Related papers: Multistable processes and localisability
In the present paper, we introduce so-called operator-stable-like processes. Roughly speaking, they behave locally like operator-stable processes, but they need not to be homogenous in space. Having shown existence for this class of…
We consider the class of stationary-increment harmonizable stable processes with infinite control measure, which most notably includes real harmonizable fractional stable motions. We give conditions for the integrability of the paths of…
We advocate a simple multipole expansion of the polarisation density matrix. The resulting multipoles appear as successive moments of the Stokes variables and can be obtained from feasible measurements. In terms of these multipoles, we…
We give a short analytic proof of local large deviations for i.i.d. random variables in the domain of a multivariate $\alpha$-stable law, $\alpha\in(0,1)\cup(1,2]$. Our method simultaneously covers lattice and nonlattice distributions (and…
We derive explicit integrability conditions for stochastic integrals taken over time and space driven by a random measure. Our main tool is a canonical decomposition of a random measure which extends the results from the purely temporal…
Predictive process monitoring is concerned with the analysis of events produced during the execution of a business process in order to predict as early as possible the final outcome of an ongoing case. Traditionally, predictive process…
Regularly varying stochastic processes model extreme dependence between process values at different locations and/or time points. For such processes we propose a two-step parameter estimation of the extremogram, when some part of the domain…
Stationary processes have been extensively studied in the literature. Their applications include modeling and forecasting numerous real life phenomena such as natural disasters, sales and market movements. When stationary processes are…
Multistable distributions, which have been introduced recently by Falconer, L\'evy V\'ehel and their co-authors, are natural generalizations of symmetric "alpha" stable distributions; roughly speaking, they are obtained by replacing the…
In this note we prove the well-posedness for stochastic 2D Navier-Stokes equation driven by general L\'evy processes (in particular, $\alpha$-stable processes), and obtain the existence of invariant measures.
Robust stability and stochastic stability have separately seen intense study in control theory for many decades. In this work we establish relations between these properties for discrete-time systems and employ them for robust control…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…
We present sufficient conditions for the transience and the existence of local times of a Feller process, and the ultracontractivity of the associated Feller semigroup; these conditions are sharp for L\'{e}vy processes. The proof uses a…
In this paper we estimate both the Hurst and the stable indices of a H-self-similar stable process. More precisely, let $X$ be a $H$-sssi (self-similar stationary increments) symmetric $\alpha$-stable process. The process $X$ is observed at…
The paper considers a stabilizing stochastic control which can be applied to a variety of unstable and even chaotic maps. Compared to previous methods introducing control by noise, we relax assumptions on the class of maps, as well as…
A functional limit theorem is established for the partial-sum process of a class of stationary sequences which exhibit both heavy tails and long-range dependence. The stationary sequence is constructed using multiple stochastic integrals…
In this paper, we simulate sample paths of a class of symmetric $\alpha$-stable processes using their series expression. We will develop a result in the approximation of shot-noise series. And finally, we will get a convergence rate for the…
We first establish strong convergence rates for multiscale systems driven by $\alpha$-stable processes, with analyses constructed in two distinct scaling regimes. When addressing weak convergence rates of this system, we derive four…
This topic review communicates working experiences regarding interaction of a multiplicity of processes. Our experiences come from climate change modelling, materials science, cell physiology and public health, and macroeconomic modelling.…