相关论文: Stable convergence of generalized stochastic integ…

In this paper, we propose a general method for testing composite hypotheses. Our idea is to use confidence limits to define stopping and decision rules. The requirements of operating characteristic function can be satisfied by adjusting the…

We propose a sampling method based on an ensemble approximation of second order Langevin dynamics. The log target density is appended with a quadratic term in an auxiliary momentum variable and damped-driven Hamiltonian dynamics introduced;…

Let $L$ be a positive definite self-adjoint operator on the $L^2$-space associated to a $\si$-finite measure space. Let $H$ be the dual space of the domain of $L^{1/2}$ w.r.t. $L^2(\mu)$. By using an It\^o type inequality for the $H$-norm…

Given a reference random variable, we study the solution of its Stein equation and obtain universal bounds on its first and second derivatives. We then extend the analysis of Nourdin and Peccati by bounding the Fortet-Mourier and…

This paper deals with the problem of estimating the state of a linear time-invariant system in the presence of sporadically available measurements and external perturbations. An observer with a continuous intersample injection term is…

A margin-free measure of bivariate association generalizing Spearman's rho to the case of non-monotonic dependence is defined in terms of two square integrable functions on the unit interval. Properties of generalized Spearman correlation…

This paper studies the asymptotic behaviour of the solution of a differential equation perturbed by a fast flow preserving an infinite measure. This question is related with limit theorems for non-stationary Birkhoff integrals. We…

We address the issue of the Central Limit Theorem for (both local and global) empirical measures of diffusions interacting on a possibly diluted Erd\H{o}s-R\'enyi graph. Special attention is given to the influence of initial condition (not…

The problem of convergence in law of normed sums of exchangeable random variables is examined. First, the problem is studied w.r.t. arrays of exchangeable random variables, and the special role played by mixtures of products of stable laws…

In this paper, we proved moderate deviation principles for a fully coupled two-time-scale stochastic systems, where the slow process is given by stochastic differential equations with small noise, while the fast process is a rapidly…

In this paper, we investigate a class of multiscale McKean-Vlasov stochastic systems, where the entire system depends on the distributions of both fast and slow components. First of all, by applying the Poisson equation method, we prove…

In this paper we show that the limiting distribution of the real and the imaginary part of the double Fourier transform of a stationary random field is almost surely an independent vector with Gaussian marginal distributions, whose variance…

One of the broadest concepts of measurement in quantum theory is the generalized measurement. Another paradigm of measurement--arising naturally in quantum optics, among other fields--is that of continuous-time measurements, which can be…

Concentration of measure is a phenomenon in which a random variable that depends in a smooth way on a large number of independent random variables is essentially constant. The random variable will "concentrate" around its median or…

We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility…

This paper conducts sensitivity analysis of random constraint and variational systems related to stochastic optimization and variational inequalities. We establish efficient conditions for well-posedness, in the sense of robust Lipschitzian…

Nualart & Pecatti ([Nualart and Peccati, 2005, Thm 1]) established the first fourth-moment theorem for random variables in a fixed Wiener chaos, i.e. they showed that convergence of the sequence of fourth moments to the fourth moment of the…

In this paper, we study the generalized mean-field stochastic control problem when the usual stochastic maximum principle (SMP) is not applicable due to the singularity of the Hamiltonian function. In this case, we derive a second order…

Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…

In this paper we study the almost sure conditional central limit theorem in its functional form for a class of random variables satisfying a projective criterion. Applications to strongly mixing processes and non irreducible Markov chains…