Related papers: An exponential estimate for Hilbert space-valued O…
We study degenerate hypoelliptic Ornstein-Uhlenbeck operators in $L^2$ spaces with respect to invariant measures. The purpose of this article is to show how recent results on general quadratic operators apply to the study of degenerate…
Let A be a finite subset of an abelian group (G, +). Let h $\ge$ 2 be an integer. If |A| $\ge$ 2 and the cardinality |hA| of the h-fold iterated sumset hA = A + $\times$ $\times$ $\times$ + A is known, what can one say about |(h -- 1)A| and…
Let as usual $Z(t) = \zeta(1/2+it)\chi^{-1/2}(1/2+it)$ denote Hardy's function, where $\zeta(s) = \chi(s)\zeta(1-s)$. Assuming the Riemann hypothesis upper and lower bounds for some integrals involving $Z(t)$ and $Z'(t)$ are proved. It is…
We study rates of convergence in central limit theorems for the partial sum of squares of general Gaussian sequences, using tools from analysis on Wiener space. No assumption of stationarity, asymptotically or otherwise, is made. The main…
The irreducible unitary representations of the Banach Lie group $U_0(\H)$ (which is the norm-closure of the inductive limit $\cup_k U(k)$) of unitary operators on a separable Hilbert space $\H$, which were found by Kirillov and Ol'shanskii,…
By using absolutely continuous lower bounds of the L\'evy measure, explicit gradient estimates are derived for the semigroup of the corresponding L\'evy process with a linear drift. A derivative formula is presented for the conditional…
We provide sufficient and necessary conditions guaranteeing equations $(A+B)^*=A^*+B^*$ and $(AB)^*=B^*A^*$ concerning densely defined unbounded operators $A,B$ between Hilbert spaces. We also improve the perturbation theory of selfadjoint…
In this article, we prove Herglotz's theorem for Hilbert-valued time series. This requires the notion of an operator-valued measure, which we shall make precise for our setting. Herglotz's theorem for functional time series allows to…
We study bounded holomorphic functional calculus for nonsymmetric infinite dimensional Ornstein-Uhlenbeck operators ${\mathscr L}$. We prove that if $-{\mathscr L}$ generates an analytic semigroup on $L^{2}(\gamma_{\infty})$, then…
The multivariate Ornstein-Uhlenbeck process is used in many branches of science and engineering to describe the regression of a system to its stationary mean. Here we present an $O(N)$ Bayesian method to estimate the drift and diffusion…
In this paper, we establish an exponential inequality for U-statistics of i.i.d. data, varying kernel and taking values in a separable Hilbert space. The bound are expressed as a sum of an exponential term plus an other one involving the…
We calculate the two-point correlation function <x(t2)x(t1)> for a subdiffusive continuous time random walk in a parabolic potential, generalizing well-known results for the single-time statistics to two times. A closed analytical…
We establish sufficient conditions for the existence, and derive explicit formulas for the $\kappa$'th moments, $\kappa \geq 1$, of Markov modulated generalized Ornstein-Uhlenbeck processes as well as their stationary distributions. In…
Some identities in law in terms of planar complex valued Ornstein-Uhlenbeck processes $(Z_{t}=X_{t}+iY_{t},t\geq0)$ including planar Brownian motion are established and shown to be equivalent to the well known Bougerol identity for linear…
The paper considers random motion of a point on the surface of a sphere, in the case where the angular velocity is determined by an Ornstein-Uhlenbeck process. The solution is fully characterized by only one dimensionless number, the…
This paper aims to evaluate the Piterbarg-Berman function given by $$\mathcal{P\!B}_\alpha^h(x, E) = \int_\mathbb{R}e^z\mathbb{P} \left\{{\int_E \mathbb{I}\left(\sqrt2B_\alpha(t) - |t|^\alpha - h(t) - z>0 \right) {\text{d}} t > x} \right\}…
We investigate the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a Hermite process.
Given a Hilbert space and the generator $A$ of a strongly continuous, exponentially stable, semigroup on this Hilbert space. For any $g(-s) \in {\mathcal H}_{\infty}$ we show that there exists an infinite-time admissible output operator…
Let $\{B_H(t):t\ge 0\}$ be a fractional Brownian motion with Hurst parameter $H\in(\frac{1}{2},1)$. For the storage process $Q_{B_H}(t)=\sup_{-\infty\le s\le t} \left(B_H(t)-B_H(s)-c(t-s)\right)$ we show that, for any $T(u)>0$ such that…
We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to…