Related papers: Weak Dirichlet processes and generalized martingal…

In this paper we develop via Girsanov's transformation a perturbation argument to investigate weak convergence of Euler-Maruyama (EM) scheme for path-dependent SDEs with H\"older continuous drifts. This approach is available to other…

First, sufficient conditions are given for a triangular array of random vectors such that the sequence of related random step functions converges towards a (not necessarily time homogeneous) diffusion process. These conditions are weaker…

This paper is concerned with a central limit theorem for quadratic variation when observations come as exit times from a regular grid. We discuss the special case of a semimartingale with deterministic characteristics and finite activity…

For each $n \geq 1$, let $\{X_{j,n}\}_{1 \leq j \leq n}$ be a sequence of strictly stationary random variables. In this article, we give some asymptotic weak dependence conditions for the convergence in distribution of the point process…

This work studies a two-time-scale functional system given by two jump-diffusions under the scale separation by a small parameter $\varepsilon \rightarrow 0$. The coefficients of the equations that govern the dynamics of the system depend…

This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Ito semimartingale. In contrast to existing work we analyse jumps of arbitrary size which are not…

This paper investigates the initial-boundary value problem for weakly coupled systems of time-fractional subdiffusion equations with spatially and temporally varying coupling coefficients. By combining the energy method with the coercivity…

In this paper, we investigate stochastic differential equations(SDEs) driven by a class of supercritical $\alpha$-stable process(including the rotational symmetric $\alpha-$stable process) with drift $b$. The weak well-posedness is proved,…

Weighted labelled transition systems are LTSs whose transitions are given weights drawn from a commutative monoid. WLTSs subsume a wide range of LTSs, providing a general notion of strong (weighted) bisimulation. In this paper we extend…

We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under suitable assumptions on the immigration, we establish the almost sure…

This paper contributes to the study of relative martingales. Specifically, for a closed random set $H$, they are processes null on $H$ which decompose as $M=m+v$, where $m$ is a c\`adl\`ag uniformly integrable martingale and, $v$ is a…

Given an It\=o semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the L\'evy measure to a Gaussian process. In contrast to…

Using analysis for 2-admissible functions in weighted Sobolev spaces and stochastic calculus for possibly degenerate symmetric elliptic forms, we construct weak solutions to a wide class of stochastic differential equations starting from an…

By a random process with immigration at random times we mean a shot noise process with a random response function (response process) in which shots occur at arbitrary random times. The so defined random processes generalize random processes…

Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic…

A novel approach is proposed to establish a sharp upper bound on the expected supremum of a separable martingale random field, serving as an alternative to classical universal chaining-based methods. The proposed approach begins by deriving…

Weak values are average quantities,therefore investigating their associated variance is crucial in understanding their place in quantum mechanics. We develop the concept of a position-postselected weak variance of momentum as cohesively as…

We study the weak approximation of the second-order backward SDEs (2BSDEs), when the continuous driving martingales are approximated by discrete time martingales. We establish a convergence result for a class of 2BSDEs, using both…

We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…

Using a coupling argument, we establish a general weak law of large numbers for functionals of binomial point processes in d-dimensional space, with a limit that depends explicitly on the (possibly non-uniform) density of the point process.…