Related papers: Limit theorems for signatures
We build and study a multidimensional version of the Curie-Weiss model of self-organized criticality we have designed in arXiv:1301.6911. For symmetric distributions satisfying some integrability condition, we prove that the sum $S_n$ of…
In this letter, we construct cusum change-point tests for the Hurst exponent and the volatility of a discretely observed fractional Brownian motion. As a statistical application of the functional Breuer-Major theorems by B\'egyn (2007) and…
We characterize the asymptotic behaviour of the weighted power variation processes associated with iterated Brownian motion. We prove weak convergence results in the sense of finite dimensional distributions, and show that the laws of the…
We consider the classical Shiryaev--Roberts martingale diffusion, $(R_t)_{t\ge0}$, restricted to the interval $[0,A]$, where $A>0$ is a preset absorbing boundary. We take yet another look at the well-known phenomenon of quasi-stationarity…
In the leading order of the heavy quark expansion, we propose a method within the OPE and the trace formalism, that allows to obtain, in a systematic way, Bjorken-like sum rules for the derivatives of the elastic Isgur-Wise function…
We consider a system of multiscale stochastic differential equations whose slow component is drivenby a fractional Brownian motion with Hurst parameter H greater than 1/2. Under ergodic assumptions ensuring the applicability of the…
Let $\{Y_i,-\infty<i<\infty\}$ be a doubly infinite sequence of identically distributed, negatively dependent random variables under sub-linear expectations, $\{a_i,-\infty<i<\infty\}$ be an absolutely summable sequence of real numbers. In…
We consider a class of stationary processes exhibiting both long-range dependence and heavy tails. Separate limit theorems for sums and for extremes have been established recently in literature with novel objects appearing in the limits. In…
We establish optimal logarithmic rates of convergence in the strong invariance principle for multivariate cumulative processes in the Smith's sense. Exponential probabilistic inequalities of Koml\'{o}s-Major-Tusn\'{a}dy type are obtained.…
We consider the equations of motion for an incompressible Non-Newtonian fluid in a bounded Lipschitz domain $G\subset\mathbb R^d$ during the time intervall $(0,T)$ together with a stochastic perturbation driven by a Brownian motion $W$. The…
The expected signature uniquely determines the law of a random rough path under a moment-growth condition, yet finite-sample bounds for estimating it from a single long dependent trajectory have been lacking. We study a stationary…
We construct and analyze the Standard Model of electroweak and strong interactions in multiscale spacetimes with (i) weighted derivatives and (ii) $q$-derivatives. Both theories can be formulated in two different frames, called fractional…
The strongly intensive measures $\Delta[P_T,N]$ and $\Sigma[P_T,N]$ are used to study the event-by-event fluctuations of the transverse momentum $P_T$ and particle multiplicity $N$ in nucleus-nucleus collisions. A special normalization for…
We study distributional properties of a quadratic form of a stationary functional time series under mild moment conditions. As an important application, we obtain consistency rates of estimators of spectral density operators and prove joint…
We present an analytic method for computing the moments of a sum of independent and identically distributed random variables. The limiting behavior of these sums is very important to statistical theory, and the moment expressions that we…
We prove strong invariance principle between a transient Bessel process and a certain nearest neighbor (NN) random walk that is constructed from the former by using stopping times. It is also shown that their local times are close enough to…
The accurate estimation of scaling exponents is central in the observational study of scale-invariant phenomena. Natural systems unavoidably provide observations over restricted intervals; consequently a stationary stochastic process (time…
We prove a central limit theorem for the momentum distribution of a particle undergoing an unbiased spatially periodic random forcing at exponentially distributed times without friction. The start is a linear Boltzmann equation for the…
In this paper, we investigate the stochastic damped Burgers equation with multiplicative noise defined on the entire real line. We demonstrate the existence and uniqueness of a mild solution to the stochastic damped Burgers equation and…
Let $W(t), t\ge 0$ be standard Brownian motion. We study the size of the time intervals $I$ which are admissible for the long range of slow increase, namely given a real $z>0$, $$ \sup_{t\in I}{|W(t)|\over \sqrt t} \le z, $$ and we estimate…