Related papers: Realized Laplace transforms for pure-jump semimart…
Pure-jump L\'evy processes are popular classes of stochastic processes which have found many applications in finance, statistics or machine learning. In this paper, we propose a novel family of self-decomposable L\'evy processes where one…
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the prop- erties are (approximately) constant for some time and then slowly…
For local martingales with nonnegative jumps, we prove a sufficient criterion for the corresponding exponential martingale to be a true martingale. The criterion is in terms of exponential moments of a convex combination of the optional and…
We generate the fractional Poisson process by subordinating the standard Poisson process to the inverse stable subordinator. Our analysis is based on application of the Laplace transform with respect to both arguments of the evolving…
The recent availability of large databases allows to study macroscopic properties of many complex systems. However, inferring a model from a fit of empirical data without any knowledge of the dynamics might lead to erroneous interpretations…
Our goal is to estimate the characteristic exponent of the input to a L\'evy-driven storage system from a sample of equispaced workload observations. The estimator relies on an approximate moment equation associated with the…
We develop a stochastic model for Lagrangian velocity as it is observed in experimental and numerical fully developed turbulent flows. We define it as the unique statistically stationary solution of a causal dynamics, given by a stochastic…
The statistical properties of fluid particles transported by a fully developed turbulent flow are investigated by means of high resolution direct numerical simulations. Single trajectory statistics is investigated in a time range spanning…
This article investigates discrete-time approximations of stochastic integrals driven by semimartingales with jumps via weighted bounded mean oscillation (BMO) approach. This approach enables $L_p$-estimates, $p \in (2, \infty)$, for the…
Using a hierarchical construction, we develop methods for a wide and flexible class of models by taking a fully parametric approach to generalized linear mixed models with complex covariance dependence. The Laplace approximation is used to…
This paper considers the problem of learning, from samples, the dependency structure of a system of linear stochastic differential equations, when some of the variables are latent. In particular, we observe the time evolution of some…
This paper discusses the possibility to find and construct \textit{piecewise constant martingales}, that is, martingales with piecewise constant sample paths evolving in a connected subset of $\mathbb{R}$. After a brief review of standard…
This note illustrates how a simple random walk with possibly long jumps is related to fractional powers of the Laplace operator. The exposition is elementary and self-contained.
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…
We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results, we show that if the semimartingale has conditionally…
The transfer operator associated to a flow (continuous time dynamical system) is a one-parameter operator semigroup. We consider the operator-valued Laplace transform of this one-parameter semigroup. Estimates on the Laplace transform have…
Convergence properties of model-free two-timescale asymptotic simulations of singularly perturbed hybrid inclusions are developed. A hybrid inclusion combines constrained differential and difference inclusions to capture continuous (flow)…
This paper is devoted to the offline multiple changes detection for long-range dependence processes. The observations are supposed to satisfy a semi-parametric long-range dependence assumption with distinct memory parameters on each stage.…
The time evolution of random variables with L\'evy statistics has the ability to develop jumps, displaying very different behaviors from continuously fluctuating cases. Such patterns appear in an ever broadening range of examples including…
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular controls are considered in our formula. In virtue of the…