Related papers: On the Continuous Limit of Weak GARCH
We study the limiting behavior of interacting particle systems indexed by large sparse graphs, which evolve either according to a discrete time Markov chain or a diffusion, in which particles interact directly only with their nearest…
In this paper we show that the random degree constrained process (a time-evolving random graph model with degree constraints) has a local weak limit, provided that the underlying host graphs are high degree almost regular. We, moreover,…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
We obtain general weak existence and stability results for stochastic convolution equations with jumps under mild regularity assumptions, allowing for non-Lipschitz coefficients and singular kernels. Our approach relies on weak convergence…
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict…
In this paper, we prove convergence in distribution of Langevin processes in the overdamped asymptotics. The proof relies on the classical perturbed test function (or corrector) method, which is used both to show tightness in path space,…
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…
Let $P(n,m)$ be a graph chosen uniformly at random from the class of all planar graphs on vertex set $\left\{1, \ldots, n\right\}$ with $m=m(n)$ edges. We determine the (Benjamini-Schramm) local weak limit of $P(n,m)$ in the sparse regime…
In this paper we provide a rigorous derivation of the inelastic linear Boltzmann equation, in the Boltzmann-Grad limit, from a dissipative, random, Lorentz gas in arbitrary dimensions d $\geq$ 2. Specifically, we consider a microscopic…
In this paper we explain how the notion of ''weak Dirichlet process'' is the suitable generalization of the one of semimartingale with jumps. For such a process we provide a unique decomposition which is new also for semimartingales: in…
In this paper, we develop a new weak Galerkin finite element scheme for the Stokes interface problem with curved interfaces. We take a unique vector-valued function at the interface and reflect the interface condition in the variational…
We prove weak convergence on the Skorokhod space of Galton-Watson processes with immigration, properly normalized, under the assumption that the tail of the immigration distribution has a logarithmic decay. The limits are extremal shot…
Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the…
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…
We prove a quenched functional central limit theorem for a one-dimensional random walk driven by a simple symmetric exclusion process. This model can be viewed as a special case of the random walk in a balanced random environment, for which…
In this paper we shall prove the weak convergence of the associated diffusion processes of regular subspaces with monotone characteristic sets for a fixed Dirichlet form. More precisely, given a fixed 1-dimensional diffusion process and a…
We prove uniform convergence results for the integrated periodogram of a weakly dependent time series, namely a law of large numbers and a central limit theorem. These results are applied to Whittle's parametric estimation. Under general…
In this article a simplified weak Galerkin finite element method is developed for the Dirichlet boundary value problem of convection-diffusion-reaction equations. The simplified weak Galerkin method utilizes only the degrees of freedom on…
In this paper, we develop a new mathematical technique which allows us to express the joint distribution of a Markov process and its running maximum (or minimum) through the marginal distribution of the process itself. This technique is an…
We derive generalization error bounds for traditional time-series forecasting models. Our results hold for many standard forecasting tools including autoregressive models, moving average models, and, more generally, linear state-space…