相关论文: Power variations and testing for co-jumps: the sma…

We analyze a specific class of random systems that are driven by a symmetric L\'{e}vy stable noise. In view of the L\'{e}vy noise sensitivity to the confining "potential landscape" where jumps take place (in other words, to environmental…

We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…

L\'evy noise is a paradigmatic noise used to describe out-of-equilibrium systems. Typically, properties of L\'evy noise driven systems are very different from their Gaussian white noise driven counterparts. In particular, under action of…

Variational inference is a powerful tool for approximate inference. However, it mainly focuses on the evidence lower bound as variational objective and the development of other measures for variational inference is a promising area of…

In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematical finance, where latent price processes are corrupted by…

This paper proposes an event-triggered variational Bayesian filter for remote state estimation with unknown and time-varying noise covariances. After presetting multiple nominal process noise covariances and an initial measurement noise…

We report measurements and analysis of the voltage noise due the to vortex motion, performed in superconducting Niobium micro-bridges. Noise in such small systems exhibits important changes from the behavior commonly reported in macroscopic…

Instrumental variables are commonly used to estimate effects of a treatment afflicted by unmeasured confounding, and in practice instruments are often continuous (e.g., measures of distance, or treatment preference). However, available…

In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…

We demonstrate occurrence of bimodality and dynamical hysteresis in a system describing an overdamped quartic oscillator perturbed by additive white and asymmetric L\'evy noise. Investigated estimators of the stationary probability density…

We use the Gaussian approximation describing photocount statistics for both the homodyne and the double homodyne (heterodyne) measurements to study asymmetry effects arising from imbalance of the beam splitters and variations in quantum…

One central goal of design of observational studies is to embed non-experimental data into an approximate randomized controlled trial using statistical matching. Despite empirical researchers' best intention and effort to create…

In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and…

We propose a new estimator for the integrated covariance of two Ito semimartingales observed at a high-frequency. This new estimator, which we call the pre-averaged truncated Hayashi-Yoshida estimator, enables us to separate the sum of the…

We consider a slow passage through a point of loss of stability. If the passage is sufficiently slow, the dynamics are controlled by additive random disturbances, even if they are extremely small. We derive expressions for the `exit value'…

We give both sufficient conditions and necessary conditions for the stochastic stability of non-uniformly expanding maps either with or without critical sets. We also show that the number of probability measures describing the statistical…

Quantum metrology aims to use quantum resources to improve the precision of measurement. Quantum criticality has been presented as a novel and efficient resource. Generally, protocols of criticality-based quantum metrology often work…

We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated…

The estimation of the covariance structure from a discretely observed multivariate Gaussian process under asynchronicity and noise is analysed under high-frequency asymptotics. Asymptotic lower and upper bounds are established for a general…

This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the realized kernels (RK) from [Barndorff-Nielsen et al., 2008] and…