Related papers: On the Continuous Limit of Weak GARCH
This paper formally analyses effects of nematic weak elasticity using the five parametric de Gennes (DG) potential. The analysis is trivialized in a specific (local) Cartesian coordinate system whose one axis is directed along the initial…
In this paper, we derive a central limit theorem for collections of weakly correlated random variables indexed by discrete metric spaces, where the correlation decays in the distance of the indices. The correlation structure we study…
A Galton-Watson process in a varying environment is a discrete time branching process where the offspring distributions vary among generations. It is known that in the critical case, these processes have a Yaglom limit, that is, a suitable…
A standard model of (conditional) heteroscedasticity, i.e., the phenomenon that the variance of a process changes over time, is the Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model, which is especially important for…
We consider the weak convergence of numerical methods for stochastic differential equations (SDEs). Weak convergence is usually expressed in terms of the convergence of expected values of test functions of the trajectories. Here we present…
In this work we will focus on the existence of weak solutions for a system describing a general compressible viscous fluid in the case of the pressure being a linear function of the density and the viscous stress tensor being a non-linear…
We consider integer-valued GARCH processes, where the count variable conditioned on past values of the count and state variables follows a so-called Skellam distribution. Using arguments for contractive Markov chains we prove that the…
We provide a rigorous justification of the classical linearization approach in plasticity. By taking the small-deformations limit, we prove via \Gamma-convergence for rate-independent processes that energetic solutions of the quasi-static…
Volatility clustering is an important characteristic that has a significant effect on the behavior of stock markets. However, designing robust models for accurate prediction of future volatilities of stock prices is a very challenging…
In this article we study a small random perturbation of a linear recurrence equation. If all the roots of its corresponding characteristic equation have modulus strictly less than one, the random linear recurrence goes exponentially fast to…
We consider a Markovian approximation, of weak coupling type, to an open system perturbation involving emission, absorption and scattering by reservoir quanta. The result is the general form for a quantum stochastic flow driven by creation,…
The Weak Gravity Conjecture (WGC) asserts a powerful consistency condition on gauge theories coupled to gravity, and it is widely believed that its proof will shed light on the quantum origin of gravitational interactions. Holography, and…
We study the convergence properties of a collapsed Gibbs sampler for Bayesian vector autoregressions with predictors, or exogenous variables. The Markov chain generated by our algorithm is shown to be geometrically ergodic regardless of…
In [Kozma-Toth, Ann. Probab. v 45, pp 4307-4347 (2017)] the weak CLT was established for random walks in doubly stochastic (or, divergence-free) random environments, under the following conditions: 1. Strict ellipticity assumed for the…
We investigate the Gatheral model of double mean-reverting stochastic volatility, in which the drift term itself follows a mean-reverting process, and the overall model exhibits mean-reverting behavior. We demonstrate that such processes…
Under reasonable algebraic assumptions and under an infinite second order moment assumption, we show that the logarithm of the norm (log-norm) of a product of random i.i.d. matrices with entries in $\mathbb{R}$ or in any other local field…
In this paper, we study the weak convergence of the integrated periodogram indexed by classes of functions for linear processes with symmetric $\alpha$-stable innovations. Under suitable summability conditions on the series of the Fourier…
The weak-gravity bound has been discovered in several asymptotically safe gravity-matter systems. It limits the strength of gravitational fluctuations that are compatible with an ultraviolet-complete matter sector, and results from the…
Post-selected weak measurement has been widely used in experiments to observe weak effects in various physical systems. However, it is still unclear how large the amplification ability of a weak measurement can be and what determines the…
We establish a general sufficient condition for a sequence of Galton Watson branching processes in varying environment to converge weakly. This condition extends previous results by allowing offspring distributions to have infinite…