Related papers: Exact Simulation from Tempered Stable Distribution…
We study random transformations built from intermittent maps on the unit interval that share a common neutral fixed point. We focus mainly on random selections of Pomeu-Manneville-type maps $T_\alpha$ using the full parameter range $0<…
In many stochastic models, the observables of interest are naturally encoded in double transforms (e.g., Laplace transforms) that couple spatial and temporal variables. Notably, the double transform often provides the only analytically…
This article is devoted to Feller's diffusion equation which arises naturally in probabilities and physics (e.g. wave turbulence theory). If discretized naively, this equation may represent serious numerical difficulties since the diffusion…
In this paper, we propose a method based on GMM (the generalized method of moments) to estimate the parameters of stable distributions with $0<\alpha<2$. We don't assume symmetry for stable distributions.
We propose a new method for the determination of the weight factor for the simulated tempering method. In this method a short replica-exchange simulation is performed and the simulated tempering weight factor is obtained by the…
We discuss the properties of three upsilon transforms, which are related to the class of $p$-tempered $\alpha$-stable ($TS^p_\alpha$) distributions. In particular, we characterize their domains and show how they can be represented as…
The nonparametric volatility estimation problem of a scalar diffusion process observed at equidistant time points is addressed. Using the spectral representation of the volatility in terms of the invariant density and an eigenpair of the…
We apply a simple method to provide explicit expressions for different scaling exponents in intermittent fully developed turbulence, that before were only given through a Legendre transform. This includes predictability exponents for…
This paper focuses on the distributed static estimation problem and a Belief Propagation (BP) based estimation algorithm is proposed. We provide a complete analysis for convergence and accuracy of it. More precisely, we offer conditions…
We consider a time fractional differential equation of order $\alpha$, $0<\alpha<1$, $$ \frac{\partial c(x,t)}{\partial t}={}^C_0\mathcal{D}_t^{\alpha}[(Ac)(x,t)]+q(x,t) ,\quad x > 0, t > 0, \quad c(x,0)=f(x). $$ where…
This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the return series T. We introduce a maximum-type test that…
In this work, an efficient approximation scheme has been proposed for getting accurate approximate solution of nonlinear partial differential equations with constant or variable coefficients satisfying initial conditions in a series of…
We consider a one dimensional affine switched system obtained from a formal limit of a two dimensional linear system. We show this is equivalent to minimising the average digit in beta representations with unrestricted digits. We give a…
A novel approach called Moate Simulation is presented to provide an accurate numerical evolution of probability distribution functions represented on grids arising from stochastic differential processes where initial conditions are…
This paper addresses finite sample stability properties of sequential Monte Carlo methods for approximating sequences of probability distributions. The results presented herein are applicable in the scenario where the start and end…
In this paper, we introduce a novel family of iterative algorithms which carry out $\alpha$-divergence minimisation in a Variational Inference context. They do so by ensuring a systematic decrease at each step in the $\alpha$-divergence…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
This paper deals with an optimal control problem and describes the reachable set for the scalar 1-D conservation laws with discontinuous flux. Regarding the optimal control problem we first prove the existence of a minimizer and then we…
In this paper, uniformly unconditionally stable first and second order finite difference schemes are developed for kinetic transport equations in the diffusive scaling. We first derive an approximate evolution equation for the macroscopic…
This article proposes a new method of truncated estimation to estimate the tail index $\alpha$ of the extremely heavy-tailed distribution with infinite mean or variance. We not only present two truncated estimators $\hat{\alpha}$ and…