Related papers: Time inhomogeneous Poisson equations and non-auton…
This paper introduces a new asymptotic regime for simplifying stochastic models having non-stationary effects, such as those that arise in the presence of time-of-day effects. This regime describes an operating environment within which the…
We propose to test the homogeneity of a Poisson process observed on a finite interval. In this framework, we first provide lower bounds for the uniform separation rates in $\mathbb{L}^2$ norm over classical Besov bodies and weak Besov…
In this paper, we aim to study the asymptotic behaviour for a class of McKean-Vlasov stochastic partial differential equations with slow and fast time-scales. Using the variational approach and classical Khasminskii time discretization, we…
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results by Jacod (2008) are generalized to the…
This paper is devoted to the homogenization of Shr\"odinger type equations with periodically oscillating coefficients of the diffusion term, and a rapidly oscillating periodic time-dependent potential. One convergence theorem is proved and…
A compound Poisson process whose parameters are all unknown is observed at finitely many equispaced times. Nonparametric estimators of the jump and L\'evy distributions are proposed and functional central limit theorems using the uniform…
Stationarity is a very general, qualitative assumption, that can be assessed on the basis of application specifics. It is thus a rather attractive assumption to base statistical analysis on, especially for problems for which less general…
In this paper, we study averaging principles for a class of time-inhomogeneous stochastic differential equations (SDEs) with slow and fast time-scales, where the drift term in the fast component is time-dependent and only partially…
The paper considers a Cox process where the stochastic intensity function for the Poisson data model is itself a non-homogeneous Poisson process. We show that it is possible to obtain the marginal data process, namely a non-homogeneous…
We consider discrete time dynamical systems and show the link between Hitting Time Statistics (the distribution of the first time points land in asymptotically small sets) and Extreme Value Theory (distribution properties of the partial…
We analyse the asymptotic properties of a continuous-time, two-timescale stochastic approximation algorithm designed for stochastic bilevel optimisation problems in continuous-time models. We obtain the weak convergence rate of this…
In this paper we propose some Harris-like criteria in order to study the long time behavior of general positive and periodic semiflows. These criteria allow us to obtain new existence results of principal eigenelements, and their…
We consider a singularly perturbed second order elliptic system in the whole space. The coefficients of the systems fast oscillate and depend both of slow and fast variables. We obtain the homogenized operator and in the uniform norm sense…
We present the validity of stochastic averaging principle for non-autonomous slow-fast stochastic differential equations (SDEs) whose fast motions admit random periodic solutions. Our investigation is motivated by some problems arising from…
Two-time-scale stochastic approximation, a generalized version of the popular stochastic approximation, has found broad applications in many areas including stochastic control, optimization, and machine learning. Despite its popularity,…
We are devoted to the study of a nonhomogeneous time-fractional Timoshenko system with frictional and viscoelastic damping terms. We are concerned with the well-posedness of the given problem. The approach relies on some functional-analysis…
We consider Cauchy problem for a divergence form second order parabolic operator with rapidly oscillating coefficients that are periodic in spatial variables and random stationary ergodic in time. As was proved in [24] and [12] in this case…
A nonlinear Poisson--Boltzmann equation with transmission boundary conditions at the interface between two materials is investigated. The model describes the electrostatic potential generated by a vector of ion concentrations in a periodic…
In spatio-temporal analysis, we often record data at specific time intervals but with varying spatial locations between these timepoints. We propose a conditional model to analyze such spatio-temporal data that accommodates the dependencies…
Consider generalized adapted stochastic integrals with respect to independently scattered random measures with second moments. We use a decoupling technique, known as the "principle of conditioning", to study their stable convergence…