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In this article, we consider an imputation method to handle missing response values based on semiparametric quantile regression estimation. In the proposed method, the missing response values are generated using the estimated conditional…
This paper continues investigations on the integral transforms of the Minkowski question mark function. In this work we finally establish the long-sought formula for the moments, which does not explicitly involve regular continued…
An analogue of the classical Mecke formula for Poisson point processes is proved for the class of space-time STIT tessellation processes. From this key identity the Markov property of a class of associated random processes is derived. This…
COGARCH models are continuous time version of the well known GARCH models of financial returns. They are solution of a stochastic differential equation driven by a L\'evy process. The first aim of this paper is to show how the method of…
Our first result concerns a characterisation by means of a functional equation of Poisson point processes conditioned by the value of their first moment. It leads to a generalised version of Mecke's formula. En passant, it also allows to…
We consider additive functionals of systems of random measures whose initial configuration is given by a Poisson point process, and whose individual components evolve according to arbitrary Markovian or non-Markovian measure valued…
The fluctuations of dynamical functionals such as the empirical density and current as well as heat, work and generalized currents in stochastic thermodynamics are usually studied within the Feynman-Kac tilting formalism, which in the…
We provide an original and general sufficient criterion ensuring the exponential contraction of Feynman-Kac semi-groups of penalized processes. This criterion is applied to time-inhomogeneous one-dimensional diffusion processes conditioned…
This paper develops some general calculus for GGC and Dirichlet process means functionals. It then proceeds via an investigation of positive Linnik random variables, and more generally random variables derived from compositions of a stable…
We show that there is "no stable free field of index $\alpha\in (1,2)$", in the following sense. It was proved in a previous work by the authors, that subject to a \emph{fourth moment assumption}, any random generalised function on a domain…
In this paper we deal with the generalized Gamma processes and their compositions. For the compositions of two or more than two generalized Gamma processes we give, when possible, the explicit law whereas, in the other cases the…
We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We…
The addition of angular momenta can be reduced to elementary coupling processes of spin-$\frac{1}{2}$-particles. In this way, a method is developed which allows for a non-recursive, simultaneous computation of all Clebsch-Gordan…
We obtain moment and Gaussian bounds for general Lipschitz functions evaluated along the sample path of a Markov chain. We treat Markov chains on general (possibly unbounded) state spaces via a coupling method. If the first moment of the…
Conditional particle filters (CPFs) are powerful smoothing algorithms for general nonlinear/non-Gaussian hidden Markov models. However, CPFs can be inefficient or difficult to apply with diffuse initial distributions, which are common in…
A general theory is derived for the moments of the first passage time of a one-dimensional Markov process in presence of a weak time-dependent forcing. The linear corrections to the moments can be expressed by quadratures of the potential…
This paper is devoted to the study of generalised time-fractional evolution equations involving Caputo type derivatives. Using analytical methods and probabilistic arguments we obtain well-posedness results and stochastic representations…
In the setting of polynomial jump-diffusion dynamics, we provide an explicit formula for computing correlators, namely, cross-moments of the process at different time points along its path. The formula appears as a linear combination of…
Beginning with work of Zeilberger on classical pattern counts, there are a variety of structural results for moments of permutation statistics applied to random permutations. Using tools from representation theory, Gaetz and Ryba…
It is our intention to provide via fractional calculus a generalization of the pure and compound Poisson processes, which are known to play a fundamental role in renewal theory, without and with reward, respectively. We first recall the…