Related papers: Asymptotics for time-changed diffusions
We examine the time variation of a previously-uninvestigated fundamental dimensionless constant. Constraints are placed on this time variation using historical measurements. A model is presented for the time variation, and it is shown to…
The problem of model selection in the context of a system of stochastic differential equations (SDEs) has not been touched upon in the literature. Indeed, properties of Bayes factors have not been studied even in single SDE based model…
We consider a nonlinear model for electrical conduction in biological tissues. The nonlinearity appears in the interface condition prescribed on the cell membrane. The purpose of this paper is proving asymptotic convergence for large times…
In this paper, we study mixed power-exponential moment functionals of nonlinearly perturbed semi-Markov processes in discrete time. Conditions under which the moment functionals of interest can be expanded in asymptotic power series with…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
We show that the occurrence of chaotic diffusion in a typical class of time-delayed systems with linear instantaneous and nonlinear delayed term can be well described by an anti-persistent random walk. We numerically investigate the…
We consider a spatially inhomogeneous public goods game model with diffusion. By utilising a generalised Hamiltonian structure of the model we study the existence of global classical solutions as well as the large time behaviour: First, the…
A delayed term in a differential equation reflects the fact that information takes significant time to travel from one place to another within a process being studied. Despite de apparent similarity with ordinary differential equations,…
We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton-Jacobi-Bellman type arising typically in stochastic control theory with control both on drift and diffusion coefficients. We prove that, as…
We demonstrate that the counting statistics of currents in periodically driven ergodic stochastic systems can show sharp changes of some of its properties in response to continuous changes of the driving protocol. To describe this effect,…
We study asymptotic properties of conditional least squares estimators for the drift parameters of two-factor affine diffusions based on continuous time observations. We distinguish three cases: subcritical, critical and supercritical. For…
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…
We consider a stochastic flow on $\mathds{R}$ generated by an SDE with its drift being a function of bounded variation. We show that the flow is differentiable with respect to the initial conditions. Asymptotic properties of the flow are…
We discuss parametric estimation of a degenerate diffusion system from time-discrete observations. The first component of the degenerate diffusion system has a parameter $\theta_1$ in a non-degenerate diffusion coefficient and a parameter…
For a class of particle systems in continuous space with local interactions, we show that the asymptotic diffusion matrix is an infinitely differentiable function of the density of particles. Our method allows us to identify relatively…
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…
Brownian particles in random potentials show an extended regime of subdiffusive dynamics at intermediate times. The asymptotic diffusive behavior is often established at very long times and thus cannot be accessed in experiments or…
The purpose of this note is to share some observations and speculations concerning the asymptotic behavior of Gromov-Witten invariants. They may be indicative of some deep phenomena in symplectic topology that in full generality are outside…
We determine the long-time asymptotic behavior of a relativistic diffusion taking values in the unitary tangent bundle of a Robertson-Walker space-time. We prove in particular that when approaching the explosion time of the diffusion, its…
We obtain structural theorems for the so-called S-asymptotic and quasiasymptotic boundedness of ultradistributions. Using these results, we then analyze the moment asymptotic expansion (MAE), providing a full characterization of those…