Related papers: Fluctuations from a random fractional averaging li…
Let $B^H$ be a fractional Brownian motion with Hurst index $0<H<1/2$. In this paper we study the {\it generalized quadratic covariation} $[f(B^H),B^H]^{(W)}$ defined by $$ [f(B^H),B^H]^{(W)}_t=\lim_{\epsilon\downarrow…
The paper focuses on discrete-type approximations of solutions to non-homogeneous stochastic differential equations (SDEs) involving fractional Brownian motion (fBm). We prove that the rate of convergence for Euler approximations of…
We study fractional Brownian motion (fBm) characterized by the Hurst exponent H. Using a Monte Carlo sampling technique, we are able to numerically generate fBm processes with an absorbing boundary at the origin at discrete times for a…
We consider the motion of a particle under a continuum random environment whose distribution is given by the Howitt-Warren flow. In the moderate deviation regime, we establish that the quenched density of the motion of the particle (after…
This work develops a comprehensive mathematical theory for a class of stochastic processes whose local regularity adapts dynamically in response to their own state. We first introduce and rigorously analyze a time-varying fractional…
Rough volatility models are becoming increasingly popular in quantitative finance. In this framework, one considers that the behavior of the log-volatility process of a financial asset is close to that of a fractional Brownian motion with…
We obtain bounds for probabilities of deviations of the truncated variation functional of fractional Brownian motions (fBm) of any Hurst index $H \in (0,1)$ from their expected values. Obtained bounds are optimal for large values of…
In this paper we study the moderate deviations principle (MDP) for slow-fast stochastic dynamical systems where the slow motion is governed by small fractional Brownian motion (fBm) with Hurst parameter $H\in(1/2,1)$. We derive conditions…
We study fluctuations of small noise multiscale diffusions around their homogenized deterministic limit. We derive quantitative rates of convergence of the fluctuation processes to their Gaussian limits in the appropriate Wasserstein metric…
Stochastic thermodynamics is an important development in the direction of finding general thermodynamic principles for non-equilibrium systems. We believe stochastic thermodynamics has the potential to benefit from the measure-theoretic…
The fractional Brownian motion with index $\alpha$ is introduced to construct the fractional excursion set model. A new mass function with single parameter $\alpha$ is derived within the formalism, of which the Press-Schechter mass function…
The main objective of the paper is to study the long-time behavior of general discrete dynamics driven by an ergodic stationary Gaussian noise. In our main result, we prove existence and uniqueness of the invariant distribution and exhibit…
In this work we present different results concerning the signature and the cubature of fractional Brownian motion (fBm). The first result regards the rate of convergence of the expected signature of the linear piecewise approximation of the…
We develop a rigorous theory of hard-sphere dynamics in the kinetic regime, away from thermal equilibrium. In the low density limit, the empirical density obeys a law of large numbers and the dynamics is governed by the Boltzmann equation.…
We formulate equations for the slow time dynamics of fluid motion that self consistently account for the effects of the variability upon the mean. The time-average effects of the fluctuations introduce nonlinear dispersion that acts to…
Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems. The…
In this paper we address the problem of consistently construct Langevin equations to describe fluctuations in non-linear systems. Detailed balance severely restricts the choice of the random force, but we prove that this property together…
We prove a large deviation principle for the slow-fast rough differential equations under the controlled rough path framework. The driver rough paths are lifted from the mixed fractional Brownian motion with Hurst parameter $H\in…
We are interested in populations in which the fitness of different genetic types fluctuates in time and space, driven by temporal and spatial fluctuations in the environment. For simplicity, our population is assumed to be composed of just…
We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situations of low and high-frequency observations in a unified…