相关论文: On the backward Euler method for a generalized Ait…

In this study, utilizing a specific exponential weighting function, we investigate the uniform exponential convergence of weighted Birkhoff averages along decaying waves and delve into several related variants. A key distinction from…

Bayesian model averaging, model selection and its approximations such as BIC are generally statistically consistent, but sometimes achieve slower rates og convergence than other methods such as AIC and leave-one-out cross-validation. On the…

It is well known that the Fourier--Bohr coefficients of regular model sets exist and are uniformly converging, volume-averaged exponential sums. Several proofs for this statement are known, all of which use fairly abstract machinery. For…

We compute the exact relaxation rate of the partially asymmetric exclusion process with open boundaries, with boundary rates opposing the preferred direction of flow in the bulk. This reverse bias introduces a length scale in the system, at…

This paper presents a strong convergence rate analysis of general discretization approximations for McKean-Vlasov SDEs with super-linear growth coefficients over infinite time horizon. Under some specified non-globally Lipschitz conditions,…

This paper is concerned with the numerical approximation of stochastic ordinary differential equations, which satisfy a global monotonicity condition. This condition includes several equations with super-linearly growing drift and diffusion…

In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow…

Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…

We study nonparametric Bayesian statistical inference for the parameters governing a pure jump process of the form $$Y_t = \sum_{k=1}^{N(t)} Z_k,~~~ t \ge 0,$$ where $N(t)$ is a standard Poisson process of intensity $\lambda$, and $Z_k$ are…

The rate of convergence of the Gibbs sampler for the generalized one-dimensional Ising model is determined by the second largest eigenvalue of its transition matrix in absolute value denoted by $\beta^*$. In this paper we generalize a…

For stochastic differential equations (SDEs) with a superlinearly growing and globally one-sided Lipschitz continuous drift coefficient, the classical explicit Euler scheme fails to converge strongly to the exact solution. Recently, an…

This paper is devoted to establishing exponential bounds for the probabilities of deviation of a sample sum from its expectation, when the variables involved in the summation are obtained by sampling in a finite population according to a…

In this paper we propose an explicit and positivity preserving scheme for the mean reverting CEV model which converges in the mean square sense with convergence order $a(a-1/2)$.

This paper presents and analyzes the compensated projected Euler-Maruyama method for stochastic differential equations with jumps under a global monotonicity condition. Compared with existing conditions, this condition allows the…

Given a sample from a discretely observed multidimensional compound Poisson process, we study the problem of nonparametric estimation of its jump size density $r_0$ and intensity $\lambda_0$. We take a nonparametric Bayesian approach to the…

Existing fundamental theorems for mean-square convergence of numerical methods for stochastic differential equations (SDEs) require globally or one-sided Lipschitz continuous coefficients, while strong convergence results under merely local…

In this paper we provide general conditions to check on the model and the prior to derive posterior concentration rates for data-dependent priors (or empirical Bayes approaches). We aim at providing conditions that are close to the…

This article presents a new proof of the rate of convergence to the normal distribution of sums of independent, identically distributed random variables in chi-square distance, which was also recently studied in \cite{BobkovRenyi}. Our…

In this paper, we are concerned with convergence rate of Euler-Maruyama (EM) scheme for stochastic differential delay equations (SDDEs) of neutral type, where the neutral term, the drift term and the diffusion term are allowed to be of…

In this paper, we investigate the convergence of the tamed Euler-Maruyama (EM) scheme for a class of neutral stochastic differential delay equations. The strong convergence results of the tamed EM scheme are presented under global and local…