Martingales and Rates of Presence in Homogeneous Fragmentations

Nathalie Krell (1) , Alain Rouault (2)

1 IRMAR - Institut de Recherche Mathématique de Rennes
2 LMV - Laboratoire de Mathématiques de Versailles

The main focus of this work is the asymptotic behavior of mass-conservative homogeneous fragmentations. Considering the logarithm of masses makes the situation reminiscent of branching random walks. The standard approach is to study {\bf asymptotical} exponential rates. For fixed $v > 0$, either the number of fragments whose sizes at time $t$ are of order $\e^{-vt}$ is exponentially growing with rate $C(v) > 0$, i.e. the rate is effective, or the probability of presence of such fragments is exponentially decreasing with rate $C(v) < 0$, for some concave function $C$. In a recent paper, N. Krell considered fragments whose sizes decrease at {\bf exact} exponential rates, i.e. whose sizes are confined to be of order $\e^{-vs}$ for every $s \leq t$. In that setting, she characterized the effective rates. In the present paper we continue this analysis and focus on probabilities of presence, using the spine method and a suitable martingale.

Mots clés: fragmentation; Lévy process; martingales; probability tilting

Domaines: Probabilités [math.PR]

Nathalie Krell, Alain Rouault. Martingales and Rates of Presence in Homogeneous Fragmentations. Stochastic Processes and their Applications, 2011, 121 (1), pp.135-154. ⟨10.1016/j.spa.2010.09.005⟩. ⟨hal-00374031v3⟩