Related papers: Self-exciting jump processes and their asymptotic …
Dunkl processes are multidimensional Markov processes defined through the use of Dunkl operators. These processes have discontinuities, and they can be separated into their continuous (radial) part, and their discontinuous (jump) part.…
We discuss a concept of path-dependent SDE with distributional drift with possible jumps. We interpret it via a suitable martingale problem, for which we provide existence and uniqueness. The corresponding solutions are expected to be…
This paper deals with an impulsive degenerate logistic model, where pulses are introduced for modeling interventions or disturbances, and degenerate logistic term may describe refugees or protections zones for the species. Firstly, the…
We consider the stochastic ranking process with the jump times of the particles determined by Poisson random measures. We prove that the joint empirical distribution of scaled position and intensity measure converges almost surely in the…
We prove that certain asymptotic moments exist for some random distance expanding dynamical systems and Markov chains in random dynamical environment, and compute them in terms of the derivatives at the $0$ of an appropriate pressure…
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…
The boundary behavior of continuous-state branching processes with quadratic competition is studied in whole generality. We first observe that despite competition, explosion can occur for certain branching mechanisms. We obtain a necessary…
Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate…
In this paper we introduce non-decreasing jump processes with independent and time non-homogeneous increments. Although they are not L\'evy processes, they somehow generalize subordinators in the sense that their Laplace exponents are…
We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in application domains where events and intensities accelerate…
Spatio-temporal hierarchical modeling is an extremely attractive way to model the spread of crime or terrorism data over a given region, especially when the observations are counts and must be modeled discretely. The spatio-temporal…
We study the dynamics of a self-propelled particle advected by a steady laminar flow. The persistent motion of the self-propelled particle is described by an active Ornstein-Uhlenbeck process. We focus on the diffusivity properties of the…
Extreme events can come either from point processes, when the size or energy of the events is above a certain threshold, or from time series, when the intensity of a signal surpasses a threshold value. We are particularly concerned by the…
We consider a Markov process $X$, which is the solution of a stochastic differential equation driven by a L\'{e}vy process $Z$ and an independent Wiener process $W$. Under some regularity conditions, including non-degeneracy of the…
Spatio-temporal Hawkes point processes are a particularly interesting class of stochastic point processes for modeling self-exciting behavior, in which the occurrence of one event increases the probability of other events occurring. These…
It is well-known from the work of Sch\"onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The…
We consider a continuous time process that is self-exciting and ergodic, called threshold Chan-Karolyi-Longstaff-Sanders (CKLS) process. This process is a generalization of various models in econometrics, such as Vasicek model,…
We start by providing an explicit characterization and analytical properties, including the persistence phenomena, of the distribution of the extinction time $\mathbb{T}$ of a class of non-Markovian self-similar stochastic processes with…
We study time series concerning rare events. The occurrence of a rare event is depicted as a jump of constant intensity always occurring in the same direction, thereby generating an asymmetric diffusion process. We consider the case where…
We investigate diffusion of excitation in one- and two-dimensional lattices with random on-site energies and deterministic long-range couplings (hopping) inversely proportional to the distance. Three regimes of diffusion are observed in…