Related papers: Fractional $P(\phi)_1$-processes and Gibbs measure…

Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…

Occupation time fluctuation limits of particle systems in R^d with independent motions (symmetric stable Levy process, with or without critical branching) have been studied assuming initial distributions given by Poisson random measures…

Fractional generalizations of the Poisson process and branching Furry process are considered. The link between characteristics of the processes, fractional differential equations and Levy stable densities are discussed and used for…

This paper is devoted to parameter estimation for partially observed polynomial state space models. This class includes discretely observed affine or more generally polynomial Markov processes. The polynomial structure allows for the…

We show how H\"older estimates for Feller semigroups can be used to obtain regularity results for solutions to the Poisson equation $Af=g$ associated with the (extended) infinitesimal generator $A$ of a Feller process. The regularity of $f$…

Fractional variation is defined as the limit of the difference quotient of the increments of a function and its argument raised to a fractional power. Fractional velocity can be suitable for characterizing singular behavior of derivatives…

We study conditions so that the determinantal point process $\Lambda_\phi$ associated to a generalized Fock space defined by a doubling subharmonic weight $\phi$ is almost surely a separated sequence in $\mathbb C$. Under a natural…

The paper proposes a formal estimation procedure for parameters of the fractional Poisson process (fPp). Such procedures are needed to make the fPp model usable in applied situations. The basic idea of fPp, motivated by experimental data…

In this article, we consider fractional derivatives of local time for $d-$dimensional centered Gaussian processes satisfying certain strong local nondeterminism property. We first give a condition for existence of fractional derivatives of…

In this paper, we define a fractional negative binomial process (FNBP) by replacing the Poisson process by a fractional Poisson process (FPP) in the gamma subordinated form of the negative binomial process. First, it is shown that the…

Let $(\Sigma_T,\sigma)$ be a subshift of finite type with primitive adjacency matrix $T$, $\psi:\Sigma_T \rightarrow \mathbb{R}$ a H\"older continuous potential, and $\mathcal{A}:\Sigma_T \rightarrow \mathrm{GL}_d(\mathbb{R})$ a 1-typical,…

We present some correlated fractional counting processes on a finite time interval. This will be done by considering a slight generalization of the processes in Borges et al. (2012). The main case concerns a class of space-time fractional…

Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations <x(t)x(s)> ~ t^{2H} + s^{2H} - |t-s|^{2H}, where H, with 0<H<1 is called the Hurst exponent. For H = 1/2, x(t) is a Brownian motion, while for H…

In this paper we study differentiability properties of the map $T\mapsto\phi(T)$, where $\phi$ is a given function in the disk-algebra and $T$ ranges over the set of contractions on Hilbert space. We obtain sharp conditions (in terms of…

In this paper we find a pathwise decomposition of a certain class of Brownian semistationary processes ($\mathcal{BSS}$) in terms of fractional Brownian motions. To do this, we specialize in the case when the kernel of the $\mathcal{BSS}$…

We consider the Cauchy problem for the one-dimensional periodic cubic nonlinear fractional Schr{\"o}dinger equation (FNLS) with initial data distributed via its associated Gibbs measure. We construct global strong solutions with the flow…

The semiclassical theory for the large-N field models is developed from an unusual point of view. Analogously to the procedure of the second quantization in quantum mechanics, the functional Schrodinger large-N equation is presented in a…

We study existence and uniqueness of invariant probability measures for continuous-time Markov processes on general state spaces. Existence is obtained from tightness of time averages under a weak regularity assumption inspired by…

We prove the transfer principle for fractional Ornstein-Uhlenbeck processes, i.e., we construct a Brownian motion that has the same filtration as the fractional Ornstein-Uhlenbeck process and then represent the fractional Ornstein-Uhlenbeck…

Gaussian processes (GPs) offer a flexible class of priors for nonparametric Bayesian regression, but popular GP posterior inference methods are typically prohibitively slow or lack desirable finite-data guarantees on quality. We develop an…