Related papers: An exponential estimate for Hilbert space-valued O…

We consider an Ornstein-Uhleneck (OU) process associated to self-normalised sums in i.i.d. symmetric random variables from the domain of attraction of $N(0, 1)$ distribution. We proved the self-normalised sums converge to the OU process (in…

We study the strong approximation of a rough volatility model, in which the log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst parameter $H<1/2$. Our methods are based on an equidistant discretization of the…

We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbeck processes.

Let $\alpha>0$ and $\mu$ be a positive Borel measure on the interval $[0,1)$. The Hankel matrix $\mathcal{H}_{\mu,\alpha}=(\mu_{n,k,\alpha})_{n,k\ge0}$ with entries…

In this paper we show that the realization in $L^p(X,\nu_\infty)$ of the nonsymmetric Ornstein-Uhlenbeck operator $L$ is sectorial for any $p\in(1,+\infty)$ and we provide an explicit sector of analyticity. Here $(X,\mu_\infty,H_\infty)$ is…

Let $A$ and $B$ be non-negative self-adjoint operators in a separable Hilbert space such that its form sum $C$ is densely defined. It is shown that the Trotter product formula holds for imaginary times in the $L^2$-norm, that is, one has %…

We establish a priori Lipschitz estimates for unbounded solutions of second-order Hamilton-Jacobi equations in R^N in presence of an Ornstein-Uhlenbeck drift. We generalize the results obtained by Fujita, Ishii \& Loreti (2006) in several…

We obtain a Berry-Esseen type bound for the distribution of the maximum likelihood estimator of the drift parameter for fractional Ornstein-uhlenbeck type process driven by sub-fractional Brownian motion.

A time inhomogeneous generalized Mehler semigroup on a real separable Hilbert space ${\mathds{H}}$ is defined through $$ p_{s,t}f(x)=\int_{\mathds{H}} f(U(t,s)x+y)\,\mu_{t,s}(dy), \quad t\geq s, \ x\in{\mathds{H}} $$ for every bounded…

For each $d \in {1,2,3,7,11}$, let $T_d$ be the nearest-integer complex continued fraction map associated with the Euclidean ring $\mathcal{O}*d$, and let $(a_n)$ be its digit sequence. We prove two metric results for this five-system…

This paper deals with the rate of convergence for the central limit theorem of estimators of the drift coefficient, denoted $\theta$, for a Ornstein-Uhlenbeck process $X \coloneqq \{X_t,t\geq0\}$ observed at high frequency. We provide an…

We investigate the sharp large deviation properties of the energy and the maximum likelihood estimator for the Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst index greater than one half.

Let $E$ be an elliptic curve having CM by the ring of integers of an imaginary quadratic field $K$ in which $p$ splits. Following Lichtenbaum, the Bernoulli--Hurwitz numbers of $E$ (i.e., values of Eisenstein series evaluated at $E$ up to…

We study boundary inference at $H=3/4$ for mixed fractional Brownian motion and mixed fractional Ornstein--Uhlenbeck models under high-frequency observation. This boundary is economically important because it separates the critical and…

In this paper, we will first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of random walk. In order to verify the rationality of this…

We consider divergence form elliptic operators $L=-\dv A(x)\nabla$, defined in $\mathbb{R}^{n+1}=\{(x,t)\in\mathbb{R}^{n}\times\mathbb{R}\}, n \geq 2$, where the $L^{\infty}$ coefficient matrix $A$ is $(n+1)\times(n+1)$, uniformly elliptic,…

Given a stable SISO LTI system $G$, we investigate the problem of estimating the $\mathcal{H}_\infty$-norm of $G$, denoted $||G||_\infty$, when $G$ is only accessible via noisy observations. Wahlberg et al. recently proposed a nonparametric…

We consider the parametric estimation of the Ornstein-Uhlenbeck process driven by a non-Gaussian $\alpha$-stable L\'{e}vy process with the stable index $\alpha>1$ and possibly skewed jumps, based on a discrete-time sample over a fixed…

Let $X$ be a metric space with a doubling measure. Let $L$ be a nonnegative self-adjoint operator acting on $L^2(X)$, hence $L$ generates an analytic semigroup $e^{-tL}$. Assume that the kernels $p_t(x,y)$ of $e^{-tL}$ satisfy Gaussian…

Learning from non-independent and non-identically distributed data poses a persistent challenge in statistical learning. In this study, we introduce data-dependent Bernstein inequalities tailored for vector-valued processes in Hilbert…