相关论文: Exponential moments for Hawkes processes under min…

In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing essential smoothness of the limiting cumulant of the…

The self-exciting Hawkes process is widely used to model events which occur in bursts. However, many real world data sets contain missing events and/or noisily observed event times, which we refer to as data distortion. The presence of such…

This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…

Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that…

In this paper, we prove a process-level, also known as level-3 large deviation principle for a very general class of simple point processes, i.e. nonlinear Hawkes process, with a rate function given by the process-level entropy, which has…

For a L\'evy process on the real line, we provide complete criteria for the finiteness of exponential moments of the first passage time into the interval $(r,\infty)$, the sojourn time in the interval $(-\infty,r]$, and the last exit time…

We study the asymptotic properties of the solutions of a nonlinear renewal equation. The main contribution of the present article is to provide stability and convergence results around equilibrium solutions, under some local subcritical…

We show that for any centered stationary Gaussian process of integrable covariance, whose spectral measure has compact support, or finite exponential moments (and some additional regularity), the number of zeroes of the process in $[0,T]$…

It is shown by constructing Rohlins canonical measures that for a strictly stationary, d-dimensional vector-valued process X there exists another strictly stationary d-dimensional process U with uniform one-dimensional marginals and with…

Let $M_n$ be the number of steps of the loop-erasure of a simple random walk on $\mathbb{Z}^2$ from the origin to the circle of radius $n$. We relate the moments of $M_n$ to $Es(n)$, the probability that a random walk and an independent…

I discuss the relationship between edge exponents in the statistics of work done, dynamical phase transitions, and the role of different kinds of excitations appearing when a non-equilibrium protocol is performed on a closed, gapped,…

Many biological processes are supported by special molecules, called motor proteins or molecular motors, that transport cellular cargoes along linear protein filaments and can reversibly associate to their tracks. Stimulated by these…

We introduce $\Lambda$-moments with respect to any positive map $\Lambda$. We show that these $\Lambda$-moments can effectively characterize the entanglement of unknown quantum states without theirs prior reconstructions. Based on…

We prove exponential decay of pair correlations for 1D stationary point processes when spacings satisfy a Markov condition, geometric ergodicity, and a condition on exponential moments. The conditions are phrased for stationary sequences of…

Lower bounds for persistence probabilities of stationary Gaussian processes in discrete time are obtained under various conditions on the spectral measure of the process. Examples are given to show that the persistence probability can decay…

We consider a random walk on a homogeneous Poisson point process with energy marks. The jump rates decay exponentially in the A-power of the jump length and depend on the energy marks via a Boltzmann--like factor. The case A=1 corresponds…

We prove exponential moments for linear combinations of the number of individuals of each type of a whole multitype Poissonian Galton Watson process. We give sharp estimates for such quantities, which depend on the expectation of the…

This work extends the studies on the minimum and extremal process of a supercritical branching random walk outside the boundary case which cannot be reduced to the boundary case. We study here the situation where the log-generating function…

A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed…

We consider the large deviations associated with the empirical mean of independent and identically distributed random variables under a subexponential moment condition. We show that non-trivial deviations are observable at a subexponential…