Related papers: From Hyper Roughness to Jumps as $H \to -1/2$

Sub-Gaussian estimates for the natural random walk is typical of many regular fractal graphs. Subordination shows that there exist heavy tailed jump processes whose jump indices are greater than or equal to two. However, the existing…

It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with Hurst parameter smaller than 1/2. This…

The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…

The failure probabilities or the strength distributions of heterogeneous 1D systems with continuous local strength distribution and local load sharing have been studied using a simple, exact, recursive method. The fracture behavior depends…

We establish the scaling limit of a class of boundary random walks to the full spectrum of Brownian-type processes on the half-line. By solving the associated martingale problem and employing weak convergence techniques, we prove that under…

Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube. The assumption is…

We prove the upper-semi-continuity of the Morse index plus nullity of critical points to general conformally invariant Lagrangians in dimension 2 under weak convergence. Precisely we establish that the sum of the Morse indices and the…

We present a general method to derive the metastable behavior of weakly mixing Markov chains. This approach is based on properties of the resolvent equations and can be applied to metastable dynamics which do not satisfy the mixing…

We derive characteristic function identities for conditional distributions of an r-trimmed Levy process given its r largest jumps up to a designated time t. Assuming the underlying Levy process is in the domain of attraction of a stable…

This paper is concerned with the numerical analysis of the explicit upwind finite volume scheme for numerically solving continuity equations. We are interested in the case where the advecting velocity field has spatial Sobolev regularity…

We prove weak convergence on the Skorokhod space of Galton-Watson processes with immigration, properly normalized, under the assumption that the tail of the immigration distribution has a logarithmic decay. The limits are extremal shot…

In this paper, we introduce two new matrix stochastic processes: fractional Wishart processes and $\varepsilon$-fractional Wishart processes with integer indices which are based on the fractional Brownian motions and then extend…

We present a general framework for weak convergence to decorated L\'evy processes in enriched spaces of c\`adl\`ag functions for vector-valued processes arising in deterministic systems. Applications include uniformly expanding maps and…

We study the persistence properties of a fractional Brownian motion whose Hurst exponent is a random variable instead of a fixed constant. For each fixed $H \in (0,1)$, it is well known that the persistence probability of an FBM below a…

This Ph.D. thesis explores approximations and regularity for the Heston stochastic volatility model through three interconnected works. The first work focuses on developing high-order weak approximations for the Cox-Ingersoll-Ross (CIR)…

Let $E$ be a locally compact separable metric space and $m$ be a positive Radon measure on it. Given a nonnegative function $k$ defined on $E\times E$ off the diagonal whose anti-symmetric part is assumed to be less singular than the…

We prove that the jump quasi-seminorm of order $\varrho= 2$ for a general Ornstein--Uhlenbeck semigroup $\left(\mathcal H_t\right)_{t>0}$ in $\mathbb R^n$ defines an operator of weak type $(1,1)$ with respect to the invariant measure. This…

The hypergraph jump problem and the study of Lagrangians of uniform hypergraphs are two classical areas of study in the extremal graph theory. In this paper, we refine the concept of jumps to strong jumps and consider the analogous problems…

This paper is devoted to establishing the full scaling limit theorems for multivariate Hawkes processes. Under some mild conditions on the exciting kernels, we develop a new way to prove that after a suitable time-spatial scaling, the…

For a class of stochastic models with Gaussian and rough mean-reverting volatility that embeds the genuine rough Stein-Stein model, we study the weak approximation rate when using a Euler type scheme with integrated kernels. Our first…