Related papers: On the maximal correlation of some stochastic proc…
A class of examples concerning the relationship of linear regression and maximal correlation is provided. More precisely, these examples show that if two random variables have (strictly) linear regression on each other, then their maximal…
We analyze a specific class of random systems that are driven by a symmetric L\'{e}vy stable noise. In view of the L\'{e}vy noise sensitivity to the confining "potential landscape" where jumps take place (in other words, to environmental…
In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…
Consider a branching random walk evolving in a macroscopic time-inhomogeneous environment, that scales with the length $n$ of the process under study. We compute the first two terms of the asymptotic of the maximal displacement at time $n$.…
The usual stochastic order and the likelihood ratio order between probability distributions on the real line are reviewed in full generality. In addition, for the distribution of a random pair $(X,Y)$, it is shown that the conditional…
We deal with the problem of the mean square optimal estimation of linear transformations of the unobserved values of a continuous time stochastic process with periodically correlated increments. Estimates are based on observations of the…
Consider finite sequences $X_{[1,n]}=X_1\dots X_n$ and $Y_{[1,n]}=Y_1\dots Y_n$ of length $n$, consisting of i.i.d.\ samples of random letters from a finite alphabet, and let $S$ and $T$ be chosen i.i.d.\ randomly from the unit ball in the…
We study a random walk on a point process given by an ordered array of points $(\omega_k, \, k \in \mathbb{Z})$ on the real line. The distances $\omega_{k+1} - \omega_k$ are i.i.d. random variables in the domain of attraction of a…
We study the extremal behavior of a stochastic integral driven by a multivariate L\'{e}vy process that is regularly varying with index $\alpha>0$. For predictable integrands with a finite $(\alpha+\delta)$-moment, for some $\delta>0$, we…
We study the stochastic motion of active particles that undergo spontaneous transitions between two distinct modes of motion. Each mode is characterized by a velocity distribution and an arbitrary (anti-)persistence. We present an…
We present an approximated maximum likelihood method for the multifractal random walk processes of [E. Bacry et al., Phys. Rev. E 64, 026103 (2001)]. The likelihood is computed using a Laplace approximation and a truncation in the…
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A…
Let $X:=(X_t)_{t\geq 0}$ be an ergodic Markov process on $\real^d$, and $p>0$. We derive upper bounds of the $p$-Wasserstein distance between the invariant measure and the empirical measures of the Markov process $X$. For this we assume,…
Memory effects, sometimes, can not be neglected. In the framework of continuous time random walk, memory effect is modeled by the correlated waiting times. In this paper, we derive the two-point probability distribution of the stochastic…
In this paper, we consider projection estimates for L\'evy densities in high-frequency setup. We give a unified treatment for different sets of basis functions and focus on the asymptotic properties of the maximal deviation distribution for…
A limit theorem for the largest interpoint distance of $p$ independent and identically distributed points in $\mathbb{R}^n$ to the Gumbel distribution is proved, where the number of points $p=p_n$ tends to infinity as the dimension of the…
We study the continuous-time version of the empirical correlation coefficient between the paths of two possibly correlated Ornstein-Uhlenbeck processes, known as Yule's nonsense correlation for these paths. Using sharp tools from the…
The aim of this work is to study the convergence to equilibrium of an $(h,\rho)$-subelliptic random walk on a closed, connected Riemannian manifold $(M,g)$ associated with a subelliptic second-order differential operator $A$ on $M$. In such…
In this paper, we investigate the asymptotic behavior of supercritical branching Markov processes $\{\mathbb{X}_t, t \ge0\}$ whose spatial motions are L\'evy processes with regularly varying tails. Recently, Ren et al. [Appl. Probab. 61…
The paper considers the problem to estimate a graphical model corresponding to an autoregressive moving-average (ARMA) Gaussian stochastic process. We propose a new maximum entropy covariance and cepstral extension problem and we show that…