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We investigate maxima of linear processes with i.i.d. heavy-tailed innovations and random coefficients. Using the point process approach we derive functional convergence of the partial maxima stochastic process in the space of…
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and…
The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…
In this paper a special piecewise linear system is studied. It is shown that, under a mild assumption, the semi-smooth Newton method applied to this system is well defined and the method generates a sequence that converges linearly to a…
This paper is devoted to filtering, smoothing, and prediction of polynomial processes that are partially observed. These problems are known to allow for an explicit solution in the simpler case of linear Gaussian state space models. The key…
We consider a stochastic process $Y$ defined by an integral in quadratic mean of a deterministic function $f$ with respect to a Gaussian process $X$, which need not have stationary increments. For a class of Gaussian processes $X$, it is…
Fractional Brownian motion (fBm) is an important scale-invariant Gaussian non-Markovian process with stationary increments, which serves as a prototypical example of a system with long-range temporal correlations and anomalous diffusion.…
We investigate a functional obtained by summing the squared differences of the integral of an Ito process over disjoint intervals. The limit of this sum is shown to converge in probability to two thirds the quadratic variation of the…
A fast and flexible $k$NN procedure is developed for dealing with a semiparametric functional regression model involving both partial-linear and single-index components. Rates of uniform consistency are presented. Simulated experiments…
Robots rely on motion planning to navigate safely and efficiently while performing various tasks. In this paper, we investigate motion planning through Bayesian inference, where motion plans are inferred based on planning objectives and…
Let $X=X_1\sqcup X_2\sqcup\ldots\sqcup X_k$ be a partitioned set of variables such that the variables in each part $X_i$ are noncommuting but for any $i\neq j$, the variables $x\in X_i$ commute with the variables $x'\in X_j$. Given as input…
Tempered fractional Brownian motion is revisited from the viewpoint of reduced fractional Ornstein-Uhlenbeck process. Many of the basic properties of the tempered fractional Brownian motion can be shown to be direct consequences or…
We continue the analysis of our previous paper (Czichowsky/Schachermayer/Yang 2014) pertaining to the existence of a shadow price process for portfolio optimisation under proportional transaction costs. There, we established a positive…
We obtain invariance principles for a wide class of fractionally integrated nonlinear processes. The limiting distributions are shown to be fractional Brownian motions. Under very mild conditions, we extend earlier ones on long memory…
To consider a high-dimensional random process, we propose a notion about stochastic tensor-valued random process (TRP). In this work, we first attempt to apply a generic chaining method to derive tail bounds for all p-th moments of the…
This paper introduces a general and new formalism to model the turbulent wave-front phase using fractional Brownian motion processes. Moreover, it extends results to non-Kolmogorov turbulence. In particular, generalized expressions for the…
We consider Brownian motions with one-sided collisions, meaning that each particle is reflected at its right neighbour. For a finite number of particles a Sch\"{u}tz-type formula is derived for the transition probability. We investigate an…
We study the asymptotic behaviour of partial sums of long range dependent random variables and that of their counting process, together with an appropriately normalized integral process of the sum of these two processes, the so-called…
In this paper we study the asymptotic behaviour of weighted random sums when the sum process converges stably in law to a Brownian motion and the weight process has continuous trajectories, more regular than that of a Brownian motion. We…
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,…