Related papers: Limit theorems for SDEs with irregular drifts
We consider the hard-edge scaling of the Mittag-Leffler ensemble confined to a fixed disk inside the droplet. Our primary emphasis is on fluctuations of rotationally-invariant additive statistics that depend on the radius and thus give rise…
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the case of globally Lipschitz continuous coefficients. However, in…
Recently a functional limit theorem for sums of moving averages with random coefficients and i.i.d. heavy tailed innovations has been obtained under the assumption that all partial sums of the series of coefficients are a.s. bounded between…
A new class of explicit Milstein schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It is shown, under very mild conditions, that…
In the present article we study strong approximation of solutions of scalar stochastic differential equations (SDEs) with bounded and $\alpha$-H\"older continuous drift coefficient and constant diffusion coefficient at time point $1$.…
We study the central limit theorem in the non-normal domain of attraction to symmetric $\alpha$-stable laws for $0<\alpha\leq2$. We show that for i.i.d. random variables $X_i$, the convergence rate in $L^\infty$ of both the densities and…
We reformulate the strong-interaction limit of electronic density functional theory in terms of a classical problem with a degenerate minimum. This allows us to clarify many aspects of this limit, and to write a general solution, which is…
The law of large numbers for the empirical density for the pairs of uniformly distributed integers with a given greatest common divisor is a classic result in number theory. In this paper, we study the large deviations of the empirical…
This work focuses on the quantitative contraction rates for McKean-Vlasov stochastic differential equations (SDEs) with multiplicative noise. Under suitable conditions on the coefficients of the SDE, this paper derives explicit quantitative…
We prove a law of large numbers and a central limit theorem for a tagged particle in a symmetric simple exclusion process in the one-dimensional lattice with variable diffusion coefficient. The scaling limits are obtained from a similar…
We prove a functional central limit theorem for partial sums of symmetric stationary long range dependent heavy tailed infinitely divisible processes with a certain type of negative dependence. Previously only positive dependence could be…
In this paper, we study the asymptotic behavior of a semi-linear slow-fast stochastic partial differential equation with singular coefficients. Using the Poisson equation in Hilbert space, we first establish the strong convergence in the…
Let O the basin of attraction of the unique stable equilibrium of a dynamical system, which is the law of large numbers limit of a Poissonian SDE. We consider the law of the exit point from O of that Poissonian SDE. We adapt the approach of…
Using our uniqueness in law transfer result for SPDEs, described in a recent note, we prove the equivalence of laws of SPDEs differing by a drift, under vastly applicable conditions. This gives us the equivalence in the compact support…
We establish the large deviation principle for solutions of one-dimensional SDEs with discontinuous coefficients. The main statement is formulated in a form similar to the classical Wentzel--Freidlin theorem, but under the considerably…
Numerical methods for SDEs with irregular coefficients are intensively studied in the literature, with different types of irregularities usually being attacked separately. In this paper we combine two different types of irregularities:…
We give general conditions for the central limit theorem and weak convergence to Brownian motion (the weak invariance principle / functional central limit theorem) to hold for observables of compact group extensions of nonuniformly…
We consider several models of State Dependent Delay Differential Equations (SDDEs), in which the delay is affected by a small parameter. This is a very singular perturbation since the nature of the equation changes. Under some conditions,…
We provide a systematic approach for deducing statistical limit laws via martingale-coboundary decomposition, for nonuniformly hyperbolic systems with slowly contracting and expanding directions. In particular, if the associated return time…
Considered are the large $N$, or large intensity, forms of the distribution of the length of the longest increasing subsequences for various models. Earlier work has established that after centring and scaling, the limit laws for these…