Related papers: Conditionings to avoid points with various clocks …
For a one-dimensional L\'{e}vy process, we derive an explicit formula for the probability of first hitting a specified point among a fixed finite set. Moreover, using this formula, we obtain an explicit expression for each entry of the…
This paper considers the class of L\'evy processes that can be written as a Brownian motion time changed by an independent L\'evy subordinator. Examples in this class include the variance gamma model, the normal inverse Gaussian model, and…
Bailey showed that the general pointwise forecasting for stationary and ergodic time series has a negative solution. However, it is known that for Markov chains the problem can be solved. Morvai showed that there is a stopping time sequence…
Conditioning Markov processes to avoid a domain is a classical problem that has been studied in many settings. Ingredients for standard arguments involve the leading order tail asymptotics of the distribution of the first hitting time of…
This paper systematically analyzes and reviews identification strategies for binary choice logit models with fixed effects in panel and network data settings. We examine both static and dynamic models with general fixed-effect structures,…
We first prove a mimicking theorem (also known as a Markovian projection theorem) for the marginal distributions of an Ito process conditioned to not have exited a given domain. We then apply this new result to the proof of a conjecture of…
We present a quantum model for the motion of N point particles, implying nonlocal (i.e., superluminal) influences of external fields on the trajectories, that is nonetheless fully relativistic. In contrast to other models that have been…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
Concrete computing machines, either sequential or concurrent, rely on an intimate relation between computation and time. We recall the general characteristic properties of physical time and of present realizations of computing systems. We…
At the intersection of quantum theory and relativity lies the possibility of a clock experiencing a superposition of proper times. We consider quantum clocks constructed from the internal degrees of relativistic particles that move through…
A novel quickest detection setting is proposed which is a generalization of the well-known Bayesian change-point detection model. Suppose \{(X_i,Y_i)\}_{i\geq 1} is a sequence of pairs of random variables, and that S is a stopping time with…
We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…
We consider the model selection problem for a large class of time series models, including, multivariate count processes, causal processes with exogenous covariates. A procedure based on a general penalized contrast is proposed. Some…
We present an alternative pathway in the application of the variation improvement of ordinary perturbation theory exposed in [1] which can preserve the internal symmetries of a model by means of a time compactification.
Poisson processes and one-dimensional Poisson point processes satisfy three main properties: superposition, thinning, and conditioning. The proof of the first two relies on basic estimates involving the Poisson distribution that are also…
Point processes are an essential tool when we are interested in where in time or space events occur. The basic starting point for point processes is usually the Poisson process. Over the years, Stein's method has been developed with a great…
We connect boundary conditions for one-sided pseudo-differential operators with the generators of modified one-sided L\'evy processes. On one hand this allows modellers to use appropriate boundary conditions with confidence when restricting…
In this paper, we propose a combined approach with second-order optimality conditions of the lower level problem to study constraint qualifications and optimality conditions for bilevel programming problems. The new method is inspired by…
Conditioning stable L\'evy processes on zero probability events recently became a tractable subject since several explicit formulas emerged from a deep analysis using the Lamperti transformations for self-similar Markov processes. In this…
The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a L\'evy process drifting to $\infty$ and its inverse, the clock of the corresponding positive self-similar process. We describe…