Related papers: A functional non-central limit theorem for jump-di…
The diffusion of a walk in the presence of traps is investigated. Different diffusion regimes are obtained considering the magnitude of the fluctuations in waiting times and jump distances. A constant velocity during the jump motion is…
The goal of this article is to establish a central limit theorem for the Euler-Maruyama scheme approximating multidimensional SDEs with elliptic Brownian diffusion, under very mild regularity requirements on the drift coefficients. When the…
We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency.…
Donsker-type functional limit theorems are proved for empirical processes arising from discretely sampled increments of a univariate L\'evy process. In the asymptotic regime the sampling frequencies increase to infinity and the limiting…
We consider non-degenerate SDEs with a $\beta$-Holder continuous and bounded drift term and driven by a Levy noise $L$ which is of $\alpha$-stable type. If $\alpha \in [1,2)$ and $\beta \in (1 - \frac{\alpha}{2},1) $ we show pathwise…
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require…
For a L\'evy basis $L$ on $\mathbb{R}^d$ and a suitable kernel function $f:\mathbb{R}^d \to \mathbb{R}$, consider the continuous spatial moving average field $X=(X_t)_{t\in \mathbb{R}^d}$ defined by $X_t = \int_{\mathbb{R}^d} f(t-s) \,…
Random walk simulation of the Levy flight shows a linear relation between the mean square displacement <r2> and time. We have analyzed different aspects of this linearity. It is shown that the restriction of jump length to a maximum value…
A finite range interacting particle system on a transitive graph is considered. Assuming that the dynamics and the initial measure are invariant, the normalized empirical distribution process converges in distribution to a centered…
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pre-averaging approach (see [Bernoulli 15 (2009) 634--658,…
Anomalous diffusion is an established phenomenon but still a theoretical challenge in non-equilibrium statistical mechanics. Physical models are built incrementally, and the most recent and most general family is based on the fractional…
In this paper we focus on the pathwise stability of mild solutions for a class of stochastic partial differential equations which are driven by switching-diffusion processes with jumps. In comparison to the existing literature, we show…
An improved version of the functional limit theorem is proved establishing weak convergence of random walks generated by compound doubly stochastic Poisson processes (compound Cox processes) to L{\'e}vy processes in the Skorokhod space…
We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging…
By analyzing the displacement statistics of an assembly of horizontally vibrated bidisperse frictional grains in the vicinity of the jamming transition experimentally studied before, we establish that their superdiffusive motion is a…
In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a L\'evy process. We also suppose that the coefficient multiplying the increments of this process is merely Lipschitz…
L\'evy stable (jump-type) processes are examples of intrinsically nonlocal random motions. This property becomes a serious obstacle if one attempts to model conditions under which a particular L\'evy process may be subject to physically…
We prove a central limit theorem for the momentum distribution of a particle undergoing an unbiased spatially periodic random forcing at exponentially distributed times without friction. The start is a linear Boltzmann equation for the…
This article considers the statistical properties of L\'evy walks possessing a regular long-term linear scaling of the mean square displacement with time, for which the conditions of the classical Central Limit Theorem apply.…
A functional limit theorem is established for the partial-sum process of a class of stationary sequences which exhibit both heavy tails and long-range dependence. The stationary sequence is constructed using multiple stochastic integrals…