Related papers: A supermartingale argument for characterizing the …
We derive theorems which outline explicit mechanisms by which anomalous scaling for the probability density function of the sum of many correlated random variables asymptotically prevails. The results characterize general anomalous scaling…
For numerical semigroups with a specified list of (not necessarily minimal) generators, we obtain explicit asymptotic expressions, and in some cases quasipolynomial/quasirational representations, for all major factorization length…
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find…
We provide a general theorem on the asymptotic behavior of stochastic processes that conform to a relaxed supermartingale condition. The distinguishing feature of our result is that it provides quantitative convergence guarantees at a much…
In this paper, we study the asymptotic behavior of supremum distribution of some classes of iterated stochastic processes $\{X(Y(t)) : t \in [0, \infty)\}$, where $\{X(t) : t \in \mathbb{R} \}$ is a centered Gaussian process and $\{Y(t): t…
Herein we develop a dynamical foundation for fractional Brownian Motion. A clear relation is established between the asymptotic behaviour of the correlation function and diffusion in a dynamical system. Then, assuming that scaling is…
Conditions are given under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance function than the standard empirical process based on observations…
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS…
The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes. The central limit theorem and functional central limit theorem are obtained for martingale like random variables under…
We study a scenario under which variable step random walks give anomalous statistics. We begin by analyzing the Martingale Central Limit Theorem to find a sufficient condition for the limit distribution to be non-Gaussian. We note that the…
We consider a branching random walk in the non-boundary case where the additive martingale $W_n$ converges a.s. and in mean to some non-degenerate limit $W_\infty$. We first establish the joint tail distribution of $W_\infty$ and the global…
Let $E$ be a space of observables in a sequence of trials $\xi_n$ and define $m_n$ to be the empirical distributions of the outcomes. We discuss the almost sure convergence of the sequence $m_n$ in terms of the $\psi$-weak topology of…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…
In the first part of the paper we study stochastic integrals of a nonrandom function with respect to a nonorthogonal Hilbert noise defined on a semiring of subsets of an arbitrary nonempty set. In the second part we apply this construction…
We study the asymptotic behavior of the rank statistic for unimodal sequences. We use analytic techniques involving asymptotic expansions in order to prove asymptotic formulas for the moments of the rank. Furthermore, when appropriately…
The aim of this paper is to use non asymptotic bounds for the probability of rare events in the Sanov theorem, in order to study the asymptotics in conditional limit theorems (Gibbs conditioning principle for thin sets). Applications to…
The main object of investigation in this paper is a very general regression model in optional setting - when an observed process is an optional semimartingale depending on an unknown parameter. It is well-known that statistical data may…
In this paper, martingales related to simple random walks and their maximum process are investigated. First, a sufficient condition under which a function with three arguments, time, the random walk, and its maximum process becomes a…
We deal with a singularly perturbed optimal control problem with slow and fast variable depending on a parameter {\epsilon}. We study the asymptotic, as {\epsilon} goes to 0, of the corresponding value functions, and show convergence, in…
In previous papers, we studied the asymptotic behaviour of $S_N(A,X)=(2N+1)^{-d/2}\sum_{n \in A_N} X_n,$ where $X$ is a centered, stationary and weakly dependent random field, and $A_N=A \cap [-N,N]^d$, $A \subset \mathbb{Z}^d$. This leads…