Related papers: 2-microlocal analysis of martingales and stochasti…
Let $X$ and $Y$ denote two independent squared Bessel processes of dimension $m$ and $n-m$, respectively, with $n\geq 2$ and $m \in [0, n)$, making $X+Y$ a squared Bessel process of dimension $n$. For appropriately chosen function $s$, the…
We show that one can perform causal inference in a natural way for continuous-time scenarios using tools from stochastic analysis. This provides new alternatives to the positivity condition for inverse probability weighting. The probability…
In this work we introduce a theory of stochastic integration with respect to general cylindrical semimartingales defined on a locally convex space $\Phi$. Our construction of the stochastic integral is based on the theory of tensor products…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
A particular type of random dynamical processes is considered, in which the stochasticity is introduced through randomly fluctuating parameters. A method of local multipliers is developed for treating the local stability of such dynamical…
We study a notion of local time for a continuous path, defined as a limit of suitable discrete quantities along a general sequence of partitions of the time interval. Our approach subsumes other existing definitions and agrees with the…
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…
In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done…
We give sufficient criteria for the Dol\'eans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are adapted particularly to the case of counting processes and…
We introduce a powerful and flexible MCMC algorithm for stochastic simulation. The method builds on a pseudo-marginal method originally introduced in [Genetics 164 (2003) 1139--1160], showing how algorithms which are approximations to an…
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…
We study the local regularity and multifractal nature of the sample paths of jump diffusion processes, which are solutions to a class of stochastic differential equations with jumps. This article extends the recent work of Barral {\it et…
For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…
We characterize weakly harmonic maps with respect to non-local Dirichlet forms by Markov processes and martingales. In particular, we can obtain discontinuous martingales on Riemannian manifolds from the image of symmetric stable processes…
The estimation of parameters in the frequency spectrum of a seasonally persistent stationary stochastic process is addressed. For seasonal persistence associated with a pole in the spectrum located away from frequency zero, a new…
Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This…
In this paper, by extending the classic stochastic integrals, we investigate three kinds of more general stochastic integrals: Lebesgue-Stieltjes integrals on predictable sets of interval type (in short: PSITs), stochastic integrals on…
The purpose of the present work is twofold. First, we develop the theory of general self-similar growth-fragmentation processes by focusing on martingales which appear naturally in this setting and by recasting classical results for…
We propose a framework for computing, optimizing and integrating with respect to a smooth marginal likelihood in statistical models that involve high-dimensional parameters/latent variables and continuous low-dimensional hyperparameters.…
New proofs are given of the existence of the compensator (or dual predictable projection) of a locally integrable c\'adl\'ag adapted process of finite variation and of the existence of the quadratic variation process for a c\'adl\'ag local…