Related papers: Persistence probabilities for stationary increment…

As a first step toward a characterization of the limiting extremal process of branching Brownian motion, we proved in a recent work [Comm. Pure Appl. Math. 64 (2011) 1647-1676] that, in the limit of large time $t$, extremal particles…

This paper deals with the problems of consistence and strong consistence of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. A central limit theorem for…

We study the problem of parameter estimation for the homogenization limit of multiscale systems involving fractional dynamics. In the case of stochastic multiscale systems driven by Brownian motion, it has been shown that in order for the…

We extend the ideas of (Barbour 1990) and use Stein's method to obtain a bound on the distance between a scaled time-changed random walk and a time-changed Brownian Motion. We then apply this result to bound the distance between a…

We consider the class of stationary-increment harmonizable stable processes with infinite control measure, which most notably includes real harmonizable fractional stable motions. We give conditions for the integrability of the paths of…

We consider sums of increments given by a functional of a stationary Markov chain. Letting $T$ be the first return time of the partial sums process to $(-\infty,0]$, under general assumptions, we determine the asymptotic behavior of the…

We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and negative axis, yet discontinuous at zero. This threshold…

We prove a Poisson process approximation result for stabilizing functionals of a determinantal point process. Our results use concrete couplings of determinantal processes with different Palm measures and exploit their association…

We give a complete and unified description -- under some stability assumptions -- of the functional scaling limits associated with some persistent random walks for which the recurrent or transient type is studied in [1]. As a result, we…

Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the…

Brownian motion is a Gaussian process described by the central limit theorem. However, exponential decays of the positional probability density function $P(X,t)$ of packets of spreading random walkers, were observed in numerous situations…

In this thesis, we study asymptotic properties of the standard branching Brownian motion, with a specific emphasis on the additive martingales at high temperature. We start by presenting classic and fundamental tools for our investigation.…

We study the asymptotic behavior of estimators of a two-valued, discontinuous diffusion coefficient in a Stochastic Differential Equation, called an Oscillating Brownian Motion. Using the relation of the latter process with the Skew…

We introduce a multistable subordinator, which generalizes the stable subordinator to the case of time-varying stability index. This enables us to define a multifractional Poisson process. We study properties of these processes and…

We sharpen an estimate for the growth rate of preimages of a point under a transitive piecewise monotone interval map. Then we apply our estimate to study the continuity of the operator which assigns to such a map its constant slope model.

The main goal of this work is to provide sample-path estimates for the solution of slowly time-dependent SPDEs perturbed by a cylindrical fractional Brownian motion. Our strategy is similar to the approach by Berglund and Nader for…

We consider processes which have the distribution of standard Brownian motion (in the forward direction of time) starting from random points on the trajectory which accumulate at $-\infty$. We show that these processes do not have to have…

The question how the extremal values of a stochastic process achieved on different time intervals are correlated to each other has been discussed within the last few years on examples of the running maximum of a Brownian motion, of a…

We derive explicit lower and upper bounds for the probability generating functional of a stationary locally stable Gibbs point process, which can be applied to summary statistics like the F function. For pairwise interaction processes we…

We unify and extend the semigroup and the PDE approaches to stochastic maximal regularity of time-dependent semilinear parabolic problems with noise given by a cylindrical Brownian motion. We treat random coefficients that are only…