Related papers: Invariant Measures for Path-Dependent Random Diffu…
This paper contains two parts. In the first part, we study the ergodicity of periodic measures of random dynamical systems on a separable Banach space. We obtain that the periodic measure of the continuous time skew-product dynamical system…
Brownian yet non-Gaussian phenomenon has recently been observed in many biological and active matter systems. The main idea of explaining this phenomenon is to introduce a random diffusivity for particles moving in inhomogeneous…
In the present paper, we prove that the Wasserstein distance on the space of continuous sample-paths equipped with the supremum norm between the laws of a uniformly elliptic one-dimensional diffusion process and its Euler discretization…
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…
In statistics on manifolds, the notion of the mean of a probability distribution becomes more involved than in a linear space. Several location statistics have been proposed, which reduce to the ordinary mean in Euclidean space. A…
It has recently been shown that there are substantial differences in the regularity behavior of the empirical process based on scalar diffusions as compared to the classical empirical process, due to the existence of diffusion local time.…
Consider a diffusion process X=(X_t), with t in [0,1], observed at discrete times and high frequency, solution of a stochastic differential equation whose drift and diffusion coefficients are assumed to be unknown. In this article, we focus…
Quantum trajectories are Markov chains modeling quantum systems subjected to repeated indirect measurements. Their stationary regime depends on what observables are measured on the probes used to indirectly measure the system. In this…
We derive general bounds on the probability that the empirical first-passage time $\overline{\tau}_n\equiv \sum_{i=1}^n\tau_i/n$ of a reversible ergodic Markov process inferred from a sample of $n$ independent realizations deviates from the…
This paper is concerned with the general theme of relating the Large Deviation Principle (LDP) for the invariant measures of stochastic processes to the associated sample path LDP. It is shown that if the sample path deviation function…
Mathematical models of motility are often based on random-walk descriptions of discrete individuals that can move according to certain rules. It is usually the case that large masses concentrated in small regions of space have a great…
We consider the discrete time unitary dynamics given by a quantum walk on the lattice $\Z^d$ performed by a quantum particle with internal degree of freedom, called coin state, according to the following iterated rule: a unitary update of…
The TCP window size process appears in the modeling of the famous Transmission Control Protocol used for data transmission over the Internet. This continuous time Markov process takes its values in $[0,\infty)$, is ergodic and irreversible.…
We consider the problem of estimating the joint distribution of a continuous-time perpetuity and the underlying factors which govern the cash flow rate, in an ergodic Markov model. Two approaches are used to obtain the distribution. The…
Consider a probability measure on a Hilbert space defined via its density with respect to a Gaussian. The purpose of this paper is to demonstrate that an appropriately defined Markov chain, which is reversible with respect to the measure in…
We introduce simple conditions ensuring that invariant distributions of a Feller Markov chain on a compact Riemannian manifold are absolutely continuous with a lower semi-continuous, continuous or smooth density with respect to the…
We study the invariant measures and fluctuation limits of discrete-time harness processes in one spatial dimension. We construct one essential ergodic (under spatial shifts) invariant measure of the increment process derived from harness…
In this paper, we investigate the construction of a diffusion process whose time-marginal densities are constrained to belong to a given set at all time. The construction is obtained from a penalization approximation to the constraint set,…
We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…
In this paper a new dissimilarity measure to identify groups of assets dynamics is proposed. The underlying generating process is assumed to be a diffusion process solution of stochastic differential equations and observed at discrete time.…