Related papers: Continuous-time locally stationary time series mod…
We use spectral projections of time operator in the Liouville space for simple quantum scattering systems in order to define a space of unstable particle states evolving under a contractive semi-group. This space includes purely…
We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…
We explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices evolving smoothly over time. Two types of time-varying graphs…
We present a general class of spatio-temporal stochastic processes describing the causal evolution of a positive-valued field in space and time. The field construction is based on independently scattered random measures of Levy type whose…
We investigate multivariate regular variation in the context of time-homogeneous Markov chains on general vector spaces and in random coefficient linear models. In the first part, we show that the regular variation of the stationary…
In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…
Analysis of mathematical models in ecology and epidemiology often focuses on asymptotic dynamics, such as stable equilibria and periodic orbits. However, many systems exhibit long transient behaviors where certain aspects of the dynamics…
We consider a stationary process (with either discrete or continuous time) and find an adaptive approximating stationary process combining approximation quality and supplementary good properties that can be interpreted as additional…
In this paper, we will prove that the local time of a L\'evy process is of finite $p$-variation in the space variable in the classical sense, a.s. for any $p>2$, $t\geq 0$, if the L\'evy measure satisfies $\int_{R\setminus…
Several stochastic processes related to transient L\'evy processes with potential densities $u(x,y)=u(y-x)$, that need not be symmetric nor bounded on the diagonal, are defined and studied. They are real valued processes on a space of…
L\'{e}vy walk is a popular and more `physical' model to describe the phenomena of superdiffusion, because of its finite velocity. The movements of particles are under the influences of external potentials almost at anytime and anywhere. In…
Interpretable classification of time series presents significant challenges in high dimensions. Traditional feature selection methods in the frequency domain often assume sparsity in spectral density matrices (SDMs) or their inverses, which…
Several long-time limit theorems of one-dimensional L\'{e}vy processes weighted and normalized by functions of the local time are studied. The long-time limits are taken via certain families of random times, called clocks: exponential…
We study the class of semi-Levy driven continuous-time GARCH, denoted by SLD-COGARCH, process. The statistical properties of this process are characterized. We show that the state process of such process can be described by a random…
In this study we show how to represent a continuous time autoregressive moving average (CARMA) as a higher order stochastic delay differential equation, which may be thought of as a continuous-time equivalent of the AR($\infty$)…
Stochastic Spatio-Temporal processes are prevalent across domains ranging from modeling of plasma to the turbulence in fluids to the wave function of quantum systems. This letter studies a measure-theoretic description of such systems by…
We introduce a discrete-time quantum dynamics on a two-dimensional lattice that describes the evolution of a $1+1$-dimensional spin system. The underlying quantum map is constructed such that the reduced state at each time step is…
The key element in time-dependent density functional theory is the one-to-one correspondence between the one-particle density and the external potential. In most approaches this mapping is transformed into a certain type of Sturm-Liouville…
Using the method of Krylov's estimates, we prove the existence of weak solutions of stochastic differential equations driven by purely discontinuous Levy processes satisfying an additional assumption. The diffusion coefficient is assumed to…
Graph-based methods for signal processing have shown promise for the analysis of data exhibiting irregular structure, such as those found in social, transportation, and sensor networks. Yet, though these systems are often dynamic,…