Related papers: Merton model and Poisson process with Log Normal i…
We use a functional analogue of the quantile function for probability measures on $\mathbb{R}^d$ to characterize a novel limit Poisson point process for radially recentred and rescaled random vectors under a radial-directional…
This article investigates the effect for random pinning models of long range power-law decaying correlations in the environment. For a particular type of environment based on a renewal construction, we are able to sharply describe the phase…
Based on the theory of hypernetwork and WeChat online social relations, the paper proposes an evolving hypernetwork model with the competitiveness and the age of nodes. In the model, nodes arrive at the system in accordance with Poisson…
A Gaussian process is proposed as a model for the posterior distribution of the local predictive ability of a model or expert, conditional on a vector of covariates, from historical predictions in the form of log predictive scores. Assuming…
The propagation of chaos and associated law of large numbers for mean-field interacting age-dependent Hawkes processes (when the number of processes n goes to +$\infty$) being granted by the study performed in (Chevallier, 2015), the aim of…
Under-reporting of count data poses a major roadblock for prediction and inference. In this paper, we focus on the Pogit model, which deconvolves the generating Poisson process from the censuring process controlling under-reporting using a…
In this paper, we propose an extension of the Hawkes process by incorporating a kernel based on the tempered Mittag-Leffler distribution. This is the generalization of the work presented in [10]. We derive analytical results for the…
We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-state distribution in this model is a Beta Prime and is…
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that…
We study the problem of non-parametric Bayesian estimation of the intensity function of a Poisson point process. The observations are $n$ independent realisations of a Poisson point process on the interval $[0,T]$. We propose two related…
In this second part, we analyze the dissipation properties of Generalized Poisson-Kac (GPK) processes, considering the decay of suitable $L^2$-norms and the definition of entropy functions. In both cases, consistent energy dissipation and…
We construct a general procedure for the Quasi Likelihood Analysis applied to a multivariate point process on the real half line in an ergodic framework. More precisely, we assume that the stochastic intensity of the underlying model…
Seasonal point processes refer to stochastic models for random events which are only observed in a given season. We develop nonparametric Bayesian methodology to study the dynamic evolution of a seasonal marked point process intensity. We…
Many properties of perceptual decision making are well-modeled by deep neural networks. However, such architectures typically treat decisions as instantaneous readouts, overlooking the temporal dynamics of the decision process. We present…
This paper proposes a model of interactions between two point processes, ruled by a reproduction function h, which is considered as the intensity of a Poisson process. In particular, we focus on the context of neurosciences to detect…
In the paper we consider some piecewise deterministic Markov process whose continuous component evolves according to semiflows, which are switched at the jump times of a Poisson process. The associated Markov chain describes the states of…
We consider statistical-mechanical models for spin systems built on hierarchical structures, which provide a simple example of non-mean-field framework. We show that the coupling decay with spin distance can give rise to peculiar features…
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale structure. By considering an auxiliary random process, we solve…
We generalize Taylor's theorem by introducing a stochastic formulation based on an underlying Poisson point process model. We utilize this approach to propose a novel non-linear regression framework and perform statistical inference of the…
In many applications involving point pattern data, the Poisson process assumption is unrealistic, with the data exhibiting a more regular spread. Such a repulsion between events is exhibited by trees for example, because of competition for…