相关论文: Infinite variance $H$-sssi processes as limits 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…
Motion of particles in many systems exhibits a mixture between periods of random diffusive like events and ballistic like motion. In many cases, such systems exhibit strong anomalous diffusion, where low order moments $< |x(t)|^q >$ with…
The Poisson process of order $i$ is a weighted sum of independent Poisson processes and is used to model the flow of clients in different services. In the paper below we study some extensions of this process, for different forms of the…
This review article discusses limit distributions and variance bounds for particle current in several dynamical stochastic systems of particles on the one-dimensional integer lattice: independent particles, independent particles in a random…
We study the stationary fluctuations of independent run-and-tumble particles. We prove that the joint densities of particles with given internal state converges to an infinite dimensional Ornstein-Uhlenbeck process. We also consider an…
We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use $\theta$-weak dependence to establish laws of large numbers and central limit type…
We establish bounds for the covariance of a large class of functions of infinite variance stable random variables, including unbounded functions such as the power function and the logarithm. These bounds involve measures of dependence…
It is shown that for a non-decreasing self-similar stochastic process $T$ with independent increments, the range of $T$ forms a Poisson point process with $\sigma$-finite intensity if and only if the one-dimensional distribution of $T(1)$…
We take up the idea of Nelson's stochastic processes, the aim of which was to deduce Schr\"odinger's equation. We make two major changes here. The first one is to consider deterministic processes which are pseudo-random but which have the…
Occupation time fluctuation limits of particle systems in R^d with independent motions (symmetric stable Levy process, with or without critical branching) have been studied assuming initial distributions given by Poisson random measures…
We consider the winding number of planar stationary Gaussian processes defined on the line. Under mild conditions, we obtain the asymptotic variance and the Central Limit Theorem for the winding number as the time horizon tends to infinity.…
Using the renormalization method introduced in \cite{GJ}, we prove what we call the {\em local} Boltzmann-Gibbs principle for conservative, stationary interacting particle systems in dimension $d=1$. As applications of this result, we…
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent…
In contrast to their seemingly simple and shared structure of independence and stationarity, L\'evy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes.…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
Hyperuniform particle arrangements are characterized by a local number variance that grows more slowly than the volume of the observation window. We generalize this concept to describe particle systems in which particles carry weights:…
We study a system of particles in the interval $[0,\epsilon^{-1}] \cap \mathbb Z$, $\epsilon^{-1}$ a positive integer. The particles move as symmetric independent random walks (with reflections at the endpoints); simultaneously new…
We establish the incompressible limit of weakly asymmetric simple exclusion processes coupled through particle collisions. The incompressible limit depends on various parameters in the particle system and is linked to fluid dynamics…
We obtain invariance principles for a wide class of fractionally integrated nonlinear processes. The limiting distributions are shown to be fractional Brownian motions. Under very mild conditions, we extend earlier ones on long memory…
We generalise the construction of multivariate Hawkes processes to a possibly infinite network of counting processes on a directed graph $\mathbb G$. The process is constructed as the solution to a system of Poisson driven stochastic…