Related papers: Wiener integrals with respect to the two-parameter…
In this article, we introduce a Gegenbauer autoregressive tempered fractionally integrated moving average (GARTFIMA) process. We work on the spectral density and autocovariance function for the introduced process. The parameter estimation…
An important feature of kernel mean embeddings (KME) is that the rate of convergence of the empirical KME to the true distribution KME can be bounded independently of the dimension of the space, properties of the distribution and smoothness…
Hermite processes are paradigmatic examples of stochastic processes which can belong to any Wiener chaos of an arbitrary order; the wellknown fractional Brownian motion belonging to the Gaussian first order Wiener chaos and the Rosenblatt…
The article is devoted to a new proof of the expansion for iterated Ito stochastic integrals with respect to the components of a multidimensional Wiener process. The above expansion is based on Hermite polynomials and generalized multiple…
This work defines two classes of processes, that we term {\it tempered fractional multistable motion} and {\it tempered multifractional stable motion}. They are extensions of fractional multistable motion and multifractional stable motion,…
We consider a one-dimensional stochastic differential equation driven by a Wiener process, where the diffusion coefficient depends on an ergodic fast process. The averaging principle is satisfied: it is well-known that the slow component…
To advance hierarchial equations of motion as a standard theory for quantum dissipative dynamics, we put forward a mixed Heisenberg--Schrodinger scheme with block-matrix implementation on efficient evaluation of nonlinear optical response…
We study the effective estimation of the diffusivity and Hurst parameter for the homogenized limit of a class of slow/fast systems. Depending on the system parameters, this limit solves a stochastic differential equation driven by either a…
We obtain direct, finite, descriptions of a renormalized quantum mechanical system with no reference to ultraviolet cutoffs and running coupling constants, in both the Hamiltonian and path integral pictures. The path integral description…
In these notes we explain how the CFT description of random matrix models can be used to perform actual calculations. Our basic example is the hermitian matrix model, reformulated as a conformal invariant theory of free fermions. We give an…
Wavelet-type random series representations of the well-known Fractional Brownian Motion (FBM) and many other related stochastic processes and fields have started to be introduced since more than two decades. Such representations provide…
The review of the following results of the Refs. \cite{Sem} - \cite{Ans} is presented: For mixed state light of $N$-mode electromagnetic field described by Wigner function which has generic Gaussian form the photon distribution function is…
Ferromagnetic, in contrast to antiferromagnetic, Heisenberg chains can undergo a Spin-Peierls dimerization only at finite temperatures. They show reentrant behavior as a function of temperature, which might play a role for systems with…
A new class of bivariate poly-analytic Hermite polynomials is considered. We show that they are realizable as the Fourier-Wigner transform of the univariate complex Hermite functions and form a nontrivial orthogonal basis of the classical…
Learning the parameters of a (potentially partially observable) random field model is intractable in general. Instead of focussing on a single optimal parameter value we propose to treat parameters as dynamical quantities. We introduce an…
A very elementary model of a single positive hermitian random matrix coupled to an external matrix is defined and studied. Expanding the exact effective action around its classical solution leads to the ``quantum Penner action'', from which…
A stochastic theory is developed to predict the spectral signature of proton-transfer processes and applied to infrared spectra computed from ab initio molecular-dynamics simulations of a single H$_5$O$_2{}^{+}$ cation. By constraining the…
We define two new classes of stochastic processes, called tempered fractional L\'{e}vy process of the first and second kinds (TFLP and TFLP $I\!I$, respectively). TFLP and TFLP $I\!I$ make up very broad finite-variance, generally…
The basic theory of photoemission, inverse photoemission, Auger-electron and appearance-potential spectroscopy is developed within a unified framework starting from Fermi's golden rule. The spin-resolved and temperature-dependent…
We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in $\alpha$-stable $(1< \alpha \le 2)$ i.i.d. innovations and related tempered linear processes with vanishing tempering parameter $\lambda…