相关论文: A functional non-central limit theorem for jump-di…
The dynamics of chaotic Hamiltonian systems such as the kicked rotor continues to guide our understanding of transport and localization processes. The localized states of the quantum kicked rotor decay due to decoherence effects if…
We establish the existence and uniqueness for a one-dimensional stochastic differential equation driven by a Brownian motion and a pure jump {\levy} process. It is shown that under fairly general conditions on the coefficients, pathwise…
We study one-dimensional nonlinear stochastic cable equations driven by a multiplicative space-time white noise. Using the Malliavin-Stein method, we prove a central limit theorem for the spatial average of the solution. The convergence is…
A compound Poisson process whose parameters are all unknown is observed at finitely many equispaced times. Nonparametric estimators of the jump and L\'evy distributions are proposed and functional central limit theorems using the uniform…
The functional method to derive the fractional Fokker-Planck equation for probability distribution from the Langevin equation with Levy stable noise is proposed. For the Cauchy stable noise we obtain the exact stationary probability density…
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion 'factor' process. The…
This article is concerned with a mutualism ecological model with Levy noise. The local existence and uniqueness of a positive solution are obtained with positive initial value, and the asymptotic behavior to the problem is studied.…
With the rapid increase of valuable observational, experimental and simulating data for complex systems, great efforts are being devoted to discovering governing laws underlying the evolution of these systems. However, the existing…
Let $V$ be a two sided random walk and let $X$ denote a real valued diffusion process with generator ${1/2}e^{V([x])}\frac{d}{dx}(e^{-V([x])}\frac{d}{dx})$. This process is known to be the continuous equivalent of the one dimensional random…
In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…
We present regularity results for nonlinear drift-diffusion equations of porous medium type (together with their incompressible limit). We relax the assumptions imposed on the drift term with respect to previous results and additionally…
We give general conditions for the central limit theorem and weak convergence to Brownian motion (the weak invariance principle / functional central limit theorem) to hold for observables of compact group extensions of nonuniformly…
We provide a support theorem for the law of the solution to an SDE with jump noise. This theorem applies to general SDEs with jumps and is illustrated by examples of SDEs with quite degenerate jump noises where the theorem leads to an…
A large deviation principle is established for a two-scale stochastic system in which the slow component is a continuous process given by a small noise finite dimensional It\^{o} stochastic differential equation, and the fast component is a…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…
The crossover among two or more types of diffusive processes represents a vibrant theme in nonequilibrium statistical physics. In this work we propose two models to generate crossovers among different L\'evy processes: in the first model we…
Non-interferometric experiments have been successfully employed to constrain models of spontaneous wave function collapse, which predict a violation of the quantum superposition principle for large systems. These experiments are grounded on…
In this paper we obtain new limit theorems for variational functionals of high frequency observations of stationary increments L\'evy driven moving averages. We will see that the asymptotic behaviour of such functionals heavily depends on…
In this paper we present some new limit theorems for power variations of stationary increment L\'{e}vy driven moving average processes. Recently, such asymptotic results have been investigated in [Ann. Probab. 45(6B) (2017), 4477--4528,…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…