Related papers: Evolution of the Stochastic Airy eigenvalues under…
Thermodynamic Bethe ansatz equations are coupled non-linear integral equations which appear frequently when solving integrable models. Those associated with models with N=2 supersymmetry can be related to differential equations, among them…
The goal of the paper is to investigate the dynamics of the eigenvalues of the Sturm-Liouville operator with summable PT-symmetric potential on the finite interval. It turns out that the case of a complex Airy operator presents an exactly…
We show that at any location away from the spectral edge, the eigenvalues of the Gaussian unitary ensemble and its general beta siblings converge to Sine_beta, a translation invariant point process. This process has a geometric description…
When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the…
The dynamics of the eigenvalues (semimartingales) of a L\'{e}vy process $X$ with values in Hermitian matrices is described in terms of It\^{o} stochastic differential equations with jumps. This generalizes the well known Dyson-Brownian…
We study the multipoint distribution of stationary half-space last passage percolation with exponentially weighted times. We derive both finite-size and asymptotic results for this distribution. In the latter case we observe a new…
In this paper we estimate both the Hurst and the stable indices of a H-self-similar stable process. More precisely, let $X$ be a $H$-sssi (self-similar stationary increments) symmetric $\alpha$-stable process. The process $X$ is observed at…
Multivariate Bessel processes describe the stochastic dynamics of interacting particle systems of Calogero-Moser-Sutherland type and are related with $\beta$-Hermite and Laguerre ensembles. It was shown by Andraus, Katori, and Miyashita…
Differential operators commuting with integral operators were discovered in the work of C. Tracy and H. Widom [37, 38] and used to derive asymptotic expansions of the Fredholm determinants of integral operators arising in random matrix…
Dependent nonparametric processes extend distributions over measures, such as the Dirichlet process and the beta process, to give distributions over collections of measures, typically indexed by values in some covariate space. Such models…
A point process is said to be rigid if for any bounded domain in the phase space, the number of particles in the domain is almost surely determined by the restriction of the configuration to the complement of our bounded domain. The main…
In the present paper, we deal with a fourth-order boundary value problem problem with eigenparameter dependent boundary conditions and transmission conditions at a interior point. A self-adjoint linear operator A is defined in a suitable…
This paper is devoted to the characterization of an extended family of CARMA (continuous-time autoregressive moving average) processes that are solutions of stochastic differential equations driven by white Levy innovations. These are…
We study the local properties of eigenvalues for the Hermite (Gaussian), Laguerre (Chiral) and Jacobi $\beta$-ensembles of $N\times N$ random matrices. More specifically, we calculate scaling limits of the expectation value of products of…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
There has been much recent interest, initiated by work of the physicists Hatano and Nelson, in the eigenvalues of certain random non-Hermitian periodic tridiagonal matrices and their bidiagonal limits. These eigenvalues cluster along a…
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process…
Some special Hilbert spaces are introduced to present the class of infinitesimal operators with complete minimal non-basis family of eigenvectors. The discrete Hardy inequality plays an important role in the proposed approach. The…
In this paper we compute some of the higher order terms in the large-t asymptotic expansion of the Airy process two-point function, extending the previous work of Adler and van Moerbeke and Widom. We prove that it is possible to represent…
Persistent Betti numbers are a major tool in persistent homology, a subfield of topological data analysis. Many tools in persistent homology rely on the properties of persistent Betti numbers considered as a two-dimensional stochastic…