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FunctionaL Regular Variation of Levy-driven Multivariate Mixed Moving Average Processes
cadlag sample paths functional regular variation heavy tails Levy basis mixed moving average process
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2012/4/18
We consider the functional regular variation in the space $\mathbb{D}$ of c\`adl\`ag functions of multivariate mixed moving average (MMA) processes of the type $X_t = \int\int f(A, t - s) \Lambda (d A...
Functional ergodic theorems of site-dependent branching Brownian motions in R
Functional ergodic theorem branching Brownian motion site-dependence Levy Khintchine representation
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2011/9/21
Abstract: In this paper, we studied the functional ergodic limits of the site-dependent branching Brownian motions in R. The results show that the limiting processes are non-degenerate if and only if ...
On Extreme Value Processes and the Functional D-Norm
Extreme value process functional D-norm functional domain of at-traction copula process generalized Pareto process Takahashi’s Theorem
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2011/9/21
Abstract: We introduce a functional domain of attraction approach for stochastic processes, which is more general than the usual one based on weak convergence. The distribution function G of a continu...
Harnack Inequalities for Functional SDEs with Multiplicative Noise and Applications
Harnack inequality functional solution delay SDE strong Feller property
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2011/2/28
By constructing a new coupling, the log-Harnack inequality is established for the functional solution of a delay stochastic differential equation with multiplicative noise. As applications, the strong...