Related papers: Martingale estimation functions for Bessel process…
This paper is devoted to the error analysis of a time-spectral algorithm for fractional diffusion problems of order $\alpha$ ($0 < \alpha < 1$). The solution regularity in the Sobolev space is revisited, and new regularity results in the…
In this paper we are concerned with fully automatic and locally adaptive estimation of functions in a "signal + noise"-model where the regression function may additionally be blurred by a linear operator, e.g. by a convolution. To this end,…
Bessel process is defined as the radial part of the Brownian motion (BM) in the $D$-dimensional space, and is considered as a one-parameter family of one-dimensional diffusion processes indexed by $D$, BES$^{(D)}$. It is well-known that…
A fast and numerically stable algorithm is described for computing the discrete Hankel transform of order $0$ as well as evaluating Schl\"{o}milch and Fourier--Bessel expansions in $\mathcal{O}(N(\log N)^2/\log\!\log N)$ operations. The…
Considering the kernel of an integral operator intertwining two realizations of the group of motions of the pseudo-Euclidian space, we derive two formulas for series containing Whittaker's functions or Weber's parabolic cylinder functions.…
We consider statistical inference in factor analysis for ergodic and non-ergodic diffusion processes from discrete observations. Factor model based on high frequency time series data has been mainly discussed in the field of high…
We calculate a certain mean-value of meromorphic functions by using specific ergodic transformations, which we call affine Boolean transformations. We use Birkhoff's ergodic theorem to transform the mean-value into a computable integral…
Estimation of permutation entropy (PE) using Bayesian statistical methods is presented for systems where the ordinal pattern sampling follows an independent, multinomial distribution. It is demonstrated that the PE posterior distribution is…
We derive uniform concentration inequalities for continuous-time analogues of empirical processes and related stochastic integrals of scalar ergodic diffusion processes. Thereby, we lay the foundation typically required for the study of…
The emergence of localised radial patterns from a Turing instability has been well studied in two and three dimensional settings and predicted for higher spatial dimensions. We prove the existence of localised $(n+1)$-dimensional radial…
We apply the mathematical technique of factorization of differential operators to two different problems. First we review our results related to the supersymmetry of the Montroll kinks moving onto the microtubule walls as well as mentioning…
We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
We provide a new estimation method for conditional moment models via the martingale difference divergence (MDD).Our MDD-based estimation method is formed in the framework of a continuum of unconditional moment restrictions. Unlike the…
We describe an efficient algorithm for computing the matrix vector products that appear in the numerical resolution of boundary integral equations in 2 space dimension. This work is an extension of the so-called Sparse Cardinal Sine…
We consider the exact path sampling of the squared Bessel process and some other continuous-time Markov processes, such as the CIR model, constant elasticity of variance diffusion model, and hypergeometric diffusions, which can all be…
The Generalized Bessel Function (GBF) extends the single variable Bessel function to several dimensions and indices in a nontrivial manner. Two-dimensional GBFs have been studied extensively in the literature and have found application in…
We consider the problem of estimating the support of a measure from a finite, independent, sample. The estimators which are considered are constructed based on the empirical Christoffel function. Such estimators have been proposed for the…
We discuss martingales, detrending data, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). Beginning with x-independent drift coefficients R(t) we show that Martingale stochastic…
This work concerns random dynamics of hyperbolic entire and meromorphic functions of finite order and whose derivative satisfies some growth condition at infinity. This class contains most of the classical families of transcendental…