相关论文: On the reducibility of affine models with dependen…

An extension of the Heath--Jarrow--Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as L\'evy field noise terms is given. In the special case where the L\'evy…

Let $X$ be a $d$-dimensional L\'evy process with L\'evy triplet $(\Sigma,\nu,\alpha)$ and $d\geq 2$. Given the low frequency observations $(X_t)_{t=1,\ldots,n}$, the dependence structure of the jumps of $X$ is estimated. The L\'evy measure…

Ab initio modeling of dynamic structure factors (DSF) and related density response properties in the warm dense matter (WDM) regime is a challenging computational task. The DSF, convolved with a probing X-ray beam and instrument function,…

We consider the problem of estimating the density of the process associated with the small jumps of a pure jump L\'evy process, possibly of infinite variation, from discrete observations of one trajectory. The interest of such a question…

Let $(\xi,\eta)$ be a bivariate L\'evy process such that the integral $\int\_0^\infty e^{-\xi\_{t-}} d\eta\_t$ converges almost surely. We characterise, in terms of their \LL measures, those L\'evy processes for which (the distribution of)…

We establish a novel characterisation of the law of the convex minorant of any L\'evy process. Our self-contained elementary proof is based on the analysis of piecewise linear convex functions and requires only very basic properties of…

A simple model of an irreversible process is introduced. The equation of iterations in the model includes a noise generation term. We study the properties of the system when the noise generation term is a stochastic process (e.g. a random…

It is well known that certain fractional diffusion equations can be solved by the densities of stable L\'evy motions. In this paper we use the classical semigroup approach for L\'evy processes to define semi-fractional derivatives, which…

Obtaining coarse-grained models that accurately incorporate finite-size effects is an important open challenge in the study of complex, multi-scale systems. We apply Langevin regression, a recently developed method for finding stochastic…

The decay of a general time dependent structure factors is considered. The dynamics is that of stochastic field equations of the Langevin type, where the systematic generalized force is a functional derivative of some classical field…

The general equation from previous work is specialized to a linear potential $V(r)=-a+F r$ acting in the space of spherically symmetric S wave functions. The fine and hyperfine interaction creates then a $\frac1r$-dependence in the…

We construct in the small-time setting the upper and lower estimates for the transition probability density of a L\'evy process in $\rn$. Our approach relies on the complex analysis technique and the asymptotic analysis of the inverse…

The aim of this paper is to develop estimation and inference methods for the drift parameters of multivariate L\'evy-driven continuous-time autoregressive processes of order $p\in\mathbb{N}$. Starting from a continuous-time observation of…

In this work we apply the Dispersive Matrix (DM) method of Refs. [1,2] to the lattice computations of the Form Factors (FFs) entering the semileptonic $B \to D^* \ell \nu_\ell$ decays, recently produced by the FNAL/MILC Collaborations [3]…

We establish distributional limit theorems for the shape statistics of a concave majorant (i.e. the fluctuations of its length, its supremum, the time it is attained and its value at $T$) of any L\'evy process on $[0,T]$ as $T\to\infty$.…

Diffusion-weighted magnetic resonance imaging (DW-MRI) is a critical imaging method for capturing and modeling tissue microarchitecture at a millimeter scale. A common practice to model the measured DW-MRI signal is via fiber orientation…

We consider a model for interest rates, where the short rate is given by a time-homogenous, one-dimensional affine process in the sense of Duffie, Filipovic and Schachermayer. We show that in such a model yield curves can only be normal,…

We compute the structure-dependent axial and vector form factors for the radiative leptonic decays $D_s\to \ell\nu_\ell\gamma$, where $\ell$ is a charged lepton, as functions of the energy of the photon in the rest frame of the $D_s$ meson.…

By using large deviation theory that deals with the decay of probabilities of rare events on an exponential scale, we study the longtime behaviors and establish action functionals for scaled Brownian motion and L\'evy processes with…

We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a L\'evy process. Our results are valid for a large…