Related papers: Second-Order Regular Variation and Second-Order Ap…
This paper contains a study of multivariate second order stochastic mappings indexed by an abstract set $\Lambda$ in close connection to their operator covariance functions. The characterizations of the normal Hilbert module or of Hilbert…
In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing essential smoothness of the limiting cumulant of the…
Let $X_{1},X_{2},...$ be a sequence of independent copies (s.i.c) of a real random variable (r.v.) $X\geq 1$, with distribution function $df$ $F(x)=\mathbb{P}% (X\leq x)$ and let $X_{1,n}\leq X_{2,n} \leq ... \leq X_{n,n}$ be the order…
In this work, we study the inertial Kuramoto model, which is a second-order extension of the classical first-order Kuramoto model, as an inertial perturbation of the first-order Kuramoto model. We develop a quantitative Tikhonov theorem,…
Consider a supercritical Crump--Mode--Jagers process $(\mathcal Z_t^{\varphi})_{t \geq 0}$ counted with a random characteristic $\varphi$. Nerman's celebrated law of large numbers [Z. Wahrsch. Verw. Gebiete 57, 365--395, 1981] states that,…
Many applications require stochastic processes specified on two- or higher-dimensional domains; spatial or spatial-temporal modelling, for example. In these applications it is attractive, for conceptual simplicity and computational…
We propose a novel approach to marked Hawkes kernel inference which we name the moment-based neural Hawkes estimation method. Hawkes processes are fully characterized by their first and second order statistics through a Fredholm integral…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
This manuscript presents a novel and reliable third-order iterative procedure for computing the zeros of solutions to second-order ordinary differential equations. By approximating the solution of the related Riccati differential equation…
We treat a quantum mechanical system with certain general properties which are expected to be common in macroscopic quantum systems. Starting from a PURE initial state (which may not describe an equilibrium) in which energy is mildly…
In this paper, we establish the asymptotic behavior of {\it supercritical} nearly unstable Hawkes processes with a power law kernel. We find that, the Hawkes process in our context admits a similar equation to that in \cite{MR3563196} for…
This paper addresses nonparametric estimation of nonlinear multivariate Hawkes processes, where the interaction functions are assumed to lie in a reproducing kernel Hilbert space (RKHS). Motivated by applications in neuroscience, the model…
We develop a unified second-order parameterized complexity theory for spaces of integrable functions. This generalizes the well-established case of second-order parameterized complexity theory for spaces of continuous functions.…
By application of the theory for second-order linear differential equations with two turning points developed in \cite{Olver1975}, uniform asymptotic approximations are obtained for the Lam\'{e} and Mathieu functions with a large real…
We propose a second order differential calculus to analyze the regularity and the stability properties of the distribution semigroup associated with McKean-Vlasov diffusions. This methodology provides second order Taylor type expansions…
For discretisations of hyperbolic conservation laws, mimicking properties of operators or solutions at the continuous (differential equation) level discretely has resulted in several successful methods. While well-posedness for nonlinear…
Variational inequalities represent a broad class of problems, including minimization and min-max problems, commonly found in machine learning. Existing second-order and high-order methods for variational inequalities require precise…
Traditionally, Hawkes processes are used to model time--continuous point processes with history dependence. Here we propose an extended model where the self--effects are of both excitatory and inhibitory type and follow a Gaussian Process.…
We propose an actionable calibration procedure for general Quadratic Hawkes models of order book events (market orders, limit orders, cancellations). One of the main features of such models is to encode not only the influence of past events…
The order flow in high-frequency financial markets has been of particular research interest in recent years, as it provides insights into trading and order execution strategies and leads to better understanding of the supply-demand…