Zobrazeno 1 - 10
of 60
pro vyhledávání: '"Kleptsyna, Marina"'
We consider Cauchy problem for a divergence form second order parabolic operator with rapidly oscillating coefficients that are periodic in spatial variable and random stationary ergodic in time. As was proved in [25] and [13] in this case the homoge
Externí odkaz:
http://arxiv.org/abs/2010.00240
We consider the generic divergence form second order parabolic equation with coefficients that are regular in the spatial variables and just measurable in time. We show that the spatial derivatives of its fundamental solution admit upper bounds that
Externí odkaz:
http://arxiv.org/abs/1906.07604
Publikováno v:
Stochastic Partial Differential Equations: Analysis & Computations; Dec2024, Vol. 12 Issue 4, p2151-2180, 30p
We consider Cauchy problem for a divergence form second order parabolic operator with rapidly oscillating coefficients that are periodic in spatial variables and random stationary ergodic in time. As was proved in [24] and [12] in this case the homog
Externí odkaz:
http://arxiv.org/abs/1612.07478
Autor:
Chigansky, Pavel, Kleptsyna, Marina
Publikováno v:
Stochastic Processes and Their Applications, Volume 128, Issue 6, June 2018, Pages 2007-2059
Many results in the theory of Gaussian processes rely on the eigenstructure of the covariance operator. However, eigenproblems are notoriously hard to solve explicitly and closed form solutions are known only in a limited number of cases. In this pap
Externí odkaz:
http://arxiv.org/abs/1601.05715
Autor:
Chigansky, Pavel, Kleptsyna, Marina
Publikováno v:
Teor. Veroyatnost. i Primenen., 63:3 (2018), 500-519
This paper addresses the problem of estimating drift parameter of the Ornstein - Uhlenbeck type process, driven by the sum of independent standard and fractional Brownian motions. The maximum likelihood estimator is shown to be consistent and asympto
Externí odkaz:
http://arxiv.org/abs/1507.04194
The G\"artner-Ellis condition for the square of an asymptotically stationary Gaussian process is established. The same limit holds for the conditional distri-bution given any fixed initial point, which entails weak multiplicative ergodicity. The limi
Externí odkaz:
http://arxiv.org/abs/1502.04218
Publikováno v:
Mathematical Methods of Statistics (ISSN: 1066-5307 (Print) 1934-8045 (Online)), 2016, 25(3), 207-218
A new result on stability of an optimal nonlinear filter with respect to small perturbations on every step is established.
Comment: The 2nd version is 19 pages long and has 8 references (the old one was 12 pages with 6 references); a gap in the
Comment: The 2nd version is 19 pages long and has 8 references (the old one was 12 pages with 6 references); a gap in the
Externí odkaz:
http://arxiv.org/abs/1501.00190
Publikováno v:
Statistics and Probability Letters 87 (2014) 70-75
The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.
Externí odkaz:
http://arxiv.org/abs/1312.5661
The paper deals with homogenization of divergence form second order parabolic operators whose coefficients are periodic in spatial variables and random stationary in time. Under proper mixing assumptions, we study the limit behaviour of the normalize
Externí odkaz:
http://arxiv.org/abs/1307.2547