Related papers: On scale functions for L\'evy processes with negat…

Small-space and large-time estimates and asymptotic expansion of the distribution function and (the derivatives of) the density function of hitting times of points for symmetric L\'evy processes are studied. The L\'evy measure is assumed to…

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…

We present an efficient method for evaluating random phase errors in phase shifters within photonic integrated circuits, avoiding the computational cost of traditional Monte Carlo simulations. By modeling spatially correlated manufacturing…

Accurate calculations of the nucleation rate $\Gamma$ for first order phase transitions are important for determining their observable consequences in particle physics and cosmology. Perturbative calculations are often used, but they are…

We consider the problem of estimating the scale matrix $\Sigma$ of the additif model $Y_{p\times n} = M + \mathcal{E}$, under a theoretical decision point of view. Here, $ p $ is the number of variables, $ n$ is the number of observations,…

Products between phase-type distributed random variables and any independent, positive and continuous random variable are studied. Their asymptotic properties are established, and an expectation-maximization algorithm for their effective…

We derive explicitly the coupling property for the transition semigroup of a L\'{e}vy process and gradient estimates for the associated semigroup of transition operators. This is based on the asymptotic behaviour of the symbol or the…

We consider transverse momentum distributions in B-decays. The O(alpha_S) coefficients for soft and collinear logarithms are computed to next-to-leading accuracy. Resummation of large logarithmic contributions is performed in impact…

The discrete class algorithm presented in this paper is an efficient simulation tool for stochastic processes governed by a reasonably small set of transition rates. The algorithm is presented, its performance compared to prevailing methods…

We study a linear-fractional Bienaym\'e-Galton-Watson process with a general type space. The corresponding tree contour process is described by an alternating random walk with the downward jumps having a geometric distribution. This leads…

We consider the problem of estimating the slope parameter in circular functional linear regression, where scalar responses Y1,...,Yn are modeled in dependence of 1-periodic, second order stationary random functions X1,...,Xn. We consider an…

In preliminary analysis of control charts, one may encounter multiple shifts and/or outliers especially with a large number of observations. The following paper addresses this problem. A statistical model for detecting and estimating…

An obvious way to simulate a L\'evy process $X$ is to sample its increments over time $1/n$, thus constructing an approximating random walk $X^{(n)}$. This paper considers the error of such approximation after the two-sided reflection map…

We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…

Rare events in the first-passage distributions of jump processes are capable of triggering anomalous reactions or series of events. Estimating their probability is particularly important when the jump probabilities have broad-tailed…

The paper looks at a scaled variant of the stochastic gradient descent algorithm for the matrix completion problem. Specifically, we propose a novel matrix-scaling of the partial derivatives that acts as an efficient preconditioning for the…

Calibrating a L\'evy process usually requires characterizing its jump distribution. Traditionally this problem can be solved with nonparametric estimation using the empirical characteristic functions (ECF), assuming certain regularity, and…

We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates in discrete time. The model is shown to have two distinct limiting states, corresponding to small and asymptotically…

This paper is concerned with adaptive kernel estimation of the L\'evy density N(x) for bounded-variation pure-jump L\'evy processes. The sample path is observed at n discrete instants in the "high frequency" context (\Delta = \Delta(n)…

We have investigated the random walk problem in a finite system and studied the crossover induced in the the persistence probability scales by the system size.Analytical and numerical work show that the scaling function is an exponentially…