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Search Results: 1 - 10 of 8937 matches for " Ben Hambly "
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Spectral asymptotics for stable trees
David Croydon,Ben Hambly
Mathematics , 2010,
Abstract: We calculate the mean and almost-sure leading order behaviour of the high frequency asymptotics of the eigenvalue counting function associated with the natural Dirichlet form on $\alpha$-stable trees, which lead in turn to short-time heat kernel asymptotics for these random structures. In particular, the conclusions we obtain demonstrate that the spectral dimension of an $\alpha$-stable tree is almost-surely equal to $2\alpha/(2\alpha-1)$, matching that of certain related discrete models. We also show that the exponent for the second term in the asymptotic expansion of the eigenvalue counting function is no greater than $1/(2\alpha-1)$. To prove our results, we adapt a self-similar fractal argument previously applied to the continuum random tree, replacing the decomposition of the continuum tree at the branch point of three suitably chosen vertices with a recently developed spinal decomposition for $\alpha$-stable trees.
Some notes on trees and paths
Ben Hambly,Terry Lyons
Mathematics , 2008,
Abstract: These notes cover background material on trees which are used in the paper `On uniqueness of the signature of a path of variation and the reduced path group'.
Parabolic Harnack Inequality and Local Limit Theorem for Percolation Clusters
Martin Barlow,Ben Hambly
Mathematics , 2008,
Abstract: We consider the random walk on supercritical percolation clusters in the d-dimensional Euclidean lattice. Previous papers have obtained Gaussian heat kernel bounds, and a.s. invariance principles for this process. We show how this information leads to a parabolic Harnack inequality, a local limit theorem and estimates on the Green's function.
Uniqueness for the signature of a path of bounded variation and the reduced path group
Ben Hambly,Terry Lyons
Mathematics , 2005, DOI: 10.4007/annals.2010.171.109
Abstract: We introduce the notions of tree-like path and tree-like equivalence between paths and prove that the latter is an equivalence relation for paths of finite length. We show that the equivalence classes form a group with some similarity to a free group, and that in each class there is one special tree reduced path. The set of these paths is the Reduced Path Group. It is a continuous analogue to the group of reduced words. The signature of the path is a power series whose coefficients are definite iterated integrals of the path. We identify the paths with trivial signature as the tree-like paths, and prove that two paths are in tree-like equivalence if and only if they have the same signature. In this way, we extend Chen's theorems on the uniqueness of the sequence of iterated integrals associated with a piecewise regular path to finite length paths and identify the appropriate extended meaning for reparameterisation in the general setting. It is suggestive to think of this result as a non-commutative analogue of the result that integrable functions on the circle are determined, up to Lebesgue null sets, by their Fourier coefficients. As a second theme we give quantitative versions of Chen's theorem in the case of lattice paths and paths with continuous derivative, and as a corollary derive results on the triviality of exponential products in the tensor algebra.
Number variance from a probabilistic perspective: infinite systems of independent Brownian motions and symmetric alpha-stable processes
Ben Hambly,Liza Jones
Mathematics , 2006,
Abstract: Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent and saturating number variance behaviour. We derive a general expression for the number variance for the spatial particle configurations arising from these systems and this enables us to deduce various limiting distribution results for the fluctuations of the associated counting functions. In particular, knowledge of the number variance allows us to introduce and characterize a novel family of centered, long memory Gaussian processes. We obtain fractional Brownian motion as a weak limit of these constructed processes.
Heavy tails in last-passage percolation
Ben Hambly,James B. Martin
Mathematics , 2006,
Abstract: We consider last-passage percolation models in two dimensions, in which the underlying weight distribution has a heavy tail of index alpha<2. We prove scaling laws and asymptotic distributions, both for the passage times and for the shape of optimal paths; these are expressed in terms of a family (indexed by alpha) of "continuous last-passage percolation" models in the unit square. In the extreme case alpha=0 (corresponding to a distribution with slowly varying tail) the asymptotic distribution of the optimal path can be represented by a random self-similar measure on [0,1], whose multifractal spectrum we compute. By extending the continuous last-passage percolation model to R^2 we obtain a heavy-tailed analogue of the Airy process, representing the limit of appropriately scaled vectors of passage times to different points in the plane. We give corresponding results for a directed percolation problem based on alpha-stable Levy processes, and indicate extensions of the results to higher dimensions.
Modulus of continuity of a class of monofractal processes
Geoffrey Decrouez,Ben Hambly,Owen Dafydd Jones
Mathematics , 2012,
Abstract: We derive the modulus of continuity of a class of processes called Canonical Embedded Branching Processes (CEBP), recently introduced by Decrouez and Jones, and we establish their monofractal character. CEBP provide a rich class of processes, including the Brownian motion as a particular case. The techniques developed in this study follow the steps of Barlow and Perkins on Brownian motion on a Sierpinski gasket, though complications arise here since CEBP are not Markovian in general.
Convergence of mixing times for sequences of random walks on finite graphs
David Croydon,Ben Hambly,Takashi Kumagai
Mathematics , 2011,
Abstract: We establish conditions on sequences of graphs which ensure that the mixing times of the random walks on the graphs in the sequence converge. The main assumption is that the graphs, associated measures and heat kernels converge in a suitable Gromov-Hausdorff sense. With this result we are able to establish the convergence of the mixing times on the largest component of the Erdos-Renyi random graph in the critical window, sharpening previous results for this random graph model. Our results also enable us to establish convergence in a number of other examples, such as finitely ramified fractal graphs, Galton-Watson trees and the range of a high-dimensional random walk.
Discretely sampled signals and the rough Hoff process
Guy Flint,Ben Hambly,Terry Lyons
Mathematics , 2013,
Abstract: We introduce a canonical method for transforming a discrete sequential data set into an associated rough path made up of lead-lag increments. In particular, by sampling a $d$-dimensional continuous semimartingale $X:[0,1] \rightarrow \mathbb{R}^d$ at a set of times $D=(t_i)$, we construct a piecewise linear, axis-directed process $X^D: [0,1] \rightarrow\mathbb{R}^{2d}$ comprised of a past and future component. We call such an object the Hoff process associated with the discrete data $\{X_{t}\}_{t_i\in D}$. The Hoff process can be lifted to its natural rough path enhancement and we consider the question of convergence as the sampling frequency increases. We prove that the It\^{o} integral can be recovered from a sequence of random ODEs driven by the components of $X^D$. This is in contrast to the usual Stratonovich integral limit suggested by the classical Wong-Zakai Theorem. Such random ODEs have a natural interpretation in the context of mathematical finance.
A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
Ben Hambly,Matthieu Mariapragassam,Christoph Reisinger
Quantitative Finance , 2014,
Abstract: We derive a forward equation for arbitrage-free barrier option prices, in terms of Markovian projections of the stochastic volatility process, in continuous semi-martingale models. This provides a Dupire-type formula for the coefficient derived by Brunick and Shreve for their mimicking diffusion and can be interpreted as the canonical extension of local volatility for barrier options. Alternatively, a forward partial-integro differential equation (PIDE) is introduced which provides up-and-out call prices, under a Brunick-Shreve model, for the complete set of strikes, barriers and maturities in one solution step. Similar to the vanilla forward PDE, the above-named forward PIDE can serve as a building block for an efficient calibration routine including barrier option quotes. We provide a discretisation scheme for the PIDE as well as a numerical validation.
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