Related papers: Exact L_2-Small Deviation Asymptotics for Some Bro…

We prove strong small deviations results for Brownian motion under independent time-changes satisfying their own asymptotic criteria. We then apply these results to certain stochastic integrals which are elements of second-order homogeneous…

We prove a new variant of comparison principle for logarithmic $L_2$-small ball probabilities of Gaussian processes. As an application, we obtain logarithmic small ball asymptotics for some well-known processes with smooth covariances.

We study the two-dimensional fractional Brownian motion with Hurst parameter $H>{1/2}$. In particular, we show, using stochastic calculus, that this process admits a skew-product decomposition and deduce from this representation some…

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…

Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In this paper we consider two such likelihood ratios. The first one is an…

The main results in this paper concern large deviations for families of non-Gaussian processes obtained as suitable perturbations of continuous centered multivariate Gaussian processes which satisfy a large deviation principle. We present…

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…

We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic…

The purpose of this note is to collect in one place a few results about simple random walk and Brownian motion which are often useful. These include standard results such as Beurling estimates, large deviation estimates, and a method for…

For a multivariate random walk with i.i.d. jumps satisfying the Cramer moment condition and having a mean vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant…

We derive the precise asymptotic distributional behavior of Gaussian variational approximate estimators of the parameters in a single-predictor Poisson mixed model. These results are the deepest yet obtained concerning the statistical…

We obtain results on both weak and almost sure asymptotic behaviour of power variations of a linear combination of independent Wiener process and fractional Brownian motion. These results are used to construct strongly consistent parameter…

We consider nonlinear filters for diffusion processes when the observation and signal noises are small and of the same order. As the noise intensities approach zero, the nonlinear filter can be approximated by a certain variational problem…

For $\{B_H(t)= (B_{H,1}(t), \ldots, B_{H,d}(t))^\top,t\ge0\}$, where $\{B_{H,i}(t),t\ge 0\}, 1\le i\le d$ are mutually independent fractional Brownian motions, we obtain the exact asymptotics of $$ \mathbb P (\exists t\ge 0: A B_{H}(t) -…

We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced…

We prove comparison theorems for small ball probabilities of the Green Gaussian processes in weighted $L_2$-norms. We find the sharp small ball asymptotics for many classical processes under quite general assumptions on the weight.

This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p$-multivariate self-similar Gaussian…

In this work we introduce correlated random walks on $\Z$. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is…

Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the…

In this short note, we build upon some recent results to present a precise expression for the asymptotic variance of the Euler-Poincar\'e characteristic for the excursion sets of Gaussian eigenfunctions on ${\cal S}^2$.