Related papers: On Vervaat and Vervaat-error type processes for pa…

We consider a positive stationary generalized Ornstein--Uhlenbeck process \[V_t=\mathrm{e}^{-\xi_t}\biggl(\int_0^t\mathrm{e}^{\xi_{s-}}\ ,\mathrm{d}\eta_s+V_0\biggr)\qquadfor t\geq0,\] and the increments of the integrated generalized…

We consider minimization of stochastic functionals that are compositions of a (potentially) non-smooth convex function $h$ and smooth function $c$ and, more generally, stochastic weakly-convex functionals. We develop a family of stochastic…

We present a unified approach to those observables of stochastic processes under reset that take the form of averages of functionals depending on the most recent renewal period. We derive solutions for the observables, and determine the…

In this paper we characterize the limiting behavior of sums of extreme values of long range dependent sequences defined as functionals of linear processes with finite variance. The extremal sums behave completely different by compared to…

In this work we give a complete description to the asymptotic behaviors of exponential functionals of L\'evy processes and divide them into five different types according to their convergence rates. Not only their exact convergence speeds…

Given an R^d-valued supercritical branching Wiener process, let D(A,T) be the number of particles in a subset A of R^d at time T, (T=0,1,2,...). We provide a complete asymptotic expansion of D(A,T) as T goes to infinity, generalizing the…

This article presents various weak laws of large numbers for the so-called realised covariation of a bivariate stationary stochastic process which is not a semimartingale. More precisely, we consider two cases: Bivariate moving average…

This paper proves an extension of the It\^o-Ventzell formula that applies to stochastic flows in $C^{0,1}$ for continuous weak Dirichlet processes. We apply this theorem, for example, to give a representation result for strong solutions of…

Let $a$ be a finite signed measure on $[-r, 0]$ with $r \in (0, \infty)$. Consider a stochastic process $(X^{(\vartheta)}(t))_{t\in[-r,\infty)}$ given by a linear stochastic delay differential equation \[ \mathrm{d} X^{(\vartheta)}(t) =…

Let $\{Y_i,-\infty<i<\infty\}$ be a doubly infinite sequence of identically distributed, negatively dependent random variables under sub-linear expectations, $\{a_i,-\infty<i<\infty\}$ be an absolutely summable sequence of real numbers. In…

In this paper we study the asymptotic behavior of linear processes having as innovations mean zero, square integrable functions of stationary reversible Markov chains. In doing so we shall preserve the generality of coefficients assuming…

Let $K_n$ be the convex hull of i.i.d. random variables distributed according to the standard normal distribution on $\R^d$. We establish variance asymptotics as $n \to \infty$ for the re-scaled intrinsic volumes and $k$-face functionals of…

The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…

We introduce an estimation method for the scaled skewness coefficient of the sample mean of short and long memory linear processes. This method can be extended to estimate higher moments such as curtosis coefficient of the sample mean. Also…

We construct a planar smooth weakly mixing stationary random vector field with nonnegative components such that, with probability 1, the flow generated by this vector field does not have an asymptotic direction. Moreover, for all individual…

We introduce a technique to merge two biased Brownian motions into a single regular process. The outcome follows a stochastic differential equation with a constant diffusion coefficient and a non-linear drift. The emerging stochastic…

This paper establishes a natural quantum counterpart of weak equilibration for statistical ensembles in integrable systems. For quantum systems with pure point spectrum, single-time expectation values under unitary evolution are typically…

We study the asymptotic behavior of short cycles of random permutations with cycle weights. More specifically, on a specially constructed metric space whose elements encode all possible cycles, we consider a point process containing all…

This article studies optional and predictable projections of integrands and convex-valued stochastic processes. The existence and uniqueness are shown under general conditions that are analogous to those for conditional expectations of…

This article is devoted to the analysis of semilinear, parabolic, Stochastic Partial Differential Equations, with slow and fast time scales. Asymptotically, an averaging principle holds: the slow component converges to the solution of…