Related papers: An Exact Method For Simulating Rapidly Decreasing …
We extend the spectral method for proving limit theorems to random non-uniformly expanding dynamical systems. This yields the CLT and moderate deviations principles (MDP). We show that as the amount of non-uniformity decreases the CLT rates…
We introduce a large and flexible class of discrete tempered stable distributions, and analyze the domains of attraction for both this class and the related class of positive tempered stable distributions. Our results suggest that these are…
In this paper we define the closure under weak convergence of the class of p-tempered {\alpha}-stable distributions. We give necessary and sufficient conditions for convergence of sequences in this class. Moreover, we show that any element…
This paper introduces a framework for simulating finite dimensional representations of (jump) diffusion sample paths over finite intervals, without discretisation error (exactly), in such a way that the sample path can be restored at any…
In this paper, the problem of non-fragile finite-time stabilization for linear discrete mean-field stochastic systems is studied. The uncertain characteristics in control parameters are assumed to be random satisfying the Bernoulli…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
This paper proposes a novel reaction-diffusion system approximation tailored for singular diffusion problems, typified by the fast diffusion equation. While such approximation methods have been successfully applied to degenerate parabolic…
In this article, we introduce and study a one sided tempered stable first order autoregressive model called TAR(1). Under the assumption of stationarity of the model, the marginal probability density function of the error term is found. It…
Considering the natural ventilation, the thermal behavior of buildings can be described by a linear time varying model. In this paper, we describe an implementation of model reduction of linear time varying systems. We show the consequences…
This paper provides a detailed introductory description of Subset Simulation, an advanced stochastic simulation method for estimation of small probabilities of rare failure events. A simple and intuitive derivation of the method is given…
Most of numerical methods for deterministic simulations of rarefied gas flows use the discrete velocity (or discrete ordinate) approximation. In this approach, the kinetic equation is approximated with a global velocity grid. The grid must…
Both discrete and continuum models have been widely used to study rapid granular flow, discrete model is accurate but computationally expensive, whereas continuum model is computationally efficient but its accuracy is doubtful in many…
The objective of this paper is to extend an estimation method of parameters of the stable distributions in $\rd$ to the regularly varying tails distributions in an arbitrary cone. The consistency and the asymptotic normality of estimators…
We study a numerical instability of direct simulations with truncated equation chains for the "circular cumulant" representation and two approaches to its suppression. The approaches are tested for a chimera-bearing hierarchical population…
Real data are constrained to finite sampling rates, which calls for a suitable mathematical description of the corrections to the finite-time estimations of the dynamic equations. Often in the literature, lower order discrete time…
In this paper, a modification of the conventional approximations to the quasi-maximum likelihood method is introduced for the parameter estimation of diffusion processes from discrete observations. This is based on a convergent…
In literature, a stochastic model for spreading nodes in a cellular cell is available. Despite its existence, the current method does not offer any versatility in dealing with sectored layers. Of course, this needed adaptability could be…
In this paper, pseudo-transient continuation method has been modified and implemented in power system long-term stability analysis. This method is a middle ground between integration and steady state calculation, thus is a good compromise…
The problem of successfully simulating ionic fluids at low temperature and low density states is well known in the simulation literature: using conventional methods, the system is not able to equilibrate rapidly due to the presence of…
For a single timestep, a spectral solver is known to be more accurate than its finite-difference counterpart. However, as we show in this paper, turbulence simulations using the two methods have nearly the same accuracy. In this paper, we…