Related papers: Precise Deviations for discrete marked Hawkes proc…
We characterise the convergence of a certain class of discrete time Markov processes toward locally Feller processes in terms of convergence of associated operators. The theory of locally Feller processes is applied to L\'evy-type processes…
This paper presents a time discretization of the robust exact filtering differentiator, a sliding mode differentiator coupled to filter, which provides a suitable approximation to the derivatives of some noisy signals. This proposal takes…
We study a multivariate Hawkes process with long-range interactions, where the interaction strength decays as a power-law in the distance of the particles with exponent $1+\alpha.$ Our main focus is on the long-time asymptotic behavior of…
Consider the normalized partial sums of a real-valued function $F$ of a Markov chain, \[\phi_n:=n^{-1}\sum_{k=0}^{n-1}F(\Phi(k)),\qquad n\ge1.\] The chain $\{\Phi(k):k\ge0\}$ takes values in a general state space $\mathsf {X}$, with…
We study the large deviations of time-integrated observables of Markov diffusions that have perfectly reflecting boundaries. We discuss how the standard spectral approach to dynamical large deviations must be modified to account for such…
Determinantal point processes (DPPs) are probabilistic models for repulsion. When used to represent the occurrence of random subsets of a finite base set, DPPs allow to model global negative associations in a mathematically elegant and…
The article is devoted to the estimation of the rate of convergence of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density which is differentiable in $t$ and…
We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper is a non-central moderate…
We define discrete Hamiltonian systems in the framework of discrete embeddings. An explicit comparison with previous attempts is given. We then solve the discrete Helmholtz's inverse problem for the discrete calculus of variation in the…
This paper presents a parametric estimation method for ill-observed linear stationary Hawkes processes. When the exact locations of points are not observed, but only counts over time intervals of fixed size, methods based on the likelihood…
This paper studies the Hardy-type inequalities on the discrete intervals. The first result is the variational formulas of the optimal constants. Using these formulas, one may obtain an approximating procedure and the known basic estimates…
The tacnode process is a universal determinantal point process arising from non-intersecting particle systems and tiling problems. It is the aim of this work to explore the integrable structure and large gap asymptotics for the gap…
This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime. We show that, under appropriate scaling, both the intensity processes and the rescaled Hawkes…
This work is concerned with the large deviation principle for a family of slow-fast systems perturbed by infinite-dimensional mixed fractional Brownian motion with Hurst parameter $H\in(\frac12,1)$. We adopt the weak convergence method…
Via constructing an asymptotic coupling by reflection, in this paper we establish uniform-in-time estimates on probability distances for mean-field type SDEs, where the drift terms under consideration are dissipative merely in the long…
The self-exciting Hawkes process is widely used to model events which occur in bursts. However, many real world data sets contain missing events and/or noisily observed event times, which we refer to as data distortion. The presence of such…
In this paper, we proved moderate deviation principles for a fully coupled two-time-scale stochastic systems, where the slow process is given by stochastic differential equations with small noise, while the fast process is a rapidly…
The large deviations at Level 2.5 are applied to Markov processes with absorbing states in order to obtain the explicit extinction rate of metastable quasi-stationary states in terms of their empirical time-averaged density and of their…
We investigate the asymptotic behaviour of networks of interacting non-linear Hawkes processes modeling a homogeneous population of neurons in the large population limit. In particular, we prove a functional central limit theorem for the…
This paper is focused on the moderate-deviations analysis of binary hypothesis testing. The analysis relies on a concentration inequality for discrete-parameter martingales with bounded jumps, where this inequality forms a refinement to the…