相关论文: Varadhan estimates for a degenerated convolution s…
The problem of integrated volatility estimation for the solution X of a stochastic differential equation with L{\'e}vy-type jumps is considered under discrete high-frequency observations in both short and long time horizon. We provide an…
We propose a nonparametric estimator of the jump activity index $\beta$ of a pure-jump semimartingale $X$ driven by a $\beta$-stable process when the underlying observations are coming from a high-frequency setting at irregular times. The…
Motivated by Varadhan's theorem, we introduce Varadhan functions, variances, and means on compact Riemannian manifolds as smooth approximations to their Fr\'echet counterparts. Given independent and identically distributed samples, we prove…
We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, volatility, jump intensity and jump size. A change of measure argument is used to extend existing…
This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance from the total process quadratic variation is confirmed by…
We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process which could be dependent. Assuming that the generator has a…
Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for a specific non-Gaussian self-similar process, the Rosenblatt process. We apply our results to the design of…
We derive upper estimates of transition densities for Feller semigroups with jump intensities lighter than that of the rotation invariant stable Levy process
We consider a class of jump processes in euclidean space which are associated to a certain non-local symmetric Dirichlet form. We prove a lower bound on the occupation times of sets, and that a support theorem holds for these processes.
We give an explicit construction of the increasing tree-valued process introduced by Abraham and Delmas using a random point process of trees and a grafting procedure. This random point process will be used in companion papers to study…
We study large deviations asymptotics for a class of unbounded additive functionals, interpreted as normalized accumulated areas, of one-dimensional Langevin diffusions with sub-linear gradient drifts. Our results provide parametric…
We consider stochastic differential systems driven by a Brownian motion and a Poisson point measure where the intensity measure of jumps depends on the solution. This behavior is natural for several physical models (such as Boltzmann…
We estimate fractional Sobolev and Besov norms of some singular integrals arising in the model problem for the Zakai equation with discontinuous signal and observation.
We investigate densities of vaguely continuous convolution semigroups of probability measures on $\mathbb{R}^d$. First, we provide results that give upper estimates in a situation when the corresponding jump measure is allowed to be highly…
Freidlin-Wentzell theory of large deviations can be used to compute the likelihood of extreme or rare events in stochastic dynamical systems via the solution of an optimization problem. The approach gives exponential estimates that often…
This article investigates discrete-time approximations of stochastic integrals driven by semimartingales with jumps via weighted bounded mean oscillation (BMO) approach. This approach enables $L_p$-estimates, $p \in (2, \infty)$, for 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.
We establish new quantitative estimates for general systems of functions with wavelet-type dyadic structure. These estimates are applied to obtain the optimal growth of various types of Weyl multipliers for certain wavelet-type systems.…
We rigorously formulate and prove for a relatively general class of interactions Varadhan's Decomposition of shift-invariant closed $L^2$-forms for a large scale interacting system on the Euclidean lattice with finite range. Such…
We prove a uniform version of Varadhan decomposition for shift-invariant closed uniform forms associated to large scale interacting systems on general crystal lattices. In particular, this result includes the case of translation invariant…