Related papers: Diffusion Limit of Poisson Limit-Order Book Models
In this note we discuss additional properties of mixed Poisson distributions. We discuss the convergence of mixed Poisson distributions to its mixing distribution for the scaling parameter tending to infinity. Moreover, we obtain a central…
Here we aim at justifying rigorously different types of physically relevant diffusive limits for radiative flows. For simplicity, we consider the barotropic situation, and adopt the so-called P1-approximation of the radiative transfer…
We examine a generalization of the binomial distribution associated with a strictly increasing sequence of numbers and we prove its Poisson-like limit. Such generalizations might be found in quantum optics with imperfect detection. We…
We study a class of two-sided optimal control problems of general linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We give a weak and…
We consider the inclusion process on the complete graph with vanishing diffusivity, which leads to condensation of particles in the thermodynamic limit. Describing particle configurations in terms of size-biased and appropriately scaled…
Several results of large deviations are obtained for distributions that are associated with the Poisson--Dirichlet distribution and the Ewens sampling formula when the parameter $\theta$ approaches infinity. The motivation for these results…
Asymptotic behavior of the point process of high and medium values of a Gaussian stationary process with discrete time is considered. An approximation by a Poisson cluster point process is given for the point process.
We prove limit theorems for functionals of a Poisson point process using the Malliavin calculus on the Poisson space. The target distribution is conditionally either a Gaussian vector or a Poisson random variable. The convergence is stable…
We overview results on the topic of Poisson approximation that are missed in existing surveys. The topic of Poisson approximation to the distribution of a sum of integer-valued random variables is presented as well. We do not restrict…
Under the diffusion scaling and a scaling assumption on the microscopic component, a non-classical fluid dynamic system was derived in \cite{BGLY} that is related to the system of ghost effect derived in \cite{Sone-2} in different settings.…
In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new…
A $d$-dimensional Ising model on a lattice torus is considered. As the size $n$ of the lattice tends to infinity, a Poisson approximation is given for the distribution of the number of copies in the lattice of any given local configuration,…
Fractional equations have become the model of choice in several applications where heterogeneities at the microstructure result in anomalous diffusive behavior at the macroscale. In this work we introduce a new fractional operator…
By considering the master equation of the partially asymmetric diffusion process on a one-dimensional lattice, the most general boundary condition (i.e. interactions) for the multi-species reaction-diffusion processes is considered.…
The paper studies a higher-order diffusion model of Maxwell-Stefan kind. The model is based upon higher-order moment equations of kinetic theory of mixtures, which include viscous dissipation in the model. Governing equations are analyzed…
In this work, we investigate an intriguing and prevalent phenomenon of diffusion models which we term as "consistent model reproducibility": given the same starting noise input and a deterministic sampler, different diffusion models often…
We establish asymptotic diffusion limits of the non-classical transport equation derived in [E. W. Larsen, A generalized Boltzmann equation for non-classical particle transport, Joint international topical meeting on mathematics &…
The use of discrete material representation in numerical models is advantageous due to the straightforward way it takes into account material heterogeneity and randomness, and the discrete and orientated nature of cracks. Unfortunately, it…
We extend below a limit theorem of Baker, Chigansky, Hamza and Klebaner (2018) for diffusion models used in population theory.
Inspired by R. Speicher's multidimensional free central limit theorem and semicircle families, we prove an infinite dimensional compound Poisson limit theorem in free probability, and define infinite dimensional compound free Poisson…