相关论文: Tempered Hermite process
In this work, we introduce a new process by modifying the kernel in the time domain representation of the generalized Hermite process. This modification is constructed by means of multiplication of the kernel in the time definition of the…
We introduce a broad class of self-similar processes $\{Z(t),t\ge 0\}$ called generalized Hermite process. They have stationary increments, are defined on a Wiener chaos with Hurst index $H\in (1/2,1)$, and include Hermite processes as a…
The two-parameter tempered Hermite field modifies the power law kernel in the moving average representation of the Hermite field by adding an exponential tempering. This paper develops the basic theory of two-parameter tempered Hermite…
We consider a modified quadratic variation of the Hermite process based on some well-chosen increments of this process. These special increments have the very useful property to be independent and identically distributed up to…
Hawkes process (HP) is a point process with a conditionally dependent intensity function. This paper defines the tempered fractional Hawkes process (TFHP) by time-changing the HP with an inverse tempered stable subordinator. We obtained…
In this paper, we propose an extension of the Hawkes process by incorporating a kernel based on the tempered Mittag-Leffler distribution. This is the generalization of the work presented in [10]. We derive analytical results for the…
We compute Hermite expansions of some tempered distributions by using the Bargmann transform. In other words, we calculate the Taylor expansions of the corresponding entire functions. Our method of computations seems to be superior to the…
We study the asymptotic behaviour of modified weighted power variations of the Hermite process of arbitrary order. By selecting suitable "good" increments and exploiting their decomposition into dominant independent components, we establish…
Autoregressive tempered fractionally integrated moving average (ARTFIMA) time series is a useful model for velocity data in turbulence flows. In this paper, we obtain an invariance principle for the partial sum of an ARTFIMA process. The…
We develop a perturbation theory of quantum (and classical) master equations with slowly varying parameters, applicable to systems which are externally controlled on a time scale much longer than their characteristic relaxation time. We…
Parallel tempering simulates at many quark masses simultaneously, by changing the mass during the simulation while remaining in equilibrium. The algorithm is faster than pure HMC if more than one mass is needed, and works better the smaller…
Hermite processes are self--similar processes with stationary increments which appear as limits of normalized sums of random variables with long range dependence. The Hermite process of order $1$ is fractional Brownian motion and the…
Simulated and parallel tempering are families of Markov Chain Monte Carlo algorithms where a temperature parameter is varied during the simulation to overcome bottlenecks to convergence due to multimodality. In this work we introduce and…
The phenomenon of Hilbert space fragmentation, whereby dynamical constraints fragment Hilbert space into many disconnected sectors, provides a simple mechanism by which thermalization can be arrested. However, little is known about how…
This work defines two classes of processes, that we term {\it tempered fractional multistable motion} and {\it tempered multifractional stable motion}. They are extensions of fractional multistable motion and multifractional stable motion,…
We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in $\alpha$-stable $(1< \alpha \le 2)$ i.i.d. innovations and related tempered linear processes with vanishing tempering parameter $\lambda…
We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered…
The minimal set of thermodynamic control parameters consists of a statistical (thermal) and a mechanical one. These suffice to introduce all the pertinent thermodynamic variables; thermodynamic processes can then be defined as paths on this…
We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has $L^1$ norm close to one and power law tail of the form $x^{-(1+\alpha)}$, with $\alpha\in(0,1)$. We in particular prove that…
Optimal (reversible) processes in thermodynamics can be modelled as step-by-step processes, where the system is successively thermalized with respect to different Hamiltonians by an external thermal bath. However, in practice interactions…