Related papers: Identifying the covariation between the diffusion …
Observational studies can play a useful role in assessing the comparative effectiveness of competing treatments. In a clinical trial the randomization of participants to treatment and control groups generally results in well-balanced groups…
The typical central limit theorems in high-frequency asymptotics for semimartingales are results on stable convergence to a mixed normal limit with an unknown conditional variance. Estimating this conditional variance usually is a hard…
Matching in causal inference from observational data aims to construct treatment and control groups with similar distributions of covariates, thereby reducing confounding and ensuring an unbiased estimation of treatment effects. This…
The cooperative dynamics of a 1-D collection of Markov jump, interacting stochastic processes is studied via a mean-field approach. In the time-asymptotic regime, the resulting nonlinear master equation is analytically solved. The…
A self-interacting velocity jump process is introduced, which behaves in large time similarly to the corresponding self-interacting diffusion, namely the evolution of its normalized occupation measure approaches a deterministic flow.
Many causal quantities are only partially identifiable due to the inherent missingness of potential outcomes, and the associated partial identification (PI) sets can be obtained by solving an optimal transport (OT) problem. Covariates often…
Herein we develop a dynamical foundation for fractional Brownian Motion. A clear relation is established between the asymptotic behaviour of the correlation function and diffusion in a dynamical system. Then, assuming that scaling is…
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH model by embedding the discrete realized GARCH structure in…
Close to one half of the LHC events are expected to be due to elastic or inelastic diffractive scattering. Still, predictions based on extrapolations of experimental data at lower energies differ by large factors in estimating the relative…
The nonparametric estimation of the volatility and the drift coefficient of a scalar diffusion is studied when the process is observed at random time points. The constructed estimator generalizes the spectral method by Gobet, Hoffmann and…
Causal estimands can vary significantly depending on the relationship between outcomes in treatment and control groups, potentially leading to wide partial identification (PI) intervals that impede decision making. Incorporating covariates…
A simulation can stand its ground against experiment only if its prediction uncertainty is known. The unknown accuracy of interatomic potentials (IPs) is a major source of prediction uncertainty, severely limiting the use of large-scale…
The non-parametric estimation of covariance lies at the heart of functional data analysis, whether for curve or surface-valued data. The case of a two-dimensional domain poses both statistical and computational challenges, which are…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
For regime-switching diffusions processes with singular drifts, we introduce integrability conditions involving a nice reference probability measure and the $Q$-matrix of the jump part to study the existence of the invariant probability…
Building on recent simulation work, it is demonstrated using molecular-dynamics (MD) simulations of two-component fluid mixtures that the chemical contribution to the Soret effect in two-component non-ideal fluid mixtures arises due to…
The problem of sums of independent, identically distributed random variables with stretched-exponential tails exhibits a dynamical phase transition and has recently reemerged in the context of active transport and condensation phenomena. We…
The simulation of systems that act on multiple time scales is challenging. A stable integration of the fast dynamics requires a highly accurate approximation whereas for the simulation of the slow part, a coarser approximation is accurate…
Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…