Related papers: The central limit theorem for stochastic Volterra …
In this work we study rough differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4 and establish Varadhan's small time estimates for the density of solutions of such equations under Hormander's type…
We study local quasihelix and generalized quasihelix properties of several Gaussian Volterra processes with tempered, power-weighted, and logarithmic kernels, including tempered fractional Brownian motions and generalized fractional…
We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$. The mean-square rate of convergence of Euler approximations of solution to this…
In this paper, we study a class of one-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>\ff 1 2$. The drift term of the equation is locally Lipschitz and unbounded in the…
In this paper the question of the extent to which truncated heavy tailed random vectors, taking values in a Banach space, retain the characteristic features of heavy tailed random vectors, is answered from the point of view of the central…
The aim of the paper is to study an optimal control problem on infinite horizon for an infinite dimensional integro-differential equation with completely monotone kernelskernels, where we assume that the noise enters the system when we…
We obtain bounds for probabilities of deviations of the truncated variation functional of fractional Brownian motions (fBm) of any Hurst index $H \in (0,1)$ from their expected values. Obtained bounds are optimal for large values of…
We provide a rigorous derivation of the brownian motion as the limit of a deterministic system of hard-spheres as the number of particles $N$ goes to infinity and their diameter $\varepsilon$ simultaneously goes to $0$, in the fast…
We define weighted fractional Brownian sheets, which are a class of Gaussian random fields with four parameters that include fractional Brownian sheets as special cases, and we give some of their properties. We show that for certain values…
Variation of empirical Fr\'echet means on a metric space with curvature bounded above is encoded via random fields indexed by unit tangent vectors. A central limit theorem shows these random tangent fields converge to a Gaussian such field…
We give a new representation of fractional Brownian motion with Hurst parameter H<=1/2 using stochastic partial differential equations. This representation allows us to use the Markov property and time reversal, tools which are not usually…
In this paper, we establish a central limit theorem and a moderate deviations for 2D stochastic primitive equations with multiplicative noise. The proof is mainly based on the weak convergence approach.
In this text matrix Volterra integral equation of the first kind is addressed. It is assumed that kernels of the equation have jump discontinuities on non-intersecting curves. Such equations appear in the theory of evolving dynamic systems.…
In this paper, we apply rough paths techniques to provide an approximation of the solution of stochastic functional differential equations driven by fractional Brownian motion with Hurst parameter $H>1/2$. Here, the involved stochastic…
In this paper we obtain Gaussian-type lower bounds for the density of solutions to stochastic differential equations (SDEs) driven by a fractional Brownian motion with Hurst parameter $H$. In the one-dimensional case with additive noise,…
An isotropic fractional Brownian field (with Hurst parameter $H<1/2$) is observed in a family of points in the unit square $\mathbf{C}=(-1/2,1/2]^{2}$% . These points are assumed to come from a realization of a homogeneous Poisson point…
We find a sufficient condition under which a central limit theorem for a stationary linear process is quenched. We find a stationary linear process szatisfying the Maxwell-Woodroofe condition for which the variances of partial sums are…
We prove a central limit theorem for a certain class of functions on sparse rank-one inhomogeneous random graphs endowed with additional i.i.d. edge and vertex weights. Our proof of the central limit theorem uses a perturbative form of…
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties induced by the use of non-convolutive Volterra processes by…
We obtain general weak existence and stability results for stochastic convolution equations with jumps under mild regularity assumptions, allowing for non-Lipschitz coefficients and singular kernels. Our approach relies on weak convergence…