Related papers: Exact asymptotics for a multi-timescale model, wit…
We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…
We propose a method to approximate continuous-time, continuous-state stochastic processes by a discrete-time Markov chain defined on a nonuniform grid. Our method provides exact moment matching for processes whose first and second moments…
A non self-similar change of coordinates provides improved matching asymptotics of the solutions of the fast diffusion equation for large times, compared to already known results, in the range for which Barenblatt solutions have a finite…
A novel data-driven method for formal verification is proposed to study complex systems operating in safety-critical domains. The proposed approach is able to formally verify discrete-time stochastic dynamical systems against temporal logic…
We consider a discrete time semi-Markov process where the characteristics defining the process depend on a small perturbation parameter. It is assumed that the state space consists of one finite communicating class of states and, in…
We derive the asymptotic distribution of ordinal-pattern frequencies under weak dependence conditions and investigate the long-run covariance matrix not only analytically for moving-average, Gaussian, and the novel generalized coin-tossing…
By application of the theory for second-order linear differential equations with two turning points developed in \cite{Olver1975}, uniform asymptotic approximations are obtained for the Lam\'{e} and Mathieu functions with a large real…
Affine point processes are a class of simple point processes with self- and mutually-exciting properties, and they have found useful applications in several areas. In this paper, we obtain large-time asymptotic expansions in large…
Let $\{X_i(t),t\ge0\}, 1\le i\le n$ be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of $$ P\left(\exists_{t \in [0,T]} \forall_{i=1 ... n} X_i(t)> u \right) $$…
It is an interesting open problem to achieve adaptive prescribed-time control for strict-feedback systems with unknown and fast or even abrupt time-varying parameters. In this paper we present a solution with the aid of several design and…
This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environmental process. We subsequently…
In this paper, we study the complexity of the approximation of nonadmissible curves for nonlinear control-affine systems satisfying the strong H{\"o}rmander condition. Focusing on tubular approximation complexities, we provide asymptotic…
We calculate asymptotics of the distribution of the number of customers in orbit in a two-class priority retrial $M/G/1$-type queueing model. In this model, priority customers wait in line while non-priority customers join an orbit and…
Discrete-time affine processes are widely used in finance and economics and encompass count, positive, and nonnegative-valued processes. This paper develops near-unit-root asymptotic theory for this class of models. Unlike linear AR(1)…
We consider time-dependent convection-diffusion problems with high P\'eclet number of order $\mathcal{O}(\varepsilon^{-1})$ in thin three-dimensional graph-like networks consisting of cylinders that are interconnected by small domains…
In recent years, the mathematical limits and algorithmic bounds for probabilistic group testing have become increasingly well-understood, with exact asymptotic thresholds now being known in general scaling regimes for the noiseless setting.…
This article develops a continuous-time asymptotic framework for analyzing adaptive experiments -- settings in which data collection and treatment assignment evolve dynamically in response to incoming information. A key challenge in…
We study how to identify a class of continuous-time nonlinear systems defined by an ordinary differential equation affine in the unknown parameter. We define a notion of asymptotic consistency as $(n, h) \to (\infty, 0)$, and we achieve it…
Complete high fidelity matched asymptotic expansions (abbreviated MAE) are developed for the first and second order turbulence statistics in channel flow from 11 direct numerical simulations (DNS). To put the crucial identification of…
Let $\boldsymbol W=\{\boldsymbol W_n:n\in\mathbb N\}$ be a sequence of random vectors in $\mathbb R^d$, $d\ge 1$. This paper considers the logarithmic asymptotics of the extremes of $\boldsymbol W$, that is, for any vector $\boldsymbol…