We consider a random diffusion dynamics for an infinite system of hard spheres of two different sizes evolving in Rd, its reversible probability measure, and its projection on the subset of the large spheres. The main feature is the occurrence of an attractive short-range dynamical interaction – known in the physics literature as a depletion interaction – between the large spheres, which is induced by the hidden presence of the small ones. By
considering the asymptotic limit for such a system when the density of the particles is high, we also obtain a constructive dynamical approach to the famous discrete geometry problem of maximisation of the contact number of n identical spheres in Rd. As support material, we propose numerical simulations in the form of movies.

Let X be a diffusion in a cone with oblique reflection at the boundary. We study the question whether X reaches a vertex of the cone for a finite time with positive probability. We propose new probabilistic method of investigation connected with the long-term behavior of a diffusion reflected in a cylinder.

Dieses Buch stellt Übungen zu den Grundbegriffen und Grundsätzen der Stochastik und ihre Lösungen zur Verfügung.

So wie man Tonleitern in der Musik trainiert, so berechnet man Übungsaufgaben in der Mathematik. In diesem Sinne soll dieses Übungsbuch vor allem als Vorlage dienen für das eigenständige, eigenverantwortliche Lernen und Üben.

Die Schönheit und Einzigartigkeit der Wahrscheinlichkeitstheorie besteht darin, dass sie eine Vielzahl von realen Phänomenen modellieren kann. Daher findet man hier Aufgaben mit Verbindungen zur Geometrie, zu Glücksspielen, zur Versicherungsmathematik, zur Demographie und vielen anderen Themen.

Die Zeichnerin Gisela Gurr hat einige Aufgaben des Buches mit Illustrationen bereichert.

In this paper we introduce new Birth-and-Death processes with partial catastrophe and study their properties. In particular we obtain some estimates for the mean catastrophe time, and the first and second moments of the distribution of the process at a fixed time t. This is completed by some asymptotic results.

 We study the asymptotic behaviour of a real-valued diffusion whose non-
regular drift is given as a sum of a dissipative term and a bounded measurable one.
We prove that two trajectories of that diffusion converge a.s. to one another at an
exponential explicit rate as soon as the dissipative coefficient is large enough. A
similar result in Lp is obtained.

We construct marked Gibbs point processes in ℝ^d under quite general assumptions. Firstly, we allow for interaction functionals that may be unbounded and whose range is not assumed to be uniformly bounded. Indeed, our typical interaction admits an as finite but random range. Secondly, the random marks - attached to the locations in ℝ^d - belong to a general normed space S. They are not bounded, but their law should admit a super-exponential moment. The approach used here relies on the so-called entropy method and large-deviation tools in order to prove tightness of a family of finite-volume Gibbs point processes. An application to infinite-dimensional interacting diffusions is also presented.

The XI international conference Stochastic and Analytic Methods in Mathematical Physics was held in Yerevan 2 – 7 September 2019 and was dedicated to the memory of the great mathematician Robert Adol’fovich Minlos, who passed away in January 2018. The present volume collects a large majority of the contributions presented at the conference on the following domains of contemporary interest: classical and quantum statistical physics, mathematical methods in quantum mechanics, stochastic analysis, applications of point processes in statistical mechanics. The authors are specialists from Armenia, Czech Republic, Denmark, France, Germany, Italy, Japan, Lithuania, Russia, UK and Uzbekistan. A particular aim of this volume is to offer young scientists basic material in order to inspire their future research in the wide fields presented here.

In this article we consider a family of real-valued diffusion processes on the time interval [0; 1] indexed by their prescribed initial value and another point y in space. We first present a condition on their drift and diffusion coefficients ensuring that the diffusion is pinned in y at time 1. Our main result then concerns the following question: can this family of pinned diffusions be obtained as the bridges either of a Gaussian Markov process or of an Ito diffusion? We eventually illustrate our precise answer with several examples.

Our first result concerns a characterisation by means of  a functional equation of Poisson point processes conditioned by the value of their first moment. It leads to a generalised version of Mecke's formula.  En passant, it also allows to gain quantitative results about stochastic domination for Poisson point processes under linear constraints.
Since bridges of a pure jump Lévy process in R^d with a height h can be interpreted as a Poisson point process on space-time conditioned by pinning its first moment to h, our approach allows us to characterize bridges of Lévy processes by means of a functional equation.
The latter result has two direct applications:
first we obtain a constructive and simple way to sample Lévy bridge dynamics; second it allows to estimate the number of jumps for such bridges. We finally show that our method remains valid for linearly perturbed Lévy processes like periodic Ornstein-Uhlenbeck processes driven by Lévy noise.

L’histoire ne se compose pas uniquement de guerres ou de règnes de monarques. La science a marqué l’histoire grâce à de nombreuses découvertes, passionnantes tant d’un point de vue scientifique qu’historique. Nous connaissons les grands de ce monde dont les découvertes ont façonné notre société : Pierre (1859-1906) et Marie (1867-1934) Curie, Albert Einstein (1879-1955), Nicolas Tesla (1856-1943), Ernest Rutherford (1871-1937) et bien d’autres encore. Wolfgang Döblin (1915-1940) mérite lui aussi toute notre attention car ses travaux mathématiques avant-gardistes sont méconnus, bien qu’ils aient débouché sur des applications importantes dans nombre de domaines tels la finance ou la physique. Sa vie tourmentée fut dense et finit tragiquement.

Wir beschäftigen uns mit Konfigurationen von gleichgroßen Kreisscheiben in einer Ebene, die sich nicht überlappen. Wir sind insbesondere daran interessiert, die Konfiguration(en) zu finden, die eine minimale quadratische Energie besitzen.
In der Tat, ist die genaue Geometrie der optimalen Konfiguration(en) nur für sehr kleine Systeme schon bekannt. Wir schlagen hier eine  wahrscheinlichkeitstheoretische Methode vor, die  effizient für Systeme jeder Größe ist.

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The interdisciplinary workshop STOCHASTIC PROCESSES WITH APPLICATIONS IN THE NATURAL SCIENCES was held in Bogotá, at Universidad de los Andes from December 5 to December 9, 2016. It brought together researchers from Colombia, Germany, France, Italy, Ukraine, who communicated recent progress in the mathematical research related to stochastic processes with application in biophysics. The present volume collects three of the four courses held at this meeting by Angelo Valleriani, Sylvie Rœlly and Alexei Kulik. A particular aim of this collection is to inspire young scientists in setting up research goals within the wide scope of fields represented in this volume.

Angelo Valleriani, PhD in high energy physics, is group leader of the team "Stochastic processes in complex and biological systems" from the Max-Planck-Institute of Colloids and Interfaces, Potsdam.

Sylvie Rœlly, Docteur en Mathématiques, is the head of the chair of Probability at the University of Potsdam.

Alexei Kulik, Doctor of Sciences, is a Leading researcher at the Institute of Mathematics of Ukrainian National Academy of Sciences.

Un pli cacheté, envoyé par Wolfgang Döblin (1915-1940) à l’Académie des Sciences de Paris, mais ouvert seulement en 2000, met en évidence l’avant-gardisme du génie probabiliste du fils de l’écrivain Alfred Döblin (1878-1957), auteur notamment de Berlin, Alexanderplatz. Son inspiration mathématique géniale a puisé ses forces dans l’union des deux écoles française et allemande.

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