Related papers: Indicator fractional stable motions
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…
We consider the sum of two self-similar centred Gaussian processes with different self-similarity indices. Under non-negativity assumptions of covariance functions and some further minor conditions, we show that the asymptotic behaviour of…
Rough volatility models are becoming increasingly popular in quantitative finance. In this framework, one considers that the behavior of the log-volatility process of a financial asset is close to that of a fractional Brownian motion with…
In this paper we study the rate of convergence of the iterates of \iid random piecewise constant monotone maps to the time-$1$ transport map for the process of coalescing Brownian motions. We prove that the rate of convergence is given by a…
In this manuscript, we establish asymptotic local exponential stability of the trivial solution of differential equations driven by H\"older--continuous paths with H\"older exponent greater than $1/2$. This applies in particular to…
We consider the occupation area of spherical (fractional) Brownian motion, i.e. the area where the process is positive, and show that it is uniformly distributed. For the proof, we introduce a new simple combinatorial view on occupation…
This work is devoted to the investigation of the most probable transition path for stochastic dynamical systems driven by either symmetric $\alpha$-stable L\'{e}vy motion ($0<\alpha<1$) or Brownian motion. For stochastic dynamical systems…
It is shown that the second term in the asymptotic expansion as $t\to 0$ of the trace of the semigroup of symmetric stable processes (fractional powers of the Laplacian) of order $\alpha$, for any $0<\alpha<2$, in Lipschitz domains is given…
The stochastic trajectories of molecules in living cells, as well as the dynamics in many other complex systems, often exhibit memory in their path over long periods of time. In addition, these systems can show dynamic heterogeneities due…
We show that the derivative of the intersection and self-intersection local times of alpha-stable processes are exponentially integrable for certain parameter values. This includes the Brownian motion case. We also discuss related results…
We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situations of low and high-frequency observations in a unified…
Fractional Brownian motion (fBm) is an important scale-invariant Gaussian non-Markovian process with stationary increments, which serves as a prototypical example of a system with long-range temporal correlations and anomalous diffusion.…
In this note, we prove an $L^p$ uniform approximation of the fractional Brownian motion with Hurst exponent $0 < H < \frac{1}{2}$ by means of a family of continuous-time random walks imbedded on a given Brownian motion. The approximation is…
We consider Riemann sum approximations of stochastic integrals with respect to the fractional Browian motion of index $H\geq \frac12$. We show the convergence of these schemes at first and second order. The processes obtained in the limit…
In this paper, we introduce the linear fractional self-attracting diffusion driven by a fractional Brownian motion with Hurst index 1/2<H<1, which is analogous to the linear self-attracting diffusion. For 1-dimensional process we study its…
In this paper, we consider a product of a symmetric stable process in $\mathbb{R}^d$ and a one-dimensional Brownian motion in $\mathbb{R}^+$. Then we define a class of harmonic functions with respect to this product process. We show that…
We prove a new result relating solutions of the scaled fractional Allen--Cahn equation to motion by mean curvature flow, motivated by the motion of hybrid zones in populations that exhibit long range dispersal. Our proof is purely…
The Ornstein-Uhlenbeck process can be seen as a paradigm of a finite-variance and statistically stationary rough random walk. Furthermore, it is defined as the unique solution of a Markovian stochastic dynamics and shares the same local…
This work focuses on moderate deviations for two-time scale systems with mixed fractional Brownian motion. Our proof uses the weak convergence method which is based on the variational representation formula for mixed fractional Brownian…
Brownian motion is the only random process which is Gaussian, stationary and Markovian. Dropping the Markovian property, i.e. allowing for memory, one obtains a class of processes called fractional Brownian motion, indexed by the Hurst…