Related papers: $L_2$-Small Deviations for Weighted Stationary Pro…
In this paper, we study the asymptotic behavior of randomly perturbed path-dependent stochastic differential equations with small parameter $\vartheta_{\varepsilon}$, when $\varepsilon \rightarrow 0$, $\vartheta_\varepsilon$ goes to $0$.…
This paper addresses the detection of a stochastic process in noise from irregular samples. We consider two hypotheses. The \emph{noise only} hypothesis amounts to model the observations as a sample of a i.i.d. Gaussian random variables…
We consider the class of simple Brown-Resnick max-stable processes whose spectral processes are continuous exponential martingales. We develop the asymptotic theory for the realized power variations of these max-stable processes, that is,…
We develop a framework for composite likelihood estimation of parametric continuous-time stationary Gaussian processes. We derive the asymptotic theory of the associated maximum composite likelihood estimator. We implement our approach on a…
In a previous Letter (J. Phys. A v.47 (2014) 212003) we have presented numerical evidence that a Hamiltonian expressed in terms of the generators of the periodic Temperley-Lieb algebra has, in the finite-size scaling limit, a spectrum given…
A family of singularly perturbed q-difference-differential equations under the action of a small complex perturbation parameter is studied. The action of the formal monodromy around the origin is present in the equation, which suggests the…
The aim of this paper is to extend the global error estimation and control addressed in Lang and Verwer [SIAM J. Sci. Comput. 29, 2007] for initial value problems to finite difference solutions of semilinear parabolic partial differential…
We give a new proof of the sharp weighted $L^2$ inequality ||T||_{L^2(w)} \leq c [w]_{A_2} where $T$ is the Hilbert transform, a Riesz transform, the Beurling-Ahlfors operator or any operator that can be approximated by Haar shift…
We compute the asymptotic for the eigenvalues of a particular class of compact operators deeply linked with the second variation of optimal control problems. We characterize this family in terms of a set of finite dimensional data and we…
In this paper we consider a class of non-local in time telegraph equations. Recently, it has been proved that the fundamental solutions of such equations can be interpreted as the probability density function of a stochastic process. We…
We provide a short-time large deviation principle (LDP) for stochastic volatility models, where the volatility is expressed as a function of a Volterra process. This LDP does not require strict self-similarity assumptions on the Volterra…
In this paper, we study precise deviations including precise large deviations and moderate deviations for discrete marked Hawkes processes for large time asymptotics by using mod-$\phi$ convergence theory.
We extend the result of Nualart and Schoutens on chaotic decomposition of the $L^2$-space of a L\'evy process to the case of a generalized stochastic processes with independent values.
In this paper, we study non-asymptotic deviation bounds of the least squares estimator in Gaussian AR($n$) processes. By relying on martingale concentration inequalities and a tail-bound for $\chi^2$ distributed variables, we provide a…
We investigate the Large Deviation behavior in small time of continuous Gaussian processes. We introduce a general procedure allowing to derive Large Deviation Principles in small time starting from the well understood context of Large…
We study the asymptotic behavior of short cycles of random permutations with cycle weights. More specifically, on a specially constructed metric space whose elements encode all possible cycles, we consider a point process containing all…
This paper presents an extension of stochastic gradient descent for the minimization of Lipschitz continuous loss functions. Our motivation is for use in non-smooth non-convex stochastic optimization problems, which are frequently…
Second-order variational type equations for spatial point processes are established. In case of log linear parametric models for pair correlation functions, it is demonstrated that the variational equations can be applied to construct…
In this paper we study the asymptotic theory for spectral analysis of stationary random fields, including linear and nonlinear fields. Asymptotic properties of Fourier coefficients and periodograms, including limiting distributions of…
This work is a continuation of [7]. We consider a continuous-time birth-and-death process in which the transition rates have an asymptotical power-law dependence upon the position of the process. We establish rough exponential asymptotic…