Related papers: On the chaotic expansion for counting processes
Spatio-temporal Hawkes point processes are a particularly interesting class of stochastic point processes for modeling self-exciting behavior, in which the occurrence of one event increases the probability of other events occurring. These…
Hawkes process is a simple point process that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, neuroscience, social networks,…
A quantum manifestation of chaotic classical dynamics is found in the framework of oscillatory numbers statistics for the model of nonlinear dissipative oscillator. It is shown by numerical simulation of an ensemble of quantum trajectories…
The chaotic phase of the tilted Bose-Hubbard model is identified as a function of energy, tilt strength and particle interaction, from the eigenstate structure and the statistical features of the energy spectrum. Our analysis reveals that…
In the chaotic quantization approach one replaces the Gaussian white noise of the Parisi-Wu approach of stochastic quantization by a deterministic chaotic process on a very small scale. We consider suitable coupled chaotic noise processes…
High-dimensional self-exciting point processes have been widely used in many application areas to model discrete event data in which past and current events affect the likelihood of future events. In this paper, we are concerned with…
In this paper, we combine deterministic splitting methods with a polynomial chaos expansion method for solving stochastic parabolic evolution problems. The stochastic differential equation is reduced to a system of deterministic equations…
We prove exponential moments for linear combinations of the number of individuals of each type of a whole multitype Poissonian Galton Watson process. We give sharp estimates for such quantities, which depend on the expectation of the…
We introduce, and formally establish, a variant of the Hawkes-fed birth-death process -- the delayed Hawkes birth-death process -- in which the conditional intensity does not increase at arrivals but at departures from the system. In a…
Hawkes processes are often applied to model dependence and interaction phenomena in multivariate event data sets, such as neuronal spike trains, social interactions, and financial transactions. In the nonparametric setting, learning the…
We derive a stochastic path integral representation of counting statistics in semi-classical systems. The formalism is introduced on the simple case of a single chaotic cavity with two quantum point contacts, and then further generalized to…
Compressive sampling has been widely used for sparse polynomial chaos (PC) approximation of stochastic functions. The recovery accuracy of compressive sampling highly depends on the incoherence properties of the measurement matrix. In this…
In this paper, a novel formulation of discrete chaotic iterations in the field of dynamical systems is given. Their topological properties are studied: it is mathematically proved that, under some conditions, these iterations have a chaotic…
Assuming that a stochastic process $X=(X_t)_{t\geq 0}$ is a sum of a compound Poisson process $Y=(Y_t)_{t\geq 0}$ with known intensity $\lambda$ and unknown jump size density $f,$ and an independent Brownian motion $Z=(Z_t)_{t\geq 0},$ we…
A stochastic representation for the solutions of the Poisson-Vlasov equation, with several charged species, is obtained. The representation involves both an exponential and a branching process and it provides an intuitive characterization…
Growing uncertainty from renewable energy integration and distributed energy resources motivate the need for advanced tools to quantify the effect of uncertainty and assess the risks it poses to secure system operation. Polynomial chaos…
Stochastic evolution equations with compensated Poisson noise are considered in the variational approach with monotone and coercive coefficients. Here the Poisson noise is assumed to be time-homogeneous with $\sigma$-finite intensity…
Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a non-parametric Bayesian approach to estimate the intensity…
We propose an Extended Hybrid High-Order scheme for the Poisson problem with solution possessing weak singularities. Some general assumptions are stated on the nature of this singularity and the remaining part of the solution. The method is…
We construct a general procedure for the Quasi Likelihood Analysis applied to a multivariate point process on the real half line in an ergodic framework. More precisely, we assume that the stochastic intensity of the underlying model…