Related papers: Superpositions of CARMA processes
In this paper, Lie conformal superalgebras of rank (2 + 1) are completely classified (up to isomorphism) and their automorphism groups are determined. Furthermore, we give the classification of the finite irreducible conformal modules over…
We use machine learning to approximate Calabi-Yau and SU(3)-structure metrics, including for the first time complex structure moduli dependence. Our new methods furthermore improve existing numerical approximations in terms of accuracy and…
We construct a family of integrable vertex model based on the typical four-dimensional representations of the quantum group deformation of the Lie superalgebra $sl(2|1)$. Upon alternation of such a representation with its dual this model…
Cellular automata can show well known features of quantum mechanics, such as a linear updating rule that resembles a discretized form of the Schr\"odinger equation together with its conservation laws. Surprisingly, a whole class of…
Here we introduce the concept of special effect curve which permits to study, from a different point of view, special linear systems in P^2, i.e. linear system with general multiple base points whose effective dimension is strictly greater…
We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by L\'{e}vy motion and their finite and infinite superpositions. We…
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy…
We construct quasi-solvable quantum mechanical matrix models by employing two different methods, the one is universal enveloping algebra of Lie superalgebra and the other is N-fold supersymmetry. For the former we examine the q(2) and…
Based on the concept of a L\'evy copula to describe the dependence structure of a multivariate L\'evy process we present a new estimation procedure. We consider a parametric model for the marginal L\'evy processes as well as for the L\'evy…
In this paper, by considering two non-isospectral problems with matrices chosen on the color Lie algebra $\mathfrak{sp}_{1}(6)$, we construct (1+1)-dimensional and (2+1)-dimensional super integrable systems on $\mathfrak{sp}_{1}(6)$.…
Several long-time limit theorems of one-dimensional L\'evy processes weighted and normalized by functions of its supremum are studied. The long-time limits are taken via the families of exponential times and that of constant times, called…
We propose a parsimonious stochastic model for characterising the distributional and temporal properties of rainfall. The model is based on an integrated Ornstein-Uhlenbeck process driven by the Hougaard L\'evy process. We derive properties…
The concept of a L\'evy subordinator is generalized to a family of non-decreasing stochastic processes, which are parameterized in terms of two Bernstein functions. Whereas the independent increments property is only maintained in the…
We derive factorization identities for a class of preemptive-resume queueing systems, with batch arrivals and catastrophes that, whenever they occur, eliminate multiple customers present in the system. These processes are quite general, as…
We construct optimal Markov couplings of L\'{e}vy processes, whose L\'evy (jump) measure has an absolutely continuous component. The construction is based on properties of subordinate Brownian motions and the coupling of Brownian motions by…
We construct in the small-time setting the upper and lower estimates for the transition probability density of a L\'evy process in $\rn$. Our approach relies on the complex analysis technique and the asymptotic analysis of the inverse…
The estimation of the diffusion matrix $\Sigma$ of a high-dimensional, possibly time-changed L\'evy process is studied, based on discrete observations of the process with a fixed distance. A low-rank condition is imposed on $\Sigma$.…
Periodicity is a common feature of time series. For finite-dimensional data, periodic autoregressive moving average (ARMA) models have been extensively studied. In functional time series analysis, AR models have been extended to incorporate…
An Ornstein-Uhlenbeck (OU) process can be considered as a continuous time interpolation of the discrete time AR$(1)$ process. Departing from this fact, we analyse in this work the effect of iterating OU treated as a linear operator that…
The Helmholtz conditions are necessary and sufficient conditions for a system of second order differential equations to be variational, that is, equivalent to a system of Euler-Lagrange equations for a regular Lagrangian. On the other hand,…