Related papers: Absolute regularity of semi-contractive GARCH-type…
The main contribution of this paper is to present a new sufficient condition for the subexponential asymptotics of the stationary distribution of a GI/GI/1-type Markov chain without jumps from level "infinity" to level zero. For simplicity,…
The objective of this paper is to derive the essential invariance and contraction properties for the geometric periodic systems, which can be formulated as a category of differential inclusions, and primarily rendered in the phase…
In extracting time series data from various sources, it is inevitable to compile variables measured at varying frequencies as this is often dependent on the source. Modeling from these data can be facilitated by aggregating high frequency…
We study absolute-continuity properties of a class of stochastic processes, including the gamma and the Dirichlet processes. We prove that the laws of a general class of non-linear transformations of such processes are locally equivalent to…
We are interested in the stability of a class of totally geodesic wave maps, as recently studied by Abbrescia and Chen, and later by Duan and Ma. The relevant equations of motion are a system of coupled semilinear wave and Klein-Gordon…
Orthogonal Generalized Autoregressive Conditional Heteroskedasticity model (OGARCH) is widely used in finance industry to produce volatility and correlation forecasts. We show that the classic OGARCH model, nevertheless, tends to be too…
In this paper we study the asymptotic behavior of the Gaussian quasi maximum likelihood estimator of a stationary GARCH process with heavy-tailed innovations. This means that the innovations are regularly varying with index…
We consider the discretization of a semilinear damped wave equation arising, for instance, in the modeling of gas transport in pipeline networks. For time invariant boundary data, the solutions of the problem are shown to converge…
In this paper, we provide a comprehensive theoretical analysis of Stochastic Gradient Descent (SGD) and its momentum variants (Polyak Heavy-Ball and Nesterov) for tracking time-varying optima under strong convexity and smoothness. Our…
We derive a sufficient condition for a $k$-th order homogeneous Markov chain $\mathbf{Z}$ with finite alphabet $\mathcal{Z}$ to have a unique invariant distribution on $\mathcal{Z}^k$. Specifically, let $\mathbf{X}$ be a first-order,…
It is known that families of graphs with a semialgebraic edge relation of bounded complexity satisfy much stronger regularity properties than arbitrary graphs, and that they can be decomposed into very homogeneous semialgebraic pieces up to…
We revisit processes generated by iterated random functions driven by a stationary and ergodic sequence. Such a process is called strongly stable if a random initialization exists, for which the process is stationary and ergodic, and for…
The celebrated geometric control condition of Bardos, Lebeau, and Rauch is necessary and sufficient for wave observability [1,7] and exact controllability. It requires that any point in phase-space be transported by the generalized geodesic…
In this paper we unify several existing regularity conditions for graphs, including strong regularity, $k$-isoregularity, and the $t$-vertex condition. We develop an algebraic composition/decomposition theory of regularity conditions. Using…
We give an equivalent condition for the existence of invariant Gibbs measures for sequences of continuous functions on one-sided subshifts and, more generally, for the existence of Gibbs measures. These extend the results of Kim [6] and…
Consider the infinite Atlas model: a semi-infinite collection of particles driven by independent standard Brownian motions with zero drifts, except for the bottom-ranked particle which receives unit drift. We derive a continuum…
We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic recurrence equations, we characterize the tail behavior of…
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' concerning financial series, and is now…
We prove the existence of density for the solution to the multiplicative semilinear stochastic heat equation on an unbounded spatial domain, with drift term satisfying a half-Lipschitz type condition. The methodology is based on a careful…
This work gathers new results concerning the semi-geostrophic equations: existence and stability of measure valued solutions, existence and uniqueness of solutions under certain continuity conditions for the density, convergence to the…