Related papers: Stochastic integration with respect to a L\'evy ba…
Probabilistic graphical models that encode an underlying Markov random field are fundamental building blocks of generative modeling to learn latent representations in modern multivariate data sets with complex dependency structures. Among…
The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic…
It is shown that the distribution derived from the principle of maximum Tsallis entropy is a superposable Levy-type distribution. Concomitantly, the leading order correction to the limit distribution is also deduced. This demonstration…
The purpose of this paper is to adapt the empirical characteristic function (ECF) method to stable, but possibly not inverse stable linear stochastic system driven by the increments of a Levy-process. A remarkable property of the ECF method…
Discrete diffusion models have gained increasing attention for their ability to model complex distributions with tractable sampling and inference. However, the error analysis for discrete diffusion models remains less well-understood. In…
We provide sufficient conditions for the existence of invariant probability measures for generic stochastic differential equations with finite time delay. This is achieved by means of the Krylov-Bogoliubov method. Furthermore, we focus on…
Semilinear stochastic evolution equations with multiplicative L\'evy noise and monotone nonlinear drift are considered. Unlike other similar work we do not impose coercivity conditions on coefficients. Existence and uniqueness of the mild…
Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be…
Stochastic thermodynamics provides the framework to analyze thermodynamic laws and quantities along individual trajectories of small but fully observable systems. If the observable level fails to capture all relevant degrees of freedom,…
The empirical measure of an interacting particle system is a purely atomic random probability measure. In the limit as the number of particles grows to infinity, we show for McKean-Vlasov systems with common noise that this measure becomes…
We study the concentration phenomenon for discrete-time random dynamical systems with an unbounded state space. We develop a heuristic approach towards obtaining exponential concentration inequalities for dynamical systems using an entirely…
In the framework of vector measures and the combinatorial approach to stochastic multiple integral introduced by Rota and Wallstrom [Ann. Probab. 25 (1997) 1257--1283], we present an It\^{o} multiple integral and a Stratonovich multiple…
Recursive stochastic algorithms have gained significant attention in the recent past due to data driven applications. Examples include stochastic gradient descent for solving large-scale optimization problems and empirical dynamic…
Motivated by the construction of the It\^o stochastic integral, we consider a step function method to discretize and simulate volatility modulated L\'evy semistationary processes. Moreover, we assess the accuracy of the method with a…
We consider trawl processes, which are stationary and infinitely divisible stochastic processes and can describe a wide range of statistical properties, such as heavy tails and long memory. In this paper, we develop the first…
Estimation methods for the L\'{e}vy density of a L\'{e}vy process are developed under mild qualitative assumptions. A classical model selection approach made up of two steps is studied. The first step consists in the selection of a good…
We prove that a class of randomized integration methods, including averages based on $(t,d)$-sequences, Latin hypercube sampling, Frolov points as well as Cranley-Patterson rotations, consistently estimates expectations of integrable…
In the present paper we study selfdecomposability of random fields, as defined directly rather than in terms of finite-dimensional distributions. The main tools in our analysis are the master L\'evy measure and the associated L\'evy-It\^o…
Probabilistic solvers provide a flexible and efficient framework for simulation, uncertainty quantification, and inference in dynamical systems. However, like standard solvers, they suffer performance penalties for certain stiff systems,…
Stochastic chains represent a wide and key variety of phenomena in many branches of science within the context of Information Theory and Thermodynamics. They are typically approached by a sequence of independent events or by a memoryless…