Related papers: High-frequency dynamics of the implied volatility …
We prove a functional limit theorem for a pair of nearly unstable Hawkes processes coupled through a triangular cross-excitation mechanism, when the two kernels have distinct heavy-tail exponents. This heterogeneous regime produces two…
Recurrence behavior of wave packets in coupled higher dimensional systems and periodically driven systems is analyzed, which takes place in the realm of higher coupling/modulation strength. We analyze the wave packet dynamics close to…
We define a numerical method that provides a non-parametric estimation of the kernel shape in symmetric multivariate Hawkes processes. This method relies on second order statistical properties of Hawkes processes that relate the covariance…
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leading to significant biases in the estimation of the…
Self-propelled particles can navigate complex environments, including viscous fluid interfaces with curved geometries. In this work, we study the emergent dynamics of a suspension of self-propelled particles confined to a stationary curved…
What do the ocean surface and a swaying flag have in common? Both are deformable surfaces exhibiting chaotic motion when exposed to turbulent flows. Whether such motion is primarily driven by flow turbulence or by nonlinear dynamics…
This paper is devoted to establishing the full scaling limit theorems for multivariate Hawkes processes. Under some mild conditions on the exciting kernels, we develop a new way to prove that after a suitable time-spatial scaling, the…
We fully generalize a previously-developed computational geometry tool [1] to perform large-scale simulations of arbitrary two-dimensional faceted surfaces $z = h(x,y)$. Our method uses a three-component facet/edge/junction storage model,…
Stochastic homogeneous hyperelastic solids are characterised by strain-energy densities where the parameters are random variables defined by probability density functions. These models allow for the propagation of uncertainties from input…
We consider stochastic particle dynamics on hypersurfaces represented in Monge gauge parametrization. Starting from the underlying Langevin system, we derive the surface Dean-Kawasaki (DK) equation and formulate it in the martingale sense.…
Hawkes Processes capture self-excitation and mutual-excitation between events when the arrival of an event makes future events more likely to happen. Identification of such temporal covariance can reveal the underlying structure to better…
The effect of bias voltages on the statistical properties of rough surfaces has been studied using atomic force microscopy technique and its stochastic analysis. We have characterized the complexity of the height fluctuation of a rough…
A macroscopically nominal flat surface is rough at the nanoscale level and consists of nanoasperities. Therefore, the frictional properties of the macroscale-level rough surface are determined by the mechanical behaviors of nanoasperity…
The nature and behaviour of the drag coefficient of irregularly shaped grains within a wide range of Reynolds numbers is discussed. Using computational fluid dynamics (CFD) tools, the behaviour of the boundary layer at high Re has been…
By analyzing hot-wire velocity data taken in an open channel flow, an unambiguous definition of surface-layer thickness is here provided in terms of the cross-over scale between backward and forward energy fluxes. It is shown that the…
We provide probabilistic and computational results on Markovian multivariate Hawkes processes and induced population processes. By applying the Markov property, we characterize in closed form a joint transform, bijective to the probability…
A single incompressible, inviscid, irrotational fluid medium bounded by a free surface and varying bottom is considered. The Hamiltonian of the system is expressed in terms of the so-called Dirichlet-Neumann operators. The equations for the…
The effect of random surface roughness on hydrodynamics of viscous incompressible liquid is discussed. Roughness-driven contributions to hydrodynamic flows, energy dissipation, and friction force are calculated in a wide range of…
Many vesicles have a spherical resting shape and exposure to fluid flows induces an exchange between sub-optical area and visible (systematic) deformation, while the total area is conserved. The dynamics which controls the exchange between…
In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process. We are interested in the estimations of the volatility function and of the jump function from discrete high-frequency observations in a…