Related papers: LAN property for a linear model with jumps
We consider a one dimensional random-walk-like process, whose steps are centered Gaussians with variances which are determined according to the sequence of arrivals of a Poisson process on the line. This process is decorated by independent…
The recently introduced complex active optical network (LANER) generalizes the concept of laser system to a collection of links, building a bridge with random-laser physics and quantum-graphs theory. So far, LANERs have been studied with a…
We obtain the law of large numbers (LLN) and the central limit theorem (CLT) for weakly dependent non-stationary arrays of random fields with asymptotically unbounded moments. The weak dependence condition for arrays of random fields is…
We introduce a continuum model describing data losses in a single node of a packet-switched network (like the Internet) which preserves the discrete nature of the data loss process. {\em By construction}, the model has critical behavior…
We consider nonparametric statistical inference for L\'evy processes sampled irregularly, at low frequency. The estimation of the jump dynamics as well as the estimation of the distributional density are investigated. Non-asymptotic risk…
The objective of this paper is to study the filtering problem for a system of partially observable processes $(X, Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provides…
We consider the asymptotics of the invariant measure for the process of the empirical spatial distribution of $N$ coupled Markov chains in the limit of a large number of chains. Each chain reflects the stochastic evolution of one particle.…
A jumping process, defined in terms of jump size distribution and waiting time distribution, is presented. The jumping rate depends on the process value. The process, which is Markovian and stationary, relaxes to an equilibrium and is…
In this paper we consider the problem of estimating the parameters of a Poisson arrival process where the rate function is assumed to lie in the span of a known basis. Our goal is to estimate the basis expansions coefficients given a…
A Brownian motion model is proposed to study parametric correlations in the transmission eigenvalues of open ballistic cavities. We find interesting universal properties when the eigenvalues are rescaled at the hard edge of the spectrum. We…
Nonequilibrium response theory is a fundamental framework for understanding how physical systems respond to perturbations. Recently, a mutual linearity has been discovered for Markov jump processes using linear algebra analysis. This mutual…
We introduce a Langevin equation characterized by a time dependent drift. By assuming a temporal power-law dependence of the drift we show that a great variety of behavior is observed in the dynamics of the variance of the process. In…
Feature selection procedures for spatial point processes parametric intensity estimation have been recently developed since more and more applications involve a large number of covariates. In this paper, we investigate the setting where the…
We construct a model of Brownian Motion on a pseudo-Riemannian manifold associated with general relativity. There are two aspects of the problem: The first is to define a sequence of stopping times associated with the Brownian "kicks" or…
This article presents a biological neural network model driven by inhomogeneous Poisson processes accounting for the intrinsic randomness of synapses. The main novelty is the introduction of local interactions: each firing neuron triggers…
The result provided in this paper helps complete a unified picture of the scaling behavior in heavy-tailed stochastic models for transmission of packet traffic on high-speed communication links. Popular models include infinite source…
We investigate analytically and numerically the statistical properties of a random walk model with delayed transition probability dependence (delayed random walk). The characteristic feature of such a model is the oscillatory behavior of…
Asymptotic properties of Markov Processes, such as steady state probabilities or hazard rate for absorbing states can be efficiently calculated by means of linear algebra even for large-scale problems. This paper discusses the methods for…
A local projection model is defined by a set of linear regressions that account for the associations between exogenous variables and an endogenous variable observed at different time points. While it is standard practice to separately…
We prove a functional non-central limit theorem for jump-diffusions with periodic coefficients driven by strictly stable Levy-processes with stability index bigger than one. The limit process turns out to be a strictly stable Levy process…