Related papers: Agmon-type estimates for a class of jump processes

In this work, we study ergodicity of continuous time Markov processes on state space $\mathbb{R}_{\geq 0} := [0,\infty)$ obtained as unique strong solutions to stochastic equations with jumps. Our first main result establishes exponential…

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…

We develop the theory of Riemann-Hilbert problems necessary for the results in part one of this series of papers. In particular, we obtain solutions for a family of non-linear Riemann-Hilbert problems through classical contraction…

We show that running gradient descent with variable learning rate guarantees loss $f(x) \leq 1.1 \cdot f(x^*) + \epsilon$ for the logistic regression objective, where the error $\epsilon$ decays exponentially with the number of iterations…

We investigate toy dynamical models of energy-level repulsion in quantum eigenvalue sequences. We focus on parametric (with respect to a running coupling or "complexity" parameter) stochastic processes that are capable of relaxing towards a…

We study rates of convergence of solutions in L^2 and H^{1/2} for a family of elliptic systems {L_\epsilon} with rapidly oscillating oscillating coefficients in Lipschitz domains with Dirichlet or Neumann boundary conditions. As a…

This work provides a semi-analytic approximation method for decoupled forwardbackward SDEs (FBSDEs) with jumps. In particular, we construct an asymptotic expansion method for FBSDEs driven by the random Poisson measures with {\sigma}-finite…

Let $v \ne 0$ be a vector in $\R^n$. Consider the Laplacian on $\R^n$ with drift $\Delta_{v} = \Delta + 2v\cdot \nabla$ and the measure $d\mu(x) = e^{2 \langle v, x \rangle} dx$, with respect to which $\Delta_{v}$ is self-adjoint. This…

In this paper, an integration by parts formula was derived for jump processes on Hilbert spaces. Using this formula, we investigated derivative formula and exponential ergodicity for nonlinear SPDEs driven by purely jump processes.

We study the nonparametric estimation of the jump density of a renewal reward process from one discretely observed sample path over [0,T]. We consider the regime when the sampling rate goes to 0. The main difficulty is that a renewal reward…

We study the radial part of sub-Riemannian Brownian motion in the context of totally geodesic foliations. It\^o's formula is proved for the radial processes associated to Riemannian distances approximating the Riemannian one. We deduce very…

In this work we give a complete description to the asymptotic behaviors of exponential functionals of L\'evy processes and divide them into five different types according to their convergence rates. Not only their exact convergence speeds…

Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In this paper we consider two such likelihood ratios. The first one is an…

This paper is a further extension of the method proposed in Itkin, 2014 as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few steps. First, a…

We prove a scale-free quantitative unique continuation estimate for the gradient of eigenfunctions of divergence-type operators, i.e. operators of the form $-\mathrm{div}A\nabla$, where the matrix function $A$ is uniformly elliptic. The…

Consider a family of random ordinary differential equations on a manifold driven by vector fields of the form $\sum_kY_k\alpha_k(z_t^\epsilon(\omega))$ where $Y_k$ are vector fields, $\epsilon$ is a positive number, $z_t^\epsilon$ is a…

In this paper, we take the first step towards an extension of the nonlinear steepest descent method of Deift, Its and Zhou to the case of operator Riemann-Hilbert problems. In particular, we provide long range asymptotics for a Fredholm…

This paper considers the posterior contraction of non-parametric Bayesian inference on non-homogeneous Poisson processes. We consider the quality of inference on a rate function $\lambda$, given non-identically distributed realisations,…

We consider the family of real (generalized) eigenfunctions of the adjacency operator on $T_d$ - the $d$-regular tree. We show the existence of a unique invariant Gaussian process on the ensemble and derive explicitly its covariance…

In this paper, we introduce a class of processes that contains many natural examples. The interesting feature of such type processes lays on its infinite memory that allows it to record a quite ancient history. Then, using the martingale…