Related papers: Fourth Moment Theorems for Markov Diffusion Genera…
The problem to establish not only the asymptotic distribution results for statistical estimators but also the moment convergence of the estimators has been recognized as an important issue in advanced theories of statistics. One of the main…
We expand the off-resonant scattering theory for particle diffusion in magnetized current filaments that can be typically compared to astrophysical jets, including active galactic nucleus jets. In a high plasma beta region where the…
Collisionless Boltzmann equation is used to describe the intensity correlations in partially saturated and fully saturated regimes in terms of photon distribution function in the phase space. Explicit expression for fourth moment of the…
In this paper we define distributions on moment spaces corresponding to measures on the real line with an unbounded support. We identify these distributions as limiting distributions of random moment vectors defined on compact moment spaces…
Diffusion models are loosely modelled based on non-equilibrium thermodynamics, where \textit{diffusion} refers to particles flowing from high-concentration regions towards low-concentration regions. In statistics, the meaning is quite…
For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moment for the most commonly used GARCH models…
The aim of the present paper is to establish the multidimensional counterpart of the \textit{fourth moment criterion} for homogeneous sums in independent leptokurtic and mesokurtic random variables (that is, having positive and zero fourth…
A direct numerical solution of the radiative transfer equation or any kinetic equation is typically expensive, since the radiative intensity depends on time, space and direction. An expansion in the direction variables yields an equivalent…
Spatially-distributed, nonequilibrium chemical systems described by a Markov chain model are considered. The evolution of such systems arises from a combination of local birth-death reactive events and random walks executed by the particles…
Ordinary differential equations obtained as limits of Markov processes appear in many settings. They may arise by scaling large systems, or by averaging rapidly fluctuating systems, or in systems involving multiple time-scales, by a…
The stochastic theory of non-relativistic quantum mechanics presented here relies heavily upon the theory of stochastic processes, with its definitions, theorems and specific vocabulary as well. Its main hypothesis states indeed that the…
The paper is the third of a series dedicated to the ab initio description of monopole giant resonances in mid-mass closed- and open-shell nuclei via the so-called projected generator coordinate method. The present focus is on the…
We introduce the Space-Time Markov Chain Approximation (STMCA) for a general diffusion process on a finite metric graph $\Gamma$. The STMCA is a doubly asymmetric (in both time and space) random walk defined on a subdivisions of $\Gamma$,…
We solve two problems related to the fluctuations of time-integrated functionals of Markov diffusions, used in physics to model nonequilibrium systems. In the first we derive and illustrate the appropriate boundary conditions on the…
We prove a limit theorem for an integral functional of a Markov process. The Markovian dynamics is characterized by a linear Boltzmann equation modeling a one-dimensional test particle of mass $\lambda^{-1}\gg 1$ in an external periodic…
Let $X$ be a centered random variable with unit variance, zero third moment, and such that $E[X^4] \ge 3$. Let $\{F_n : n\geq 1\}$ denote a normalized sequence of homogeneous sums of fixed degree $d\geq 2$, built from independent copies of…
We revisit functional central limit theorems for additive functionals of ergodic Markov diffusion processes. Translated in the language of partial differential equations of evolution, they appear as diffusion limits in the asymptotic…
We develop a theoretical framework for the diffusion of a single unconstrained species of atoms on a crystal lattice that provides a generalization of the classical theories of atomic diffusion and diffusion-induced phase separation to…
Recently a new theory for the transport of energetic particles across a mean magnetic field was presented. Compared to other non-linear theories the new approach has the advantage that it provides a full time-dependent description of the…
In this work, an inverse problem in the fractional diffusion equation with random source is considered. The measurements used are the statistical moments of the realizations of single point data $u(x_0,t,\omega).$ We build the…