相关论文: A Strong Limit Theorem for Two-Time-Scale Fucntion…

In this article we derive a self-normalized functional limit theorem for strictly stationary linear processes with i.i.d. heavy-tailed innovations and random coefficients under the condition that all partial sums of the series of…

We establish strong invariance principles for sums of stationary and ergodic processes with nearly optimal bounds. Applications to linear and some nonlinear processes are discussed. Strong laws of large numbers and laws of the iterated…

The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the random time changes $(E_t)_{t\ge 0}$ considered include the…

In this paper we study by probabilistic techniques the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between the two evolution speeds diverges. The value function is…

We prove functional limit theorems for dynamical systems in the presence of clusters of large values which, when summed and suitably normalised, get collapsed in a jump of the limiting process observed at the same time point. To keep track…

We consider boundary value problems for stochastic differential equations of second order with a small parameter. For this case we prove a special existence and unicity theorem for strong solutions. The asymptotic behavior of these…

This letter is about effective approximation for a stochastic parabolic equation with a large potential in a periodic medium. Under a condition on the spectral properties of the associated cell problem, we prove that the solution can be…

We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a…

In this paper we introduce a new technique for depicting the phase portrait of stochastic differential equations. Following previous work for deterministic systems, we represent the phase space by means of a generalization of the method of…

We study a model for a quantum critical point in two spatial dimensions between a semimetallic phase, characterized by a stable quadratic Fermi node, and an ordered phase, in which the spectrum develops a band gap. The quantum critical…

In this paper, we establish a central limit theorem for a large class of general supercritical superprocesses with spatially dependent branching mechanisms satisfying a second moment condition. This central limit theorem generalizes and…

We study two time-scale linear stochastic approximation algorithms, which can be used to model well-known reinforcement learning algorithms such as GTD, GTD2, and TDC. We present finite-time performance bounds for the case where the…

In order to give quantitative estimates for approximating the ergodic limit, we investigate probabilistic limit behaviors of time-averaging estimators of numerical discretizations for a class of time-homogeneous Markov processes, by…

In this paper, we establish a version of the central limit theorem for Markov-Feller continuous time processes (with a Polish state space) that are exponentially ergodic in the bounded-Lipschitz distance and enjoy a continuous form of the…

We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…

We give elementary and explicit sufficient conditions (in particular, a functional correlation bound) for deterministic homogenisation (convergence to a stochastic differential equation) for discrete-time fast-slow systems of the form \[…

This manuscript proposes a class of fractional stochastic integro-differential equation (FSIDE) with non-instantaneous impulses in an arbitrary separable Hilbert space. We use a projection scheme of increasing sequence of finite dimensional…

We derive a stochastic Gronwall lemma with suprema over the paths in the upper bound of the assumed affine-linear growth assumption. This allows applications to It\^o processes with coefficients which depend on earlier time points such as…

Explicit conditions are presented for the existence, uniqueness and ergodicity of the strong solution to a class of generalized stochastic porous media equations. Our estimate of the convergence rate is sharp according to the known optimal…

The paper studies the higher-order absolute differences taken from progressive terms of time-homogenous binary Markov chains. Two theorems presented are the limiting theorems for these differences, when their order $k$ converges to…