Related papers: Bahadur--Kiefer Representations for Time Dependent…
A method for sequential inference of the fixed parameters of a dynamic latent Gaussian models is proposed and evaluated that is based on the iterated Laplace approximation. The method provides a useful trade-off between computational…
In this paper, we introduce a new class of estimators of the Hurst exponent of the fractional Brownian motion (fBm) process. These estimators are based on sample expectiles of discrete variations of a sample path of the fBm process. In…
This paper introduces a novel method for approximating the dynamics of a large autonomous system projected onto a fixed subspace. The core contribution is a novel recursive algorithm to construct an effective time-dependent generator that…
We provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier methods for option pricing. This representation can be used for a…
We explore the possibility of modifying the Lewis-Riesenfeld method of invariants developed originally to find exact solutions for time-dependent quantum mechanical systems for the situation in which an exact invariant can be constructed,…
In previous works, Bardina and Rovira (2023) constructed a family of processes that converge strongly towards Brownian motion, defined from renewal processes, are constructed. In this paper we prove that some of these processes can be…
This paper proposes a new formulation of functional Gaussian Process regression in manifolds, based on an Empirical Bayes approach, in the spatiotemporal random field context. We apply the machinery of tight Gaussian measures in separable…
Under certain mild conditions, limit theorems for additive functionals of some $d$-dimensional self-similar Gaussian processes are obtained. These limit theorems work for general Gaussian processes including fractional Brownian motions,…
We discuss the particle method in quantum mechanics which provides an exact scheme to calculate the time-dependent wavefunction from a single-valued continuum of trajectories where two spacetime points are linked by at most a single orbit.…
An unsteady problem is considered for a space-fractional equation in a bounded domain. A first-order evolutionary equation involves a fractional power of an elliptic operator of second order. Finite element approximation in space is…
The strong $L^2$-approximation of occupation time functionals is studied with respect to discrete observations of a $d$-dimensional c\`adl\`ag process. Upper bounds on the error are obtained under weak assumptions, generalizing previous…
The aim of this work is to define and perform a study of local times of all Gaussian processes that have an integral representation over a real interval (that maybe infinite). Very rich, this class of Gaussian processes, contains Volterra…
We analyze the dynamics of an algorithm for approximate inference with large Gaussian latent variable models in a student-teacher scenario. To model nontrivial dependencies between the latent variables, we assume random covariance matrices…
The definition of generalized random processes in Gel'fand sense allows to extend well-known stochastic models, such as the fractional Brownian motion, and study the related fractional pde's, as well as stochastic differential equations in…
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion…
Based on a previously developed recursive approach for calculating the short-time expansion of the propagator for systems with time-independent potentials and its time-dependent generalization for simple single-particle systems, in this…
In this work we present a Gaussian process that arise from the iteration of p fractional Ornstein-Uhlenbeck processes generated by the same fractional Brownian motion. This iteration results, when the values of lambdas are pairwise…
Quantum trajectories, originating from the de Broglie-Bohm (dBB) hydrodynamic description of quantum mechanics, are used to construct time-correlation functions in an initial value representation (IVR). The formulation is fully quantum…
We use the Fourier operator to transform a time dependent mass quantum harmonic oscillator into a frequency dependent one. Then we use Lewis-Ermakov invariants to solve the Schr\"odinger equation by using squeeze operators. Finally we give…
In the context of time-subordinated Brownian motion models, Fourier theory and methodology are proposed to modelling the stochastic distribution of time increments. Gaussian Variance-Mean mixtures and time-subordinated models are reviewed…