Related papers: A note on ergodic transformations of self-similar …
We examine two nonselfadjoint operator algebras: the weighted shift algebra, and the Volterra operator algebra. In both cases, the operator algebra is the norm closure of the polynomials in the operator norm. In the case of the weighted…
The Quantum Ergodic Conjecture equates the Wigner function for a typical eigenstate of a classically chaotic Hamiltonian with a delta-function on the energy shell. This ensures the evaluation of classical ergodic expectations of simple…
Based on the recent development of the framework of Volterra rough paths, we consider here the probabilistic construction of the Volterra rough path associated to the fractional Brownian motion with $H>\frac{1}{2}$ and for the standard…
Motivated from option and derivative pricing, this note develops Edgeworth expansions both in the Kolmogorov and Wasserstein metric for many different types of discrete time volatility models and their possible transformations. This…
We consider a stationary queueing process $Q_X$ fed by a centered Gaussian process $X$ with stationary increments and variance function satisfying classical regularity conditions. A criterion when, for a given function $f$, $\mathbb P…
We present a general framework for calculating the Volterra-type convolution of polynomials from an arbitrary polynomial sequence $\{P_k(x)\}_{k \geqslant 0}$ with $\deg P_k(x) = k$. Based on this framework, series representations for the…
This paper introduces a method for the nonparametric Bayesian learning of nonlinear operators, through the use of the Volterra series with kernels represented using Gaussian processes (GPs), which we term the nonparametric Volterra kernels…
Given a Gaussian process $(X_t)_{t \in \mathbb{R}}$, we construct a Gaussian \emph{Markov} process with the same one-dimensional marginals using sequences of transformations of $(X_t)_{t \in \mathbb{R}}$ "made Markov" at finitely many…
We study uniquely ergodic dynamical systems over locally compact, sigma-compact Abelian groups. We characterize uniform convergence in Wiener/Wintner type ergodic theorems in terms of continuity of the limit. Our results generalize and…
In this paper, we generalize to Gaussian Volterra processes the existence and uniqueness of solutions for a class of non linear backward stochastic differential equations (BSDE) and we establish the relation between the non linear BSDE and…
Based on the notion of paracontrolled distributions, we provide existence and uniqueness results for rough Volterra equations of convolution type with potentially singular kernels and driven by the newly introduced class of convolutional…
This article reports the modeling of inertial rotational Brownian motion as an Ornstein-Uhlenbeck process evolving on the cotangent bundle of the rotation group, SO(3). The benefit of this approach and the use of a different…
In this article we study the asymptotic behaviour of the realized quadratic variation of a process $\int_{0}^{t}u_{s}dG^{H}_{s}$, where $u$ is a $\beta$-H\"older continuous process with $\beta >1-H$ and $G^H$ is a self-similar Gaussian…
Using the invariant form of the equation of geodesic deviation, which describes relative motion of free test particles, we investigate a general family of D-dimensional Kundt spacetimes. We demonstrate that local influence of the…
We propose a principled way to define Gaussian process priors on various sets of unweighted graphs: directed or undirected, with or without loops. We endow each of these sets with a geometric structure, inducing the notions of closeness and…
In this paper, we investigate the ergodicity in total variation of the process $X_t$ related to some integro-differential operator with unbounded coefficients and describe the speed of convergence to the respective invariant measure. Some…
In this paper, we consider a general class of stochastic Volterra equations with small noise. Our aim is to study the fluctuation of the solution around its deterministic limit. We use the techniques of Malliavin calculus to show that the…
We study ergodic properties of one-dimensional Brownian motion with resetting. Using generic classes of statistics of times between resets, we find respectively for thin/fat tailed distributions, the normalized/non-normalised invariant…
We define a new matrix-valued stochastic process with independent stationary increments from the Laguerre Unitary Ensemble, which in a certain sense may be considered a matrix generalisation of the gamma process. We show that eigenvalues of…
The aim of this work is to define and perform a study of local times of all Gaussian processes that have an integral representation over a real interval (that maybe infinite). Very rich, this class of Gaussian processes, contains Volterra…