相关论文: Linear fractional stable motion: a wavelet estimat…

We show that alpha stable L\'evy motions can be simulated by any ergodic and aperiodic probability preserving transformation. Namely we show: - for $0<\alpha<1$ and every $\alpha$ stable L\'evy motion $\mathbb{W}$, there exists a function f…

In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the…

We apply the techniques of stochastic integration with respect to fractional Brownian motion and the theory of regularity and supremum estimation for stochastic processes to study the maximum likelihood estimator (MLE) for the drift…

Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-based M-estimator is proposed relying on bivariate margins…

Fractional derivative and delay are important tools in modeling memory properties in the natural system. This work deals with the stability analysis of a fractional order delay differential equation \begin{equation*} D^\alpha x(t)=\delta…

A freely falling stream of weakly cohesive granular particles is modeled and analysed with help of event driven simulations and continuum hydrodynamics. The former show a breakup of the stream into droplets, whose size is measured as a…

Multivariate processes with long-range dependence properties can be encountered in many fields of application. Two fundamental characteristics in such frameworks are long-range dependence parameters and correlations between component time…

Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a fractional Brownian motion with a small value for the Hurst…

In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with $H<1/2$. As an auxiliary result, we also prove the…

The asymptotic behavior, as $T\to\infty$, of some functionals of the form $I_T(t)=F_T(\xi_T(t))+\int_0^tg_T(\xi_T(s))\,dW_T(s)$, $t\ge0$ is studied. Here $\xi_T(t)$ is the solution to the time-inhomogeneous It\^{o} stochastic differential…

The Generalized Elastic Model is a linear stochastic model which accounts for the behaviour of many physical systems in nature, ranging from polymeric chains to single-file systems. If an external perturbation is exerted \emph{only} on a…

Laminar-turbulent pattern formation is a distinctive feature of the intermittency regime in subcritical plane shear flows. By performing extensive numerical simulations of the plane channel flow, we show that the pattern emerges from a…

Stable subordinators, and more general subordinators possessing power law probability tails, have been widely used in the context of subdiffusions, where particles get trapped or immobile in a number of time periods, called constant…

In this paper, we consider a long-time behavior of stable-like processes. A stable-like process is a Feller process given by the symbol $p(x,\xi)=-i\beta(x)\xi+\gamma(x)|\xi|^{\alpha(x)},$ where $\alpha(x)\in(0,2)$, $\beta(x)\in\R$ and…

We study the parameters range for the fixed point of a class of complex dynamics with the rational fractional function as $R_{n,a,c}(z)=z^n+\frac{a}{z^n}+c$, where $n=1,2,3,4$ is specified, $a$ and $c$ are two complex parameters. The…

If $X$ is a stable process of index $\alpha\in(0,2)$ whose L\'{e}vy measure has density $cx^{-\alpha-1}$ on $(0,\infty)$, and $S_1=\sup_{0<t\leq1}X_t$, it is known that $P(S_1>x)\backsim A\alpha ^{-1}x^{-\alpha}$ as $x\to\infty$ and…

Classical conditions for asymptotic stability of periodic solutions bifurcating from a limit cycle rely on the derivative of the corresponding bifurcation function F at the bifurcation point t. We show that for analytic systems this result…

We consider a time series $X=\{X_k, k\in\mathbb{Z}\}$ with memory parameter $d\in\mathbb{R}$. This time series is either stationary or can be made stationary after differencing a finite number of times. We study the "Local Whittle Wavelet…

We consider the nonlinear Duffing oscillator in presence of fractional damping which is characteristic in different physical situations. The system is studied with a smaller and larger damping parameter value, that we call the underdamped…

Interactions between an internal flow and wall deformation occur in many biological systems. Such interactions can involve a complex and rich dynamical behavior and a number of peculiarities which depend on the flow parameter range. The aim…