The present note deals with large time properties of the Lagrangian trajectories of a turbulent flow in IR and IR. We assume that the flow is driven by an incompressible time-dependent random velocity field with Gaussian statistics. We also assume that the field is homogeneous in space and stationary and Markovian in time. Such velocity fields can be viewed as (possibly infinite dimensional) Or...

Customers arrive at rate N α on a network of N single server infinite buffer queues, choose L queues uniformly, join the shortest one, and are served there in turn at rate β. We let N go to infinity. We prove a functional central limit theorem (CLT) for the tails of the empirical measures of the queue occupations, in a Hilbert space with the weak topology, with limit given by an Ornstein-Uhlenb...

Customers arrive at rate Nα on a network of N single server infinite buffer queues, choose L queues uniformly, join the shortest one, and are served there in turn at rate β. We let N go to infinity. We prove a functional central limit theorem (CLT) for the tails of the empirical measures of the queue occupations, in a Hilbert space with the weak topology, with limit given by an Ornstein-Uhlenbe...

Continuous-time stochastic volatility models are becoming increasingly popular in finance because of their flexibility in accommodating most stylized facts of financial time series. However, their estimation is difficult because the likelihood function does not have a closed-form expression. In this paper we propose a characteristic function-based estimation method for non-Gaussian Ornstein-Uhl...

For an arbitrary Hilbert space-valued Ornstein-Uhlenbeck process we construct the Ornstein-Uhlenbeck Bridge connecting a starting point x and an endpoint y that belongs to a certain linear subspace of full measure. We derive also a stochastic evolution equation satisfied by the OU Bridge and study its basic properties. The OU Bridge is then used to investigate the Markov transition semigroup as...

This article provides entropic inequalities for binomial-Poisson distributions, derived from the two point space. They appear as local inequalities of the M/M/∞ queue. They describe in particular the exponential dissipation of Φ-entropies along this process. This simple queueing process appears as a model of “constant curvature”, and plays for the simple Poisson process the role played by the O...

We consider a bidimensional Ornstein-Uhlenbeck process to describe the tissue microvascularisation in anti-cancer therapy. Data are discrete, partial and noisy observations of this stochastic differential equation (SDE). Our aim is the estimation of the SDE parameters. We use the main advantage of a one-dimensional observation to obtain an easy way to compute the exact likelihood using the Kalm...