Related papers: Functional limit theorems for the fractional Ornst…
The combination of functional limit theorems with the pathwise analysis of deterministic and stochastic differential equations has proven to be a powerful approach to the analysis of fast-slow systems. In a multivariate setting, this…
In this paper, we establish a central limit theorem for a large class of general supercritical superprocesses with spatially dependent branching mechanisms satisfying a second moment condition. This central limit theorem generalizes and…
In this paper, we study the asymptotic behavior of a semi-linear slow-fast stochastic partial differential equation with singular coefficients. Using the Poisson equation in Hilbert space, we first establish the strong convergence in the…
In this paper, we consider the statistical inference of the drift parameter $\theta$ of non-ergodic Ornstein-Uhlenbeck~(O-U) process driven by a general Gaussian process $(G_t)_{t\ge 0}$. When $H \in (0, \frac 12) \cup (\frac 12,1) $ the…
We study the effective estimation of the diffusivity and Hurst parameter for the homogenized limit of a class of slow/fast systems. Depending on the system parameters, this limit solves a stochastic differential equation driven by either a…
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the…
For a stationary sequence of random variables we derive a self-normalized functional limit theorem under joint regular variation with index $\alpha \in (0,2)$ and weak dependence conditions. The convergence takes place in the space of…
We extend Tooru-Cohen analysis for nonequilirium steady state(NSS) of a Brownian particle to nonequilibrium oscillatory state (NOS) of Brownian particle by considering time dependent external drive protocol. We consider an unbounded charged…
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.…
In this article, we prove a new functional limit theorem for the partial sum sequence $S_{[nt]}=\sum_{i=1}^{[nt]}X_i$ corresponding to a linear sequence of the form $X_i=\sum_{j \in \bZ}c_j \xi_{i-j}$ with i.i.d. innovations $(\xi_i)_{i \in…
We consider a multiscale system of stochastic differential equations in which the slow component is perturbed by a small fractional Brownian motion with Hurst index $H>1/2$ and the fast component is driven by an independent Brownian motion.…
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…
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion…
We obtain functional central limit theorems for both discrete time expressions of the form $1/\sqrt{N}\sum_{n=1}^{[Nt]}(F(X(q_1(n)),\ldots, X(q_{\ell}(n)))-\bar{F})$ and similar expressions in the continuous time where the sum is replaced…
In this paper, we follow in the footsteps of Onsager and Machlup (OM) and consider diffusion-like paths that are explored by a particle moving via a conservative force while being in thermal equilibrium with its surroundings. Instead of…
We study the large deviations of the power injected by the active force for an Active Ornstein-Uhlenbeck Particle (AOUP), free or in a confining potential. For the free-particle case, we compute the rate function analytically in…
We investigate an almost sure limit theorem (ASCLT) for sequences of random variables having the form of a ratio of two terms such that the numerator satisfies the ASCLT and the denominator is a positive term which converges almost surely…
For linear processes with independent identically distributed innovations that are regularly varying with tail index $\alpha \in (0, 2)$, we study functional convergence of the joint partial sum and partial maxima processes. We derive a…
We investigate the stochastic motion of a Brownian particle in the harmonic potential with a time-dependent force constant. It may describe the motion of a colloidal particle in an optical trap where the potential well is formed by a…
We consider an Ornstein-Uhleneck (OU) process associated to self-normalised sums in i.i.d. symmetric random variables from the domain of attraction of $N(0, 1)$ distribution. We proved the self-normalised sums converge to the OU process (in…