Related papers: An explicit Skorokhod embedding for functionals of…
Asymptotic expansion of the distribution of a perturbation $Z_n$ of a Skorohod integral jointly with a reference variable $X_n$ is derived. We introduce a second-order interpolation formula in frequency domain to expand a characteristic…
Based on an invariant embedding principle for the backscattering function we calculate the electron emission yield for metal surfaces at very low electron impact energies. Solving the embedding equation within a quasi-isotropic…
I present an approach to calculate the finite-frequency quantum noise in systems strongly coupled to structured reservoirs based on the Markovian embedding. This technique consists of mapping of the non-Markovian dynamics of the original…
The electron and photon transport processes in spectroscopy techniques described by the invariant embedding theory is here revisited. We report a convergence method to obtain closed analytical solutions to the 3D integro-differential…
This paper deals with the consistency, a rate of convergence and the asymptotic distribution of a nonparametric estimator of the trend in the Skorokhod reflection problem defined by a fractional SDE and a Moreau sweeping process.
Consider the Skorokhod problem in the closed non-negative orthant: find a solution $(g(t),m(t))$ to \[ g(t)= f(t)+ Rm(t),\] where $f$ is a given continuous vector-valued function with $f(0)$ in the orthant, $R$ is a given $d\times d$ matrix…
The study of time-inhomogeneous Markov jump processes is a traditional topic within probability theory that has recently attracted substantial attention in various applications. However, their flexibility also incurs a substantial…
This paper provides convergence analysis for the approximation of a class of path-dependent functionals underlying a continuous stochastic process. In the first part, given a sequence of weak convergent processes, we provide a sufficient…
We consider stochastic optimization problems involving an expected value of a nonlinear function of a base random vector and a conditional expectation of another function depending on the base random vector, a dependent random vector, and…
We develop necessary and sufficient conditions for uniqueness of the invariant measure of the filtering process associated to an ergodic hidden Markov model in a finite or countable state space. These results provide a complete solution to…
Smoothness has long been the dominant form of parsimony in functional data analysis, to the point of occasionally being conflated with the very notion of functional data. However, many core inferential tasks depend on the inverse…
Levy flights are random walks in which the probability distribution of the step sizes is fat-tailed. Levy spatial diffusion has been observed for a collection of ultra-cold Rb atoms and single Mg+ ions in an optical lattice. Using the…
Marchenko methods are based on integral representations which express Green's functions for virtual sources and/or receivers in the subsurface in terms of the reflection response at the surface. An underlying assumption is that inside the…
The complex interplay of elastic and inelastic scattering amenable to different levels of approximation constitutes the major challenge for the computation and hence interpretation of TEM-based spectroscopical methods. The two major…
We prove the convergence at an exponential rate towards the invariant probability measure for a class of solutions of stochastic differential equations with finite delay. This is done, in this non-Markovian setting, using the cluster…
Maximally Smooth Functions (MSFs) are a form of constrained functions in which there are no inflection points or zero crossings in high order derivatives. Consequently, they have applications to signal recovery in experiments where signals…
In this article, we solve the problem of the long time behaviour of transition probabilities of time-inhomogeneous Markov processes and give a unified approach to stochastic differential equations (SDEs) with periodic, quasi-periodic,…
We study the class of transitive skew-products associated with iterated function systems of circle diffeomorphisms. We can approximate any transitive skew-product by maps in this class that have a robustly zero Lyapunov exponent. In…
We have developed a new embedding method for solving scalar hyperbolic conservation laws on surfaces. The approach represents the interface implicitly by a signed distance function following the typical level set method and some embedding…
As in the case of soliton PDEs in 2+1 dimensions, the evolutionary form of integrable dispersionless multidimensional PDEs is non-local, and the proper choice of integration constants should be the one dictated by the associated Inverse…