Related papers: Generalized Hermite processes, discrete chaos and …
We consider the minor process of (Hermitian) matrix diffusions with constant diagonal drifts. At any given time, this process is determinantal and we provide an explicit expression for its correlation kernel. This is a measure on the…
We establish a new class of functional central limit theorems for partial sum of certain symmetric stationary infinitely divisible processes with regularly varying L\'{e}vy measures. The limit process is a new class of symmetric stable…
This paper introduces a new generalized polynomial chaos expansion (PCE) comprising multivariate Hermite orthogonal polynomials in dependent Gaussian random variables. The second-moment properties of Hermite polynomials reveal a weakly…
Homogeneous normalized random measures with independent increments (hNRMIs) represent a broad class of Bayesian nonparametric priors and thus are widely used. In this paper, we obtain the strong law of large numbers, the central limit…
Let $G=\{G(x),x\ge 0\}$ be a mean zero Gaussian process with stationary increments and set $\sigma^2(|x-y|)= E(G(x)-G(y))^2$. Let $f$ be a function with $Ef^{2}(\eta)<\ff$, where $\eta=N(0,1)$. When $\sigma^2$ is regularly varying at zero…
We prove that the long-run behavior of Hawkes processes is fully determined by the average number and the dispersion of child events. For subcritical processes we provide FLLNs and FCLTs under minimal conditions on the kernel of the process…
The confluent hypergeometric point process represents a universality class which arises in a variety of different but related areas. It particularly describes the local statistics of eigenvalues in the bulk of spectrum near a Fisher-Hartwig…
This work reports and classifies the most general construction of rational quantum potentials in terms of the generalized Hermite polynomials. This is achieved by exploiting the intrinsic relation between third-order shape-invariant…
This paper provides and extends second-order versions of several fundamental theorems on first-order regularly varying functions such as Karamata's theorem/representation and Tauberian's theorem. Our results are used to establish…
The holomorphic multiplicative chaos (HMC) is a holomorphic analogue of the Gaussian multiplicative chaos. It arises naturally as the limit in large matrix size of the characteristic polynomial of Haar unitary, and more generally…
Gaussian processes (GP) are widely used as a metamodel for emulating time-consuming computer codes. We focus on problems involving categorical inputs, with a potentially large number L of levels (typically several tens), partitioned in G <<…
This paper studies a suitably normalized set of generalized Hermite polynomials and sets down a relevant Mehler formula, Rodrigues formula, and generalized translation operator. Weighted generalized Hermite polynomials are the…
We consider determinantal point processes on a compact complex manifold X in the limit of many particles. The correlation kernels of the processes are the Bergman kernels associated to a a high power of a given Hermitian holomorphic line…
The paper considers probability distribution, density, conditional distribution and density and conditional moments as well as their kernel estimators in spaces of generalized functions. This approach does not require restrictions on…
A class of pseudo-hermitian quantum system with an explicit form of the positive-definite metric in the Hilbert space is presented. The general method involves a realization of the basic canonical commutation relations defining the quantum…
We consider functionals of long-range dependent Gaussian sequences with infinite variance and obtain nonstandard limit theorems. When the long-range dependence is strong enough, the limit is a Hermite process, while for weaker long-range…
The area of fractional calculus has made its way into various pure and applied scientific fields, as evidenced by its integration into numerous disciplines. An increasing number of researchers are exploring various approaches to…
The Rosenblatt process is a self-similar non-Gaussian process which lives in second Wiener chaos, and occurs as the limit of correlated random sequences in so-called \textquotedblleft non-central limit theorems\textquotedblright. It shares…
Multivariate Bessel processes are classified via associated root systems and positive multiplicity constants. They describe the dynamics of interacting particle systems of Calogero-Moser-Sutherland type. Recently, Andraus, Katori, and…
In the paper [25], written in collaboration with Gesine Reinert, we proved a universality principle for the Gaussian Wiener chaos. In the present work, we aim at providing an original example of application of this principle in the…