Related papers: A limit theorem for a class of stationary incremen…
In this paper, we study the weak convergence of the extremes of supercritical branching L\'evy processes $\{\mathbb{X}_t, t \ge0\}$ whose spatial motions are L\'evy processes with regularly varying tails. The result is drastically different…
We analyze the question whether sliding window time averages applied to stationary increment processes converge to a limit in probability. The question centers on averages, correlations, and densities constructed via time averages of the…
In this article, we study the extremal processes of branching Brownian motions conditioned on having an unusually large maximum. The limiting point measures form a one-parameter family and are the decoration point measures in the extremal…
We continue the investigation of the spectral theory and exponential asymptotics of Markov processes, following Kontoyiannis and Meyn (2003). We introduce a new family of nonlinear Lyapunov drift criteria, characterizing distinct subclasses…
Some limit theorems are proven for the linear oscillator with random coefficients. The asymptotic behaviour of the moments is studied in detail. The technique presented in this paper can be applied to general linear systems with noise and…
We study limit distributions for random variables defined in terms of coefficients of a power series which is determined by a certain linear functional equation. Our technique combines the method of moments with the kernel method of…
We establish the central limit theorem for linear processes with dependent innovations including martingales and mixingale type of assumptions as defined in McLeish [Ann. Probab. 5 (1977) 616--621] and motivated by Gordin [Soviet Math.…
In this paper we survey some recent results on the central limit theorem and its weak invariance principle for stationary sequences. We also describe several maximal inequalities that are the main tool for obtaining the invariance…
We investigate densities of vaguely continuous convolution semigroups of probability measures on $\mathbb{R}^d$. First, we provide results that give upper estimates in a situation when the corresponding jump measure is allowed to be highly…
In this paper we first provide several conditional limit theorems for L\'evy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic behavior of expectations of some exponential functionals of…
We revisit the classical singular control problem of minimizing running and controlling costs. The problem arises in inventory control, as well as in healthcare management and mathematical finance. Existing studies have shown the optimality…
We prove a sequence of limiting results about weakly dependent stationary and regularly varying stochastic processes in discrete time. After deducing the limiting distribution for individual clusters of extremes, we present a new type of…
We obtain necessary and sufficient conditions for the regular variation of the variance of partial sums of functionals of discrete and continuous-time stationary Markov processes with normal transition operators. We also construct a class…
We consider a L\'evy process that starts from $x<0$ and conditioned on having a positive maximum. When Cram\'er's condition holds, we provide two weak limit theorems as $x\to -\infty$ for the law of the (two-sided) path shifted at the first…
A new family of stable processes indexed by metric spaces with stationary increments are introduced. They are special cases of a new family of set-indexed stable processes with Chentsov representation. At the heart of the representation, a…
We consider a class of stationary processes exhibiting both long-range dependence and heavy tails. Separate limit theorems for sums and for extremes have been established recently in literature with novel objects appearing in the limits. In…
Time-averaged autocorrelation functions of a dichotomous random process switching between 1 and 0 and governed by wide power law sojourn time distribution are studied. Such a process, called a L\'evy walk, describes dynamical behaviors of…
We consider a stationary fluid queue with fractional Brownian motion input. Conditional on the workload at time zero being greater than a large value $b$, we provide the limiting distribution for the amount of time that the workload process…
We investigate densities of vaguely continuous convolution semigroups of probability measures on $\mathbb{R}^d$. We expose that many typical conditions on the characteristic exponent repeatedly used in the literature of the subject are…
Recently a functional limit theorem for sums of moving averages with random coefficients and i.i.d. heavy tailed innovations has been obtained under the assumption that all partial sums of the series of coefficients are a.s. bounded between…