相关论文: A Model for Ordinary Levy Motion
We study the ergodic control problem for a class of jump diffusions in $\mathbb{R}^d$, which are controlled through the drift with bounded controls. The Levy measure is finite, but has no particular structure; it can be anisotropic and…
The limiting behavior of Toeplitz type quadratic forms of stationary processes has received much attention through decades, particularly due to its importance in statistical estimation of the spectrum. In the present paper we study such…
We derive a Dickman approximation for the small jumps of a large class of multivariate L\'evy processes. We then apply this approximation to develop a simulation method for the class of general multivariate gamma distributions (GMGD). A…
In this article, the continuous time random walk on the circle is studied. We derive the corresponding generalized master equation and discuss the effects of topology, especially important when Levy flights are allowed. Then, we work out…
We consider a random walk on one-dimensional inhomogeneous graphs built from Cantor fractals. Our study is motivated by recent experiments that demonstrated superdiffusion of light in complex disordered materials, thereby termed L\'evy…
A version of the saddle point method is developed, which allows one to describe exactly the asymptotic behavior of distribution densities of Levy driven stochastic integrals with deterministic kernels. Exact asymptotic behavior is…
We revise the Levy's construction of Brownian motion as a simple though still rigorous approach to operate with various Gaussian processes. A Brownian path is explicitly constructed as a linear combination of wavelet-based "geometrical…
The generalized perturbative approach is an all purpose variant of Stein's method used to obtain rates of normal approximation. Originally developed for functions of independent random variables this method is here extended to functions of…
Diffusion generative models unlock new possibilities for inverse problems as they allow for the incorporation of strong empirical priors in scientific inference. Recently, diffusion models are repurposed for solving inverse problems using…
In this article we introduce a three-parameter extension of the bivariate exponential-geometric (BEG) law (Kozubowski and Panorska, 2005). We refer to this new distribution as bivariate gamma-geometric (BGG) law. A bivariate random vector…
We establish inequalities for assessing the distance between the distribution of errors of partially observed high-frequency statistics of multidimensional L\'evy processes and that of a mixed Gaussian random variable. Furthermore, we…
We investigate a L\'evy-Walk alternating between velocities $\pm v_0$ with opposite sign. The sojourn time probability distribution at large times is a power law lacking its mean or second moment. The first case corresponds to a ballistic…
We address the construction of stable random matrix ensembles as the generalization of the stable random variables (Levy distributions). With a simple method we derive the Cauchy case, which is known to have remarkable properties. These…
We consider the problem of modelling restricted interactions between continuously-observed time series as given by a known static graph (or network) structure. For this purpose, we define a parametric multivariate Graph Ornstein-Uhlenbeck…
We examine two stochastic processes with random parameters, which in their basic versions (i.e., when the parameters are fixed) are Gaussian and display long range dependence and anomalous diffusion behavior, characterized by the Hurst…
Let $B=(B^{(1)},B^{(2)})$ be a two-dimensional fractional Brownian motion with Hurst index $\alpha\in (0,1/4)$. Using an analytic approximation $B(\eta)$ of $B$ introduced in \cite{Unt08}, we prove that the rescaled L\'evy area process…
We study statistical properties of the process $Y(t)$ of a passive advection by quenched random layered flows in situations when the inter-layer transfer is governed by a fractional Brownian motion $X(t)$ with the Hurst index $H \in (0,1)$.…
With a view to statistical inference for discretely observed diffusion models, we propose simple methods of simulating diffusion bridges, approximately and exactly. Diffusion bridge simulation plays a fundamental role in likelihood and…
Building upon the theory of graph limits and the Aldous-Hoover representation and inspired by Panchenko's work on asymptotic Gibbs measures (Annals of Probability 2013), we construct continuous embeddings of discrete probability…
The present paper establishes convolution theorems for regular estimators when the limit experiment is non-Gaussian or of infnite dimension with sparse parameter space. Applications are given for Gaussian shift experiments of infnite…