Related papers: Invariance Times Transfer Properties
This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the first part of the paper. In the second part, we determine…
Rules for the transformation of time parameters in relativistic Langevin equations are derived and discussed. In particular, it is shown that, if a coordinate-time parameterized process approaches the relativistic Juttner-Maxwell…
Statistical inference for stochastic processes with time-varying spectral characteristics has received considerable attention in recent decades. We develop a nonparametric test for stationarity against the alternative of a smoothly…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a…
Motivated by recent progresses in nonequilibrium Fluctuation Relations, we present a generalized time reversal for stochastic master equation systems with discrete states that is defined as a splitting of the rate matrix into irreversible…
When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
Using the quantum transition path time probability distribution we show that time averaging of weak values leads to unexpected results. We prove a weak value time energy uncertainty principle and time energy commutation relation. We also…
The time independent mean field method (TIMF) for the calculation of matrix elements of non relativistic propagators is based on a variational principle whose non linearity induces a multiplicity of variational solutions. Several of them…
This paper addresses reflected backward stochastic differential equations (RBSDE hereafter) that take the form of \begin{eqnarray*} \begin{cases} dY_t=f(t,Y_t, Z_t)d(t\wedge\tau)+Z_tdW_t^{\tau}+dM_t-dK_t,\quad Y_{\tau}=\xi, Y\geq…
We study stationarity and moments properties of some count time series models from contraction and stability properties of iterated random maps. Both univariate and multivariate processes are considered, including the recent multivariate…
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process…
Time irreversibility, defined as the lack of invariance of the statistical properties of a system or time series under the operation of time reversal, has received an increasing attention during the last decades, thanks to the information…
In this paper, we seek to understand the behavior of dynamical systems that are perturbed by a parameter that changes discretely in time. If we impose certain conditions, we can study certain embedded systems within a hybrid system as…
For discrete-time stochastic processes, there is a close connection between return/waiting times and entropy. Such a connection cannot be straightforwardly extended to the continuous-time setting. Contrarily to the discrete-time case one…
We consider a discrete-time process adapted to some filtration which lives on a (typically countable) subset of $\mathbb{R}^d$, $d\geq 2$. For this process, we assume that it has uniformly bounded jumps, is uniformly elliptic (can advance…
In reliability theory and survival analysis, the residual entropy is known as a measure suitable to describe the dynamic information content in stochastic systems conditional on survival. Aiming to analyze the variability of such…
Various verification techniques for temporal properties transform temporal verification to safety verification. For infinite-state systems, these transformations are inherently imprecise. That is, for some instances, the temporal property…
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…