相关论文: On strong bounds of rate of convergence for regene…
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian distributions, to provide an accurate…
We consider an optimization problem with strongly convex objective and linear inequalities constraints. To be able to deal with a large number of constraints we provide a penalty reformulation of the problem. As penalty functions we use a…
We prove the convergence of the law of grid-valued random walks, which can be seen as time-space Markov chains, to the law of a general diffusion process. This includes processes with sticky features, reflecting or absorbing boundaries and…
For each $n \geq 1$, let $\{X_{j,n}\}_{1 \leq j \leq n}$ be a sequence of strictly stationary random variables. In this article, we give some asymptotic weak dependence conditions for the convergence in distribution of the point process…
The goal of this paper is to identify exponential convergence rates and to find computable bounds for them for Markov processes representing unreliable Jackson networks. First we use the bounds of Lawler and Sokal in order to show that, for…
This paper considers linear functions constructed on two different weighted branching processes and provides explicit bounds for their Kantorovich-Rubinstein distance in terms of couplings of their corresponding generic branching vectors.…
We consider uniform moment convergence of lag-window spectral density estimates for univariate and multivariate stationary processes. Optimal rates of convergence are obtained under mild and easily verifiable conditions. Our theory…
For general, almost surely absorbed Markov processes, we obtain necessary and sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the…
In this work, we focus on the stationary analysis of a specific class of continuous time Markov-modulated reflected random walks in the quarter plane with applications in the modelling of two-node Markov-modulated queueing networks with…
Force-based multiphysics coupling methods have become popular since they provide a simple and efficient coupling mechanism, avoiding the difficulties in formulating and implementing a consistent coupling energy. They are also the only known…
We consider regenerative processes with values in some Polish space. We define their \epsilon-big excursions as excursions e such that f(e)>\epsilon, where f is some given functional on the space of excursions which can be thought of as,…
Conformal prediction provides finite-sample, distribution-free coverage under exchangeability, but standard constructions may lack robustness in the presence of outliers or heavy tails. We propose a robust conformal method based on a…
We provide sufficient conditions for polynomial rate of convergence in the weak law of large numbers for supercritical general indecomposable multi-type branching processes. The main result is derived by investigating the embedded…
We study the distribution of the maximal jump of continuous-state branching processes. Several exact expressions and explicit asymptotics of both the local maximal jump and the global maximal jump are obtained. We also compare the…
This paper provides a bound for the supremum of sample averages over a class of functions for a general class of mixing stochastic processes with arbitrary mixing rates. Regardless of the speed of mixing, the bound is comprised of a…
In this paper, a special sequence of controlled branching processes is considered. We provide a simple set of sufficient conditions for the weak convergence of such processes to a weak solution to a kind of continuous branching processes…
We consider conservative cross-diffusion systems for two species where individual motion rates depend linearly on the local density of the other species. We develop duality estimates and obtain stability and approximation results. We first…
We develop a new formulation of Stein's method to obtain computable upper bounds on the total variation distance between the geometric distribution and a distribution of interest. Our framework reduces the problem to the construction of a…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
The paper presents a method by which the mean field dynamics of a population of dynamical systems with parameter diversity and global coupling can be described in terms of a few macroscopic degrees of freedom. The method applies to…