相关论文: A Pathwise Fractional one Compartment Intra-Veinou…

Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete observations of the underlying processes.

We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2. We apply an anticipative Girsanov transformation to transform the system into another one, driven only by…

For equidistant discretizations of fractional Brownian motion (fBm), the probabilities of ordinal patterns of order d=2 are monotonically related to the Hurst parameter H. By plugging the sample relative frequency of those patterns…

Multifractional processes extend the concept of fractional Brownian motion by replacing the constant Hurst parameter with a time-varying Hurst function. This extension allows for modulation of the roughness of sample paths over time. The…

We derive an integration by parts formula for functionals of determinantal processes on compact sets, completing the arguments of [4]. This is used to show the existence of a configuration-valued diffusion process which is non-colliding and…

The movement of intracellular cargo transported by molecular motors is commonly marked by switches between directed motion and stationary pauses. The predominant measure for assessing movement is effective diffusivity, which predicts the…

The characteristic feature of the discrete scale invariant (DSI) processes is the invariance of their finite dimensional distributions by dilation for certain scaling factor. DSI process with piecewise linear drift and stationary increments…

State-of-the-art techniques in passive particle-tracking microscopy provide high-resolution path trajectories of diverse foreign particles in biological fluids. For particles on the order of 1 micron diameter, these paths are generally…

We introduce a model for stochastic transport on a one-dimensional substrate with particles assuming different conformations during their stepping cycles. These conformations correspond to different footprints on the substrate: in order to…

We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interval. As a prior on the diffusion coefficient, we employ a…

This paper examines the temporal evolution of a two-stage stochastic model for spherical random fields. The model uses a time-fractional stochastic hyperbolic diffusion equation, which describes the evolution of spherical random fields on…

This paper develops an It\^o-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons' rough path framework. This approach is designed to fill…

Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian. Then Nash equilibria…

Many causal estimands are only partially identifiable since they depend on the unobservable joint distribution between potential outcomes. Stratification on pretreatment covariates can yield sharper bounds; however, unless the covariates…

Many biological processes are supported by special molecules, called motor proteins or molecular motors, that transport cellular cargoes along linear protein filaments and can reversibly associate to their tracks. Stimulated by these…

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…

The article considers parameter estimation constructing such as quasi-maximum likelyhood estimation and one step estimation in statistical models generated by solution of stochastic differential equation. It has been developed a software…

Studying sample path behaviour of stochastic fields/processes is a classical research topic in probability theory and related areas such as fractal geometry. To this end, many methods have been developed since a long time in Gaussian…

We compute profile likelihoods for a stochastic model of diffusive transport motivated by experimental observations of heat conduction in layered skin tissues. This process is modelled as a random walk in a layered one-dimensional material,…

This study in centered on models accounting for stochastic deformations of sample paths of random walks, embedded either in $\mathbb{Z}^2$ or in $\mathbb{Z}^3$. These models are immersed in multi-type particle systems with exclusion.…