Related papers: Some asymptotic formulae for Bessel process
This paper develops asymptotic theory of integrals of empirical quantile functions with respect to random weight functions, which is an extension of classical $L$-statistics. They appear when sample trimming or Winsorization is applied to…
In this paper we establish the error rate of first order asymptotic approximation for the tail probability of sums of log-elliptical risks. Our approach is motivated by extreme value theory which allows us to impose only some weak…
We characterize the asymptotic behaviour of the weighted power variation processes associated with iterated Brownian motion. We prove weak convergence results in the sense of finite dimensional distributions, and show that the laws of the…
We study the asymptotic behaviour of the tail of the distribution of the first passage time of a L\'evy process over a one-sided moving boundary. Our main result states that if the boundary behaves as $t^{\gamma}$ for large $t$ for some…
The main results in this paper concern large and moderate deviations for the radial component of a $n$-dimensional hyperbolic Brownian motion (for $n\geq 2$) on the Poincar\'{e} half-space. We also investigate the asymptotic behavior of the…
The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the driven noise is also given by a first-order…
In this paper, we consider the initial value problem for the complex short pulse equation with a Wadati-Konno-Ichikawa type Lax pair. We show that the solution to the initial value problem has a parametric expression in terms of the…
We revisit a result of Uchiyama (1980): given that a certain integral test is satisfied, the rate of the probability that Brownian motion remains below the moving boundary $f$ is asymptotically the same as for the constant boundary. The…
Current performance bounds for randomized iterative methods are often considered tight under per-iteration analyses, yet they are notoriously loose in practice. We derive asymptotic performance bounds that narrow this theory-practice gap,…
In this paper we study the asymptotic behaviour of weighted random sums when the sum process converges stably in law to a Brownian motion and the weight process has continuous trajectories, more regular than that of a Brownian motion. We…
We provide the exact large-time behavior of the tail distribution of the extinction time of a self-similar fragmentation process with a negative index of self-similarity, improving thus a previous result on the logarithmic asymptotic…
In this paper, by using the exact tail asymptotics derived by Debicki, Hashorva and Ji (Ann. Probab. 2014), we proved the Gumbel limit theorem for the maximum of a class of non-homogeneous Gaussian random fields. By using the obtained…
We derive two distinct asymptotic expansions for the zeros $j_{\nu,k}^{(n)}$ of the $n$-th derivative of Bessel function $J_\nu^{(n)}(x)$. The first is a McMahon-type expansion for the case when $k \to \infty$ with fixed $\nu$, for which we…
We derive a simple expression for the tail-asymptotics of an explosive birth process at a fixed observation time conditioned on non-explosion. Using the well-established exponential embedding, we apply this result to compute the tail…
This paper is motivated by questions about averages of stochastic processes which originate in mathematical finance, originally in connection with valuing the so-called Asian options. Starting with research of Yor's in 1992, these questions…
Several classical results on boundary crossing probabilities of Brownian motion and random walks are extended to asymptotically Gaussian random fields, which include sums of i.i.d. random variables with multidimensional indices,…
We deduce the non-asymptotical (bilateral) estimates for moment inequalities for multiple sums of non-negative (more precisely, non-negative) independent random variables, on the other words, the well known U or V-statistics. Our…
In this work, we propose a class of importance sampling (IS) estimators for estimating the right tail probability of a sum of continuous random variables based on a change of variables to $L^1$ polar coordinates in which the radial and…
If the Euclidean norm is strongly concentrated with respect to a measure, the average distribution of an average marginal of this measure has Gaussian asymptotics that captures tail behaviour. If the marginals of the measure have…
We construct the least-square estimator for the unknown drift parameter in the multifractional Ornstein-Uhlenbeck model and establish its strong consistency in the non-ergodic case. The proofs are based on the asymptotic bounds with…