Related papers: Contributions to the asymptotic study of Hermite d…
Let $(Z_t^{(q, H)})_{t \geq 0}$ denote a Hermite process of order $q \geq 1$ and self-similarity parameter $H \in (\frac{1}{2}, 1)$. Consider the Hermite-driven moving average process $$X_t^{(q, H)} = \int_0^t x(t-u) dZ^{(q, H)}(u), \qquad…
The paper investigates properties of generalized Hermite-type processes that arise in non-central limit theorems for integral functionals of long-range dependent random fields. The case of increasing multidimensional domain asymptotics is…
We consider a modified quadratic variation of the Hermite process based on some well-chosen increments of this process. These special increments have the very useful property to be independent and identically distributed up to…
Let $Z$ denote a Hermite process of order $q \geq 1$ and self-similarity parameter $H \in (\frac{1}{2}, 1)$. This process is $H$-self-similar, has stationary increments and exhibits long-range dependence. When $q=1$, it corresponds to the…
This paper studies the asymptotic behavior of the Fisher information for a Levy process discretely sampled at an increasing frequency. We show that it is possible to distinguish not only the continuous part of the process from its jumps…
Motivated by some common-change point tests, we investigate the asymptotic distribution of the U-statistic process $U_n(t)=\sum_{i=1}^{[nt]}\sum_{j=[nt]+1}^n h(X_i,X_j)$, $0\leq t\leq 1$, when the underlying data are long-range dependent.…
We consider the Halfin-Whitt diffusion process $X_d(t)$, which is used, for example, as an approximation to the $m$-server $M/M/m$ queue. We use recently obtained integral representations for the transient density $p(x,t)$ of this diffusion…
The Fisher Information matrix is a widely used measure for applications ranging from statistical inference, information geometry, experiment design, to the study of criticality in biological systems. Yet there is no commonly accepted…
We consider the problem of estimating an arbitrary dynamical parameter of an quantum open system in the input-output formalism. For irreducible Markov processes, we show that in the limit of large times the system-output state can be…
We aim to generalize the homogenisation theorem in \cite{Gehringer-Li-tagged} for a passive tracer interacting with a fractional Gau{\ss}ian noise to also cover fractional non-Gau{\ss}ian noises. To do so we analyse limit theorems for…
We study the asymptotic behaviour of modified weighted power variations of the Hermite process of arbitrary order. By selecting suitable "good" increments and exploiting their decomposition into dominant independent components, we establish…
The recent experimental progresses in handling microscopic systems have allowed to probe them at levels where fluctuations are prominent, calling for stochastic modeling in a large number of physical, chemical and biological phenomena. This…
Quantum Fisher information is a central quantity in quantum metrology. We discuss an alternative representation of quantum Fisher information for unitary parametrization processes. The highlight of this representation is that all…
In this work, we derive the time-dependent Hartree(-Fock) equations as an effective dynamics for fermionic many-particle systems. Our main results are the first for a quantum mechanical mean-field dynamics for fermions; in previous works,…
Non-Hermitian Hamiltonians are relevant to describe the features of a broad class of physical phenomena, ranging from photonics and atomic and molecular systems to nuclear physics and mesoscopic electronic systems. An important question…
We theoretically investigate parameter quantum estimation in quantum chaotic systems. Our analysis is based on an effective description of non-integrable quantum systems in terms of a random matrix Hamiltonian. Based on this approach we…
We study the problem of nonparametric estimation of the linear multiplier function $\theta(t)$ for processes satisfying stochastic differential equations of the type $$dX_t=\theta(t) X_tdt+ \epsilon dZ^{q,H}_t, X_0=x_0, 0\leq t \leq T$$…
Hermite processes are self--similar processes with stationary increments which appear as limits of normalized sums of random variables with long range dependence. The Hermite process of order $1$ is fractional Brownian motion and the…
The efficient sensing of weak environmental perturbations via special degeneracies called exceptional points in non-Hermitian systems has gained enormous traction in the last few decades. However, in contrast to the extensive literature on…
In the paper, we address parametric and non-parametric estimation for nonlinear stochastic differential equations with additive Hermite noise with possibly nonlinear scaling. We assume that a single trajectory of the solution is observed…