution corresponds to the addition of a spin variable and the Poisson measures described above correspond to the so-called REM states.

math.PR↗

Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion

We give a new estimate on Stieltjes integrals of Hölder continuous functions and use it to prove an existence-uniqueness theorem for solutions of ordinary differential equations with Hölder continuous forcing. We construct stochastic integrals with respect to fractional Brownian motion, and establish sufficient conditions for its existence. We prove that stochastic differential equations with fractional Brownian motion have a unique solution with probability 1 in certain classes of Hölder-continuous functions. We give tail estimates of the maximum of stochastic integrals from tail estimates of the Hölder coefficient of fractional Brownian motion. In addition we apply the techniques used for ordinary Brownian motion to construct stochastic integrals of deterministic functions with respect to fractional Brownian motion and give tail estimates of its maximum.

math.PR↗