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We consider the problem of comparing several samples of stochastic processes with respect to their second-order structure, and describing the main modes of variation in this second order structure, if present. These tasks can be seen as an Analysis of Vari ...
We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on n independent replicates {Xi(t) : t is an element of [0 , 1]}13 d B(t), where alpha is an element of {0 , 1} a ...
Correct prediction of particle transport by surface waves is crucial in many practical applications such as search and rescue or salvage operations and pollution tracking and clean-up efforts. Recent results by Deike et al. (J. Fluid Mech., vol. 829, 2017, ...
In a groundbreaking work, Duplantier, Miller and Sheffield showed that subcritical Liouville quantum gravity (LQG) coupled with Schramm-Loewner evolutions (SLE) can be obtained by gluing together a pair of Brownian motions. In this paper, we study the coun ...
Given a sequence L & x2d9;epsilon of Levy noises, we derive necessary and sufficient conditions in terms of their variances sigma 2(epsilon) such that the solution to the stochastic heat equation with noise sigma(epsilon)-1L & x2d9;epsilon converges in law ...
Removing geometrical details from a complex domain is a classical operation in computer aided design for simulation and manufacturing. This procedure simplifies the meshing process, and it enables faster simulations with less memory requirements. However, ...
We introduce the elliptical Ornstein-Uhlenbeck (OU) process, which is a generalisation of the well-known univariate OU process to bivariate time series. This process maps out elliptical stochastic oscillations over time in the complex plane, which are obse ...
The Obukhov-Corrsin theory of scalar turbulence [21, 54] advances quantitative predictions on passive-scalar advection in a turbulent regime and can be regarded as the analogue for passive scalars of Kolmogorov's K41 theory of fully developed turbulence [4 ...
A theoretical framework describing the hydrodynamic interactions between a passive particle and an active medium in out-of-equilibrium systems predicts long-range Levy flights for the diffusing particle driven by the density of the active component. Browni ...
Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...
