Related papers: Affine processes are regular
The asymptotic behavior for fully coupled multiscale stochastic systems becomes much complicated when the fast processes do not locate in a compact space. An example is constructed to show that the averaged coefficients may become…
Normalizing flows (NFs) provide a powerful tool to construct an expressive distribution by a sequence of trackable transformations of a base distribution and form a probabilistic model of underlying data. Rotation, as an important quantity…
We establish existence of exponential moments and the validity of the affine transform formula for affine jump-diffusions with a general closed convex state space. This extends known results for affine jump-diffusions with a canonical state…
We study a general mass transport model on an arbitrary graph consisting of $L$ nodes each carrying a continuous mass. The graph also has a set of directed links between pairs of nodes through which a stochastic portion of mass, chosen from…
In this paper we develope the main ideas of the quantized version of affinely-rigid (homogeneously deformable) motion. We base our consideration on the usual Schr\"odinger formulation of quantum mechanics in the configuration manifold which…
This article investigates the existence, uniqueness, and regularity of solutions to nonlinear stochastic reaction-diffusion-advection equations (SRDAEs) with spatially homogeneous colored noises and infinitesimal generators of subordinate…
The characteristic functions of multivariate Feller processes with generator of affine type, and with smooth symbol functions have an explicit representation in terms of power series with rational number coefficients and with monmoms…
We consider processes which are functions of finite-state Markov chains. It is well known that such processes are rarely Markov. However, such processes are often regular in the following sense: the distant past values of the process have…
We develop some of the foundations of affinoid pre-adic spaces without Noetherian or finiteness hypotheses. We give some explicit examples of non-adic affinoid pre-adic spaces (including a locally perfectoid one). On the positive side, we…
Functions of one or more variables are usually approximated with a basis: a complete, linearly-independent system of functions that spans a suitable function space. The topic of this paper is the numerical approximation of functions using…
The paper extends core results of behavioral systems theory from linear to affine time-invariant systems. We characterize the behavior of affine time-invariant systems via kernel, input-output, state-space, and finite-horizon data-driven…
Recently in [M. Hairer, M. Hutzenthaler, and A. Jentzen, Ann. Probab. 43, 2 (2015), 468--527] and [A. Jentzen, T. M\"uller-Gronbach, and L. Yaroslavtseva, Commun. Math. Sci. 14, 6 (2016), 1477--1500] stochastic differential equations (SDEs)…
We consider a process given as the solution of a one-dimensional stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. H\"older continuity of the Lebesgue density of…
The paper deals with a question of robustness of inferences, carried out on a continuous-time stationary process contaminated by a small trend, to this departure from stationarity. We show that a smoothed periodogram approach to parameter…
We consider functional differential equations(FDEs) which are perturbations of smooth ordinary differential equations(ODEs). The FDE can involve multiple state-dependent delays or distributed delays (forward or backward). We show that,…
In this note we give a simple sufficient condition for an affine iterated function system to admit an invariant affine subspace persistently with respect to changes in the translation parameters. This yields further examples of tuples of…
We consider a general multivariate affine stochastic recursion and the associated Markov chain on $\mathbb R^{d}$. We assume a natural geometric condition which implies existence of an unbounded stationary solution and we show that the…
We study a kind of modification of an affine domain which produces another affine domain. First appeared in passing in the basic paper of O. Zariski (1942), it was further considered by E.D. Davis (1967). The first named author applied its…
Consider on a manifold the solution $X$ of a stochastic differential equation driven by a L\'evy process without Brownian part. Sufficient conditions for the smoothness of the law of $X_t$ are given, with particular emphasis on noncompact…
We study the asymptotic behavior for an inhomogeneous multiscale stochastic dynamical system with non-smooth coefficients. Depending on the averaging regime and the homogenization regime, two strong convergences in the averaging principle…