Related papers: Algorithm to estimate the Hurst exponent of high-d…
We study the persistence properties of a fractional Brownian motion whose Hurst exponent is a random variable instead of a fixed constant. For each fixed $H \in (0,1)$, it is well known that the persistence probability of an FBM below a…
Necessary and sufficient conditions for the square-integrability of recently proposed unbiased estimators are established. A geometric characterization of a distribution that optimizes the performance of these estimators is given. An…
This paper discusses a methodology for determining a functional representation of a random process from a collection of scattered pointwise samples. The present work specifically focuses onto random quantities lying in a high dimensional…
Collisionless suspensions of inertial particles (finite-size impurities) are studied in 2D and 3D spatially smooth flows. Tools borrowed from the study of random dynamical systems are used to identify and to characterise in full generality…
An exclusion particle model is considered as a highly simplified model of a limit order market. Its price behavior reproduces the well known crossover from over-diffusion (Hurst exponent H>1/2) to diffusion (H=1/2) when the time horizon is…
In this paper, we study the problem of estimating latent variable models with arbitrarily corrupted samples in high dimensional space ({\em i.e.,} $d\gg n$) where the underlying parameter is assumed to be sparse. Specifically, we propose a…
We apply a recently developed framework for analyzing the convergence of stochastic algorithms to the general problem of large-scale nonconvex composite optimization more generally, and nonconvex likelihood maximization in particular. Our…
A number of phenomena in various fields such as geology, atmospheric sciences, economics, to list a few, can be modeled as a fractional Brownian motion indexed by Hurst exponent $H$. This exponent is related to the degree of regularity and…
In Gatheral et al. 2018, first posted in 2014, volatility is characterized by fractional behavior with a Hurst exponent $H < 0.5$, challenging traditional views of volatility dynamics. Gatheral et al. demonstrated this using realized…
Recently, we have proposed a new diffusive representation for fractional derivatives and, based on this representation, suggested an algorithm for their numerical computation. From the construction of the algorithm, it is immediately…
This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…
This article considers the computational (acoustic) wave propagation in strongly heterogeneous structures beyond the assumption of periodicity. A high contrast between the constituents of microstructured multiphase materials can lead to…
We propose and test a method to interpolate sparsely sampled signals by a stochastic process with a broad range of spatial and/or temporal scales. To this end, we extend the notion of a fractional Brownian bridge, defined as fractional…
We analyze the surface morphology of metals after plastic deformation over a range of scales from 10 nm to 2 mm, using a combination of atomic force microscopy and scanning white-light interferometry. We demonstrate that an initially smooth…
We report on large scale numerical simulations of fracture surfaces using random fuse networks for two very different disorders. There are some properties and exponents that are different for the two distributions, but others, notably the…
The characteristic feature of semi-selfsimilar process is the invariance of its finite dimensional distributions by certain dilation for specific scaling factor. Estimating the scale parameter $\lambda$ and the Hurst index of such processes…
We describe an algorithm for application of the classic `drizzle' technique to produce 3d spectral cubes using data obtained from the slicer-type integral field unit (IFU) spectrometers on board the James Webb Space Telescope. This…
A stochastic algorithm for simulation of fluctuation-induced kinetics of H$_2$ formation on grain surfaces is suggested as a generalization of the technique developed in our recent studies where this method was developed to describe the…
Fractals are geometric shapes that can display complex and self-similar patterns found in nature (e.g., clouds and plants). Recent works in visual recognition have leveraged this property to create random fractal images for model…
We present a fast randomized algorithm that computes a low rank LU decomposition. Our algorithm uses random projections type techniques to efficiently compute a low rank approximation of large matrices. The randomized LU algorithm can be…