Related papers: The Local Time of the Classical Risk Process
We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify…
For an expansionary process, the size of the expansion space will increase. If the expansionary process is time-dependent, time (t) will increase as a function of the increase in the size of the expansion space. A statistical information…
We construct the analogue of the local time -- at a fixed point $x$ -- for Markov processes indexed by Levy trees. We start by proving that Markov processes indexed by Levy trees satisfy a special Markov property which can be thought as a…
This paper considers a proportional hazards model, which allows one to examine the extent to which covariates interact nonlinearly with an exposure variable, for analysis of lifetime data. A local partial-likelihood technique is proposed to…
We develop a timescale synthesis-based probabilistic approach for the modeling of locally stationary signals. Inspired by our previous work, the model involves zero-mean, complex Gaussian wavelet coefficients, whose distribution varies as a…
This paper investigates a variant of the work-stealing algorithm that we call the localized work-stealing algorithm. The intuition behind this variant is that because of locality, processors can benefit from working on their own work.…
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…
To characterize local finite-time properties associated with transient chaos in open dynamical systems, we introduce an escape rate and fractal dimensions suitable for this purpose in a coarse-grained description. We numerically illustrate…
The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in order to introduce the spatial features of damages stemming from…
In this paper, we analyze the asymptotic behavior of the point process of exceedances in a spatio-temporal setting whose points are given by the rescaled occurrence times, the sites and the rescaled values of exceedances. Here, the…
In this paper the Bayesian analysis is applied to assign a probability density to the value of a quantity having a definite sign. This analysis is logically consistent with the results, positive or negative, of repeated measurements.…
Through a regularization procedure, few approximation schemes of the local time of a large class of one dimensional processes are given. We mainly consider the local time of continuous semimartingales and reversible diffusions, and the…
The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of…
For many measure preserving dynamical systems $(\Omega,T,m)$ the successive hitting times to a small set is well approximated by a Poisson process on the real line. In this work we define a new process obtained from recording not only the…
We establish general conditions under which there exists uniform in time convergence between a stochastic process and its approximated system. These standardised conditions consist of a local in time estimate between the original and the…
In this work, a strategy to estimate the information transfer between the elements of a complex system, from the time series associated to the evolution of this elements, is presented. By using the nearest neighbors of each state, the local…
The aim of this paper is to analyze a class of random motions which models the motion of a particle on the real line with random velocity and subject to the action of the friction. The speed randomly changes when a Poissonian event occurs.…
In this article, we consider derivatives of local time for a $(2,d)$-Gaussian field \[ Z=\big\{ Z(t,s)= X^{H_1}_t -\widetilde{X}^{H_2}_s, s,t \ge 0\big\}, \] where $X^{H_1}$ and $\widetilde{X}^{H_2}$ are two independent processes from a…
These short lecture notes contain a not too technical introduction to point processes on the time line. The focus lies on defining these processes using the conditional intensity function. Furthermore, likelihood inference, methods of…
We consider methods for obtaining local lower bounds on characteristics of quantum (correspondingly, classical) systems, i.e. lower bounds valid in the trace norm $\epsilon$-neighborhood of a given state (correspondingly, probability…