Related papers: Asymptotics of weighted random sums

Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems. The…

Let $B_{H}(t), t\geq [0,T], T\in(0,\infty)$ be the standard Multifractional Brownian Motion(mBm), in this contribution we are concerned with the exact asymptotics of \begin{eqnarray*} \mathbb{P}\left\{\sup_{t\in[0,T]}B_{H}(t)>u\right\}…

The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…

We study fractional Brownian motion (fBm) characterized by the Hurst exponent H. Using a Monte Carlo sampling technique, we are able to numerically generate fBm processes with an absorbing boundary at the origin at discrete times for a…

For a numerical sequence ${a_n}$ satisfying broad assumptions on its "behaviour on average" and a random walk $S_n=\xi_1 +...+\xi_n$ with i.i.d. jumps $\xi_j$ with positive mean $\mu$, we establish the asymptotic behaviour of the sums…

We provide a uniform law for the weak convergence of additive functionals of partial sum processes to the local times of linear fractional stable motions, in a setting sufficiently general for statistical applications. Our results are…

This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are based on high frequency (possibly higher order) differences of…

In this paper we give an improvement of the degree of the homogeneous linear recurrence with integer coefficients that exponential sums of symmetric Boolean functions satisfy. This improvement is tight. We also compute the asymptotic…

We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situations of low and high-frequency observations in a unified…

We consider a Bayesian problem of estimating of probability of success in a series of conditionally independent trials with binary outcomes. We study the asymptotic behaviour of differential entropy for posterior probability density…

We explore an asymptotic behavior of densities of sums of independent random variables that are convoluted with a small continuous noise.

We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible…

Nearest neighbor random walks in the quarter plane that are absorbed when reaching the boundary are studied. The cases of positive and zero drift are considered. Absorption probabilities at a given time and at a given site are made…

In this paper, we present several path properties, simulations, inferences, and generalizations of the weighted sub-fractional Brownian motion. A primary focus is on the derivation of the covariance function $R_{f,b}(s,t)$ for the weighted…

In this letter, we construct cusum change-point tests for the Hurst exponent and the volatility of a discretely observed fractional Brownian motion. As a statistical application of the functional Breuer-Major theorems by B\'egyn (2007) and…

We prove a convergence theorem for a sequence of super-Brownian motions moving among hard Poissonian obstacles, when the intensity of the obstacles grows to infinity but their diameters shrink to zero in an appropriate manner. The…

We establish an invariance principle connecting boundary random walks on $\mathbb N$ with Feller's Brownian motions on $[0,\infty)$. A Feller's Brownian motion is a Feller process on $[0,\infty)$ whose excursions away from the boundary $0$…

This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covariance function is obtained. Similarly, the correlation and…

This paper describes the quality of convergence to an infinitely divisible law relative to free multiplicative convolution. We show that convergence in distribution for products of identically distributed and infinitesimal free random…

We consider random walks perturbed at zero which behave like (possibly different) random walks with i.i.d. increments on each half lines and restarts at $0$ whenever they cross that point. We show that the perturbed random walk, after being…