Zobrazeno 1 - 10
of 57 018
pro vyhledávání: '"Probability (math.PR)"'
Autor:
Mazzonetto, Sara, Pigato, Paolo
Publikováno v:
Statistica Sinica.
We refer by threshold Ornstein-Uhlenbeck to a continuous-time threshold autoregressive process. It follows the Ornstein-Uhlenbeck dynamics when above or below a fixed level, yet at this level (threshold) its coefficients can be discontinuous. We disc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b5be49532af1a42ddffd9adab879ffc8
https://doi.org/10.5705/ss.202021.0275
https://doi.org/10.5705/ss.202021.0275
Publikováno v:
Stochastic Processes and their Applications
Stochastic Processes and their Applications, 2023, 157, pp.335-375. ⟨10.1016/j.spa.2022.12.008⟩
Stochastic Processes and their Applications, 2023, 157, pp.335-375. ⟨10.1016/j.spa.2022.12.008⟩
This paper is devoted to the existence, uniqueness and comparison theorem on unbounded solutions of a scalar backward stochastic differential equation (BSDE) whose generator grows (with respect to both unknown variables $y$ and $z$) in a super-linear
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e69a29ec15b36f95259474e44e13d6f8
https://doi.org/10.1016/j.spa.2022.12.008
https://doi.org/10.1016/j.spa.2022.12.008
Publikováno v:
Journal of Differential Equations. 365:72-99
This paper studies limit measures of stationary measures of stochastic ordinary differential equations on the Euclidean space and tries to determine which invariant measures of an unperturbed system will survive. Under the assumption for SODEs to adm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d753691ba481593c5cf041feec49398f
https://doi.org/10.1016/j.jde.2023.04.005
https://doi.org/10.1016/j.jde.2023.04.005
Autor:
Konrad Kolesko, Ecaterina Sava-Huss
Publikováno v:
Stochastic Processes and their Applications. 162:49-75
For a discrete time multitype supercritical Galton-Watson process $(Z_n)_{n\in \mathbb{N}}$ and corresponding genealogical tree $\mathbb{T}$, we associate a new discrete time process $(Z_n^{\Phi})_{n\in\mathbb{N}}$ such that, for each $n\in \mathbb{N
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3829d4ee520734a13a38cd9710ba0cfb
https://doi.org/10.1016/j.spa.2023.04.009
https://doi.org/10.1016/j.spa.2023.04.009
Autor:
Sören Christensen, Simon Fischer
Publikováno v:
Stochastic Processes and their Applications. 162:338-360
For classical finite time horizon stopping problems driven by a Brownian motion \[V(t,x) = \sup_{t\leq\tau\leq0}E_{(t,x)}[g(\tau,W_{\tau})],\] we derive a new class of Fredholm type integral equations for the stopping set. For large problem classes o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a870c59ad444db9f78f55b9387f39086
https://doi.org/10.1016/j.spa.2023.05.004
https://doi.org/10.1016/j.spa.2023.05.004
Autor:
Fred Espen Benth, Sven Karbach
Publikováno v:
Stochastic Processes and their Applications. 162:299-337
In this article we study multivariate continuous-time autoregressive moving-average (MCARMA) processes with values in convex cones. More specifically, we introduce matrix-valued MCARMA processes with L\'evy noise and present necessary and sufficient
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ca3714bd7f6e3356c2088e3c67e1b57f
https://doi.org/10.1016/j.spa.2023.05.003
https://doi.org/10.1016/j.spa.2023.05.003
Autor:
Baudoin, Fabrice, Chen, Li
Publikováno v:
Stochastic Processes and their Applications. 162:593-616
We define and study the Dirichlet fractional Gaussian fields on the Sierpinski gasket and show that they are limits of fractional discrete Gaussian fields defined on the sequence of canonical approximating graphs.
v2: Accepted version, to appear
v2: Accepted version, to appear
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4875633b74f0f69a1a439b769b4457a1
https://doi.org/10.1016/j.spa.2023.05.005
https://doi.org/10.1016/j.spa.2023.05.005
Autor:
Hern��ndez, Camilo
Publikováno v:
Stochastic Processes and their Applications. 162:249-298
This paper investigates multidimensional extended type-I BSVIEs and infinite families of BSDEs in the case of quadratic generators. We establish existence and uniqueness results in the case of fully quadratic as well as Lipschitz-quadratic quadratic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d726539ed678a0718e486b9eeea0deee
https://doi.org/10.1016/j.spa.2023.05.001
https://doi.org/10.1016/j.spa.2023.05.001
Autor:
Dom Brockington, Jon Warren
Publikováno v:
Stochastic Processes and their Applications. 162:1-48
We consider a diffusion in $\mathbb{R}^n$ whose coordinates each behave as one-dimensional Brownian motions, that behave independently when apart, but have a sticky interaction when they meet. The diffusion in $\mathbb{R}^n$ can be viewed as the $n$-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::19e75917113ef39dcdebc251a19fcb73
https://doi.org/10.1016/j.spa.2023.04.015
https://doi.org/10.1016/j.spa.2023.04.015
Autor:
Fleermann, Michael, Heiny, Johannes
Publikováno v:
Stochastic Processes and their Applications. 162:456-480
We derive the Marchenko-Pastur (MP) law for sample covariance matrices of the form $V_n=\frac{1}{n}XX^T$, where $X$ is a $p\times n$ data matrix and $p/n\to y\in(0,\infty)$ as $n,p \to \infty$. We assume the data in $X$ stems from a correlated joint
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c740f4c0ef1240cbb86c140a096fe5bf
https://doi.org/10.1016/j.spa.2023.04.020
https://doi.org/10.1016/j.spa.2023.04.020