相关论文: Time and Space Varying Copulas

Consider a particle diffusing in a confined volume which is divided into two equal regions. In one region the diffusion coefficient is twice the value of the diffusion coefficient in the other region. Will the particle spend equal…

This paper explores the impact of perturbations of copulas on dependence properties of the Markov chains they generate. We use an observation that is valid for convex combinations of copulas to establish sufficient conditions for the mixing…

We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…

We analyze ecological systems that are influenced by random environmental fluctuations. We first provide general conditions which ensure that the species coexist and the system converges to a unique invariant probability measure (stationary…

This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the…

This paper examines the impact of discrete marginal distributions on copula-based Markov chains. We present results on mixing and parameter estimation for a copula-based Markov chain model with Bernoulli($p$) marginal distribution and…

Here we report on the viscosity of eukaryotic living cells as a function of the time, and on the application of stochastic models to analyze its temporal fluctuations. The viscoelastic properties of NIH/3T3 fibroblastic cells are…

Recent advances in quantum technologies and related experiments have created a need for highly accurate, versatile, and computationally efficient simulation techniques for the dynamics of open quantum systems. Long-lived correlation effects…

In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage of such a model is that we can study the…

A change of variables is introduced to reduce certain nonlinear stochastic evolution equations with multiplicative noise to the corresponding deterministic equation. The result is then used to investigate a stochastic porous medium…

Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…

Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled…

Electromagnetic waves in a system with a space and time dependent boundary experience both diffraction and Doppler-like frequency conversion. In order to analyse such situations, conventional methods call for either the eigenmodes or the…

This paper focuses on time-varying delayed stochastic differential systems with stochastically switching parameters formulated by a unified switching behavior combining a discrete adapted process and a Cox process. Unlike prior studies…

This article extends the literature on copulas with discrete or continuous marginals to the case where some of the marginals are a mixture of discrete and continuous components. We do so by carefully defining the likelihood as the density…

A connection is established between discrete stochastic model describing microscopic motion of fluctuating cells, and macroscopic equations describing dynamics of cellular density. Cells move towards chemical gradient (process called…

This paper introduces a class of copula models for spatial data, based on multivariate Pareto-mixture distributions. We explore the tail properties of these models, demonstrating their ability to capture both tail dependence and asymptotic…

We present benchmark computations of dynamic poroelasticity modeling fluid flow in deformable porous media by a coupled hyperbolic-parabolic system of partial differential equations. A challenging benchmark setting and goal quantities of…

Bayesian computation for filtering and forecasting analysis is developed for a broad class of dynamic models. The ability to scale-up such analyses in non-Gaussian, nonlinear multivariate time series models is advanced through the…

Diffusive molecular dynamics is a novel model for materials with atomistic resolution that can reach diffusive time scales. The main ideas of diffusive molecular dynamics are to first minimize an approximate variational Gaussian free energy…