Related papers: Absolute regularity of semi-contractive GARCH-type…
We discuss existence and uniqueness of stationary and ergodic nonlinear autoregressive processes when exogenous regressors are incorporated in the dynamic. To this end, we consider the convergence of the backward iterations of dependent…
We provide simple and constructive proofs of Harris-type theorems on the existence and uniqueness of an equilibrium and the speed of equilibration of discrete-time and continuous-time stochastic semigroups. Our results apply both to cases…
It is common for long financial time series to exhibit gradual change in the unconditional volatility. We propose a new model that captures this type of nonstationarity in a parsimonious way. The model augments the volatility equation of a…
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…
We consider non-conservative positive semigroups and obtain necessary and sufficient conditions for uniform exponential contraction in weighted total variation norm. This ensures the existence of Perron eigenelements and provides…
Let G be a finite graph with the non-k-order property (essentially, a uniform finite bound on the size of an induced sub-half-graph). A major result of the paper applies model-theoretic arguments to obtain a stronger version of…
In this note we correct an omission in our paper (Satheesh and Sandhya, 2005) in defining semi-selfdecomposable laws and also show with examples that the marginal distributions of a stationary AR(1) process need not even be infinitely…
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new class of multivariate power transformed asymmetric models. It…
In an influential paper, Courtois and Semal (1984) establish that when $G$ is an irreducible substochastic matrix for which $\sum_{n=0}^{\infty}G^n <\infty$, then the stationary distribution of any stochastic matrix $P\ge G$ can be…
This paper investigates contraction properties of switched dynamical systems for the case that all modes are non-contracting, thereby extending existing results that require at least one mode to be contracting. Leveraging the property that…
The work deals with two major topics concerning the numerical analysis of Runge-Kutta-like (RK-like) methods, namely their stability and order of convergence. RK-like methods differ from additive RK methods in that their coefficients are…
We prove Holder regularity for solutions of non divergence integro-differential equations with non necessarily even kernels. The even/odd decomposition of the kernel can be understood as a sum of a diffusion and a drift term. In our case we…
We study the properties of a subclass of stochastic processes called discrete time nonlinear Markov chains with an aggregator, which naturally appear in various topics such as strategic queueing systems, inventory dynamics, opinion…
We study transient patterns appearing in a class of SPDE using the framework of quasi-stationary and quasi-ergodic measures. In particular, we prove the existence and uniqueness of quasi-stationary and quasi-ergodic measures for a class of…
We consider the incompressible Euler equations in the half cylinder $ \mathbb{R}_{>0}\times\mathbb{T}$. In this domain, any vorticity which is independent of $x_2$ defines a stationary solution. We prove that such a stationary solution is…
We show the existance of the stationary distributions of subcritical multitype Galton-Watson processes without any conditions on the mean matrix of the offspring distributions. Some additional properties of the stationary distribution are…
We study a class of non-reversible, continuous-time random walks in random environments on $\mathbb{Z}^d$ that admit a cycle representation with finite cycle length. The law of the transition rates, taking values in $[0, \infty)$, is…
Using elementary methods, we prove that for a countable Markov chain $P$ of ergodic degree $d > 0$ the rate of convergence towards the stationary distribution is subgeometric of order $n^{-d}$, provided the initial distribution satisfies…
We introduce a novel GARCH model that integrates two sources of uncertainty to better capture the rich, multi-component dynamics often observed in the volatility of financial assets. This model provides a quasi closed-form representation of…
This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…