Related papers: On affine interest rate models
Particles are either bosons or fermions, which obey Bose-Einstein (BE) or Fermi-Dirac statistics, respectively. In the hadronization process the effects of the former kind are the most important ones, since mesons are the most common…
Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter $H \in (0, 1)$ called the Hurst index. The use of time-changed processes in modeling often requires the…
It is shown that stochastic processes of diffusion type possess, in all generality, a structure of uncertainty relations and of coherent and squeezed states. This fact is used to obtain, via Nelson stochastic formulation of quantum…
Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems. The…
We investigate theoretically the emergence of classical statistical physics in a finite quantum system that is either totally isolated or otherwise subjected to a quantum measurement process. We show via a random matrix theory approach to…
We put forward a complete theory on moment explosion for fairly general state-spaces. This includes a characterization of the validity of the affine transform formula in terms of minimal solutions of a system of generalized Riccati…
A new multi-factor short rate model is presented which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein--Uhlenbeck processes such that the related bond…
We address diffusion processes in a bounded domain, while focusing on somewhat unexplored affinities between the presence of absorbing and/or inaccessible boundaries. For the Brownian motion (L\'{e}vy-stable cases are briefly mentioned)…
The theory of ``Markov-up'' processes is being developed. This is a new class of stochastic processes with ``partial'' markovian features; it could also be called ``one-sided Markov''. Such a behavior may be found in the real world and in…
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…
In certain applications, for instance biomechanics, turbulence, finance, or Internet traffic, it seems suitable to model the data by a generalization of a fractional Brownian motion for which the Hurst parameter $H$ is depending on the…
In this article we investigate the properties of Bernstein processes generated by infinite hierarchies of forward-backward systems of decoupled linear deterministic parabolic partial differential equations defined in Rd, where d is…
The Bernstein wave is a well-known electrostatic eigen-mode in magnetized plasmas, and it is of broad connection to multiple disciplines, such as controlled nuclear fusions and astrophysics. In this work, we extend the Bernstein mode from…
In this paper we introduce a general stochastic representation for an important class of processes with resetting. It allows to describe any stochastic process intermittently terminated and restarted from a predefined random or non-random…
We study fluctuations of small noise multiscale diffusions around their homogenized deterministic limit. We derive quantitative rates of convergence of the fluctuation processes to their Gaussian limits in the appropriate Wasserstein metric…
We analyze the posterior contraction rates of parameters in Bayesian models via the Langevin diffusion process, in particular by controlling moments of the stochastic process and taking limits. Analogous to the non-asymptotic analysis of…
Starting from the notion of multivariate fractional Brownian Motion introduced in [F. Lavancier, A. Philippe, and D. Surgailis. Covariance function of vector self-similar processes. Statistics & Probability Letters, 2009] we define a…
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent…
This work is devoted to the Lipschitz contraction and the long time behavior of certain Markov processes. These processes diffuse and jump. They can represent some natural phenomena like size of cell or data transmission over the Internet.…
This paper studies quasi Bayesian estimation and uncertainty quantification for an unknown function that is identified by a nonparametric conditional moment restriction. We derive contraction rates for a class of Gaussian process priors.…