Related papers: The G\"{a}rtner-Ellis theorem, homogenization, and…
Elliptic homogenization is used to determine coarse-grained properties of materials with features on small scales for heat transfer and elasticity. When microstructural features of a material have rapid, periodic fluctuations, the solution…
A practical electronic structure method in which a two-body functional is the fundamental variable is constructed. The basic formalism of our method is equivalent to Hartree-Fock density matrix functional theory [M. Levy in {\it Density…
This work is devoted to the asymptotic behavior of eigenvalues of an elliptic operator with rapidly oscillating random coefficients on a bounded domain with Dirichlet boundary conditions. A sharp convergence rate is obtained for isolated…
Lame equation arises from deriving Laplace equation in ellipsoidal coordinates; in other words, it's called ellipsoidal harmonic equation. Lame function is applicable to diverse areas such as boundary value problems in ellipsoidal geometry,…
Using a hierarchical construction, we develop methods for a wide and flexible class of models by taking a fully parametric approach to generalized linear mixed models with complex covariance dependence. The Laplace approximation is used to…
We study the effective estimation of the diffusivity and Hurst parameter for the homogenized limit of a class of slow/fast systems. Depending on the system parameters, this limit solves a stochastic differential equation driven by either a…
This paper studies estimation of linear panel regression models with heterogeneous coefficients, when both the regressors and the residual contain a possibly common, latent, factor structure. Our theory is (nearly) efficient, because based…
The correlated probabilistic model introduced and analytically discussed in Hanel et al (2009) is based on a self-dual transformation of the index $q$ which characterizes a current generalization of Boltzmann-Gibbs statistical mechanics,…
Minimum divergence estimators provide a natural choice of estimators in a statistical inference problem. Different properties of various families of these divergence measures such as Hellinger distance, power divergence, density power…
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility…
We extend Stein's lemma for averages that explicitly contain the Gaussian random variable at a power. We present two proofs for this extension of Stein's lemma, with the first being a rigorous proof by mathematical induction. The…
We study the finite element approximation of linear second-order elliptic partial differential equations in nondivergence form with highly heterogeneous diffusion and drift coefficients. A generalized Cordes condition is imposed to…
Anomalous diffusion and power-law distributions are observed in various complex systems. To provide a consistent dynamical foundation for these phenomena, we present a geometric derivation of the nonlinear Fokker-Planck equation by…
Discrete-time affine processes are widely used in finance and economics and encompass count, positive, and nonnegative-valued processes. This paper develops near-unit-root asymptotic theory for this class of models. Unlike linear AR(1)…
The Freidlin-Wentzell large deviation principle is established for the distributions of stochastic evolution equations with general monotone drift and small multiplicative noise. As examples, the main results are applied to derive the large…
The G\"artner-Ellis condition for the square of an asymptotically stationary Gaussian process is established. The same limit holds for the conditional distri-bution given any fixed initial point, which entails weak multiplicative…
We present an extension of the deformation method applied to self-dual solutions of generalized Abelian Higgs-Chern-Simons models. Starting from a model defined by a potential $V(| \phi |)$ and a non-canonical kinetic term $\omega(| \phi |)…
We introduce and investigate a new notion of the theory of approximation-the so-called degenerate approximation, i.e. approximation of the function of two (and more) variables (kernel) by means of degenerate function (kernel). We apply…
In this article, we further develop the thermodynamic formalism of affine iterated function systems with countably many transformations by showing the existence and extending earlier characterisations of the equilibrium states of finite…
We study the accuracy of the expected Euler characteristic approximation to the distribution of the maximum of a smooth, centered, unit variance Gaussian process f. Using a point process representation of the error, valid for arbitrary…