Related papers: Discrete Time Harness Processes
We investigate in this work some situations where it is possible to estimate or determine the upper and the lower $q$-generalized fractal dimensions $D^{\pm}_{\mu}(q)$, $q\in\mathbb{R}$, of invariant measures associated with continuous…
In an earlier work made by the first author with J. Turi (Degenerate Dirichlet Problems Related to the Invariant Measure of Elasto-Plastic Oscillators, AMO, 2008), the solution of a stochastic variational inequality modeling an…
We consider a stochastic conservation law on the line with solution-dependent diffusivity, a super-linear, sub-quadratic Hamiltonian, and smooth, spatially-homogeneous kick-type random forcing. We show that this Markov process admits a…
We describe a chain of unidirectionally coupled adaptive excitable elements slowly driven by a stochastic process from one end and open at the other end, as a minimal toy model of unresolved irreducible uncertainty in a system performing…
Let $\Sigma$ be a finite alphabet, $\Omega=\Sigma^{\mathbb{Z}^{d}}$ equipped with the shift action, and $\mathcal{I}$ the simplex of shift-invariant measures on $\Omega$. We study the relation between the restriction $\mathcal{I}_n$ of…
In this paper, we introduce a novel Extra-Gradient method with anchor term governed by general parameters. Our method is derived from an explicit discretization of a Tikhonov-regularized monotone flow in Hilbert space, which provides a…
In this paper, we consider the classical spin systems on unbounded lattices given by infinite-dimensional stochastic differential equations (SDEs). We assume that the stochastic forcing acts only on one particle. The other particles are not…
Continuous Time Markov Chains, Hawkes processes and many other interesting processes can be described as solution of stochastic differential equations driven by Poisson measures. Previous works, using the Stein's method, give the…
We study the limiting behavior of continuous time trawl processes which are defined using an infinitely divisible random measure of a time dependent set. In this way one is able to define separately the marginal distribution and the…
We introduce a class of discrete random walk model driven by global memory effects. At any time the right-left transitions depend on the whole previous history of the walker, being defined by an urn-like memory mechanism. The characteristic…
In this paper, we study ergodic backward stochastic differential equations (EBSDEs for short), for which the underlying diffusion is assumed to be multiplicative and of at most linear growth. The fact that the forward process has an…
We introduce and study a class of determinantal probability measures generalising the class of discrete determinantal point processes. These measures live on the Grassmannian of a real, complex, or quaternionic inner product space that is…
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…
We consider eigenvalues of generalized Wishart processes as well as particle systems, of which the empirical measures converge to deterministic measures as the dimension goes to infinity. In this paper, we obtain central limit theorems to…
In this paper, we construct the wavelet eigenvalue regression methodology in high dimensions. We assume that possibly non-Gaussian, finite-variance $p$-variate measurements are made of a low-dimensional $r$-variate ($r \ll p$) fractional…
We study some SDEs derived from the $q\to 1$ limit of a 2D surface growth model called the $q$-Whittaker process. The fluctuations are proven to exhibit Gaussian characteristics that "come down from infinity": After rescaling and…
We develop a gradient-flow theory for time-dependent functionals defined in abstract metric spaces. Global well-posedness and asymptotic behavior of solutions are provided. Conditions on functionals and metric spaces allow to consider the…
For an ergodic hyperbolic measure $\omega$ of a $C^{1+{\alpha}}$ diffeomorphism, there is an $\omega$ full-measured set $\tilde\Lambda$ such that every nonempty, compact and connected subset $V$ of $\mathbb{M}_{inv}(\tilde\Lambda)$…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
We derive high-dimensional scaling limits and fluctuations for the online least-squares Stochastic Gradient Descent (SGD) algorithm by taking the properties of the data generating model explicitly into consideration. Our approach treats the…