Related papers: Stochastic fixed point equation and local dependen…

We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…

Local detailed balance (LDB) is a central guiding principle for modeling nonequilibrium stochastic dynamics, yet it only constrains the ratio of forward and backward transition rates and does not fix the steady state. Although the…

We introduce a family of local inhomogeneous mark-weighted summary statistics, of order two and higher, for general marked point processes. Depending on how the involved weight function is specified, these summary statistics capture…

In this paper we study the asymptotic properties of the power variations of stochastic processes of the type X=Y+L, where L is an alpha-stable Levy process, and Y a perturbation which satisfies some mild Lipschitz continuity assumptions. We…

We investigate the periodic and stationary solutions of distribution-dependent stochastic differential equations. While generally, the semigroups associated with the equations are nonlinear, we show that the methods of weak convergence and…

We establish the well-posedness of stationary solutions for a class of SPDEs with locally monotone coefficients, and prove the Freidlin--Wentzell large deviation principle (LDP) for these stationary solutions. The LDP for the associated…

In this study, we develop an asymptotic theory of nonparametric regression for locally stationary random fields (LSRFs) $\{{\bf X}_{{\bf s}, A_{n}}: {\bf s} \in R_{n} \}$ in $\mathbb{R}^{p}$ observed at irregularly spaced locations in…

Nonparametric regression models with locally stationary covariates have received increasing interest in recent years. As a nice relief of "curse of dimensionality" induced by large dimension of covariates, additive regression model is…

The paper considers the problem of detecting and localizing changepoints in a sequence of independent observations. We propose to evaluate a local test statistic on a triplet of time points, for each such triplet in a particular collection.…

For a bivariate probability distribution, local dependence around a single point on the support is often formulated as the second derivative of the logarithm of the probability density function. However, this definition lacks the invariance…

We study the stationary points of what is known as the lattice Landau gauge fixing functional in one-dimensional compact U(1) lattice gauge theory, or as the Hamiltonian of the one-dimensional random phase XY model in statistical physics.…

We develop an estimator for the high-dimensional covariance matrix of a locally stationary process with a smoothly varying trend and use this statistic to derive consistent predictors in non-stationary time series. In contrast to the…

Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivariate framework, the tail dependence is characterized by the…

We study the invariance of stochastic differential equations under random diffeomorphisms, and establish the determining equations for random Lie-point symmetries of stochastic differential equations, both in Ito and in Stratonovich form.…

This paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and strong dependency. A time-varying…

The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. Our new estimation approach for this parameter is based on the extremal behavior under the local dependence condition…

In many applications, data come with a natural ordering. This ordering can often induce local dependence among nearby variables. However, in complex data, the width of this dependence may vary, making simple assumptions such as a constant…

In this paper we discuss the adjoint stabilised finite element method introduced in, E. Burman, Stabilized finite element methods for nonsymmetric, noncoercive and ill-posed problems. Part I: elliptic equations, SIAM Journal on Scientific…

Assume that we observe a stochastic process $(X(t))_{t\in[-r,T]}$, which satisfies the linear stochastic delay differential equation \[ \mathrm{d} X(t) = \vartheta \int_{[-r,0]} X(t + u) \, a(\mathrm{d} u) \, \mathrm{d} t + \mathrm{d} W(t)…

We show existence and uniqueness of invariant measures for SDE of the form \[ dX_t = g(X_t)dt + u(X_t)dt + dW^H_t \] where $W^H$ is a fractional Brownian motion (fBm) with Hurst parameter $H\in (0,\frac{1}{2})$, $u$ is a linearly dispersive…