共查询到20条相似文献,搜索用时 15 毫秒
1.
A tempered stable Lévy process combines both the α-stable and Gaussian trends. In a short time frame it is close to an α-stable process while in a long time frame it approximates a Brownian motion. In this paper we consider a general and robust class of multivariate tempered stable distributions and establish their identifiable parametrization. We prove short and long time behavior of tempered stable Lévy processes and investigate their absolute continuity with respect to the underlying α-stable processes. We find probabilistic representations of tempered stable processes which specifically show how such processes are obtained by cutting (tempering) jumps of stable processes. These representations exhibit α-stable and Gaussian tendencies in tempered stable processes and thus give probabilistic intuition for their study. Such representations can also be used for simulation. We also develop the corresponding representations for Ornstein–Uhlenbeck-type processes. 相似文献
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We give a functional limit theorem for the fluctuations of the rescaled occupation time process of a critical branching particle system in Rd with symmetric α-stable motion and α<d<2α, which leads to a long-range dependence process involving sub-fractional Brownian motion. We also give an analogous result for the system without branching and d<α, which involves fractional Brownian motion. We use a space–time random field approach. 相似文献
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It is shown that if a sequence of open n-sets Dk increases to an open n-set D then reflected stable processes in Dk converge weakly to the reflected stable process in D for every starting point x in D. The same result holds for censored α-stable processes for every x in D if D and Dk satisfy the uniform Hardy inequality. Using the method in the proof of the above results, we also prove the weak convergence of reflected Brownian motions in unbounded domains. 相似文献
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In this paper we study ergodicity and related semigroup property for a class of symmetric Markov jump processes associated with time-changed symmetric α-stable processes. For this purpose, explicit and sharp criteria for Poincaré type inequalities (including Poincaré, super Poincaré and weak Poincaré inequalities) of the corresponding non-local Dirichlet forms are derived. Moreover, our main results, when applied to a class of one-dimensional stochastic differential equations driven by symmetric α-stable processes, yield sharp criteria for their various ergodic properties and corresponding functional inequalities. 相似文献
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We give functional limit theorems for the fluctuations of the rescaled occupation time process of a critical branching particle system in Rd with symmetric α-stable motion in the cases of critical and large dimensions, d=2α and d>2α. In a previous paper [T. Bojdecki, L.G. Gorostiza, A. Talarczyk, Limit theorems for occupation time fluctuations of branching systems I: long-range dependence, Stochastic Process. Appl., this issue.] we treated the case of intermediate dimensions, α<d<2α, which leads to a long-range dependence limit process. In contrast, in the present cases the limits are generalized Wiener processes. We use the same space–time random field method of the previous paper, the main difference being that now the tightness requires a new approach and the proofs are more difficult. We also give analogous results for the system without branching in the cases d=α and d>α. 相似文献
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This paper considers the short- and long-memory linear processes with GARCH (1,1) noises. The functional limit distributions of the partial sum and the sample autocovariances are derived when the tail index α is in (0,2), equal to 2, and in (2,∞), respectively. The partial sum weakly converges to a functional of α-stable process when α<2 and converges to a functional of Brownian motion when α≥2. When the process is of short-memory and α<4, the autocovariances converge to functionals of α/2-stable processes; and if α≥4, they converge to functionals of Brownian motions. In contrast, when the process is of long-memory, depending on α and β (the parameter that characterizes the long-memory), the autocovariances converge to either (i) functionals of α/2-stable processes; (ii) Rosenblatt processes (indexed by β, 1/2<β<3/4); or (iii) functionals of Brownian motions. The rates of convergence in these limits depend on both the tail index α and whether or not the linear process is short- or long-memory. Our weak convergence is established on the space of càdlàg functions on [0,1] with either (i) the J1 or the M1 topology (Skorokhod, 1956); or (ii) the weaker form S topology (Jakubowski, 1997). Some statistical applications are also discussed. 相似文献
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In this article, we discuss the solution of the space-fractional diffusion equation with and without central linear drift in the Fourier domain and show the strong connection between it and the α-stable Lévy distribution, 0<α<2. We use some relevant transformations of the independent variables x and t, to find the solution of the space-fractional diffusion equation with central linear drift which is a special form of the space-fractional Fokker–Planck equation which is useful in studying the dynamic behaviour of stochastic differential equations driven by the non-Gaussian (Lévy) noises. We simulate the continuous time random walk of these models by using the Monte Carlo method. 相似文献
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In this paper we study the distributional tail behavior of the solution to a linear stochastic differential equation driven by infinite variance α-stable Lévy motion. We show that the solution is regularly varying with index α. An important step in the proof is the study of a Poisson number of products of independent random variables with regularly varying tail. The study of these products merits its own interest because it involves interesting saddle-point approximation techniques. 相似文献
9.
Mathias Beiglböck Walter SchachermayerBezirgen Veliyev 《Stochastic Processes and their Applications》2012
Every submartingale S of class D has a unique Doob–Meyer decomposition S=M+A, where M is a martingale and A is a predictable increasing process starting at 0. 相似文献
10.
The two-parameter Poisson–Dirichlet distribution is the law of a sequence of decreasing nonnegative random variables with total sum one. It can be constructed from stable and gamma subordinators with the two parameters, α and θ, corresponding to the stable component and the gamma component respectively. The moderate deviation principle is established for the distribution when θ approaches infinity, and the large deviation principle is established when both α and θ approach zero. 相似文献
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For α∈R, let pR(t,x,x) denote the diagonal of the transition density of the α-Bessel process in (0,1], killed at 0 and reflected at 1. As a function of x, if either α≥3 or α=1, then for t>0, the diagonal is nondecreasing. This monotonicity property fails if 1≠α<3. 相似文献
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In this paper, we establish an oscillation estimate of nonnegative harmonic functions for a pure-jump subordinate Brownian motion. The infinitesimal generator of such subordinate Brownian motion is an integro-differential operator. As an application, we give a probabilistic proof of the following form of relative Fatou theorem for such subordinate Brownian motion X in a bounded κ-fat open set; if u is a positive harmonic function with respect to X in a bounded κ-fat open set D and h is a positive harmonic function in D vanishing on Dc, then the non-tangential limit of u/h exists almost everywhere with respect to the Martin-representing measure of h. 相似文献
16.
We introduce the notion of the (one-parameter subgroup) γ-condition for a map f from a Lie group to its Lie algebra and establish α-theory and γ-theory for Newton’s method for a map f satisfying this condition. Applications to analytic maps are provided, and Smale’s α-theory and γ-theory are extended and developed. Examples arising from initial value problems on Lie group are presented to illustrate applications of our results. 相似文献
17.
Tertuliano Franco Patrícia Gonçalves Adriana Neumann 《Stochastic Processes and their Applications》2013
We analyze the equilibrium fluctuations of density, current and tagged particle in symmetric exclusion with a slow bond. The system evolves in the one-dimensional lattice and the jump rate is everywhere equal to one except at the slow bond where it is αn−β, with α>0, β∈[0,+∞] and n is the scaling parameter. Depending on the regime of β, we find three different behaviors for the limiting fluctuations whose covariances are explicitly computed. In particular, for the critical value β=1, starting a tagged particle near the slow bond, we obtain a family of Gaussian processes indexed in α, interpolating a fractional Brownian motion of Hurst exponent 1/4 and the degenerate process equal to zero. 相似文献
18.
Let ηt be a Poisson point process of intensity t≥1 on some state space Y and let f be a non-negative symmetric function on Yk for some k≥1. Applying f to all k-tuples of distinct points of ηt generates a point process ξt on the positive real half-axis. The scaling limit of ξt as t tends to infinity is shown to be a Poisson point process with explicitly known intensity measure. From this, a limit theorem for the m-th smallest point of ξt is concluded. This is strengthened by providing a rate of convergence. The technical background includes Wiener–Itô chaos decompositions and the Malliavin calculus of variations on the Poisson space as well as the Chen–Stein method for Poisson approximation. The general result is accompanied by a number of examples from geometric probability and stochastic geometry, such as k-flats, random polytopes, random geometric graphs and random simplices. They are obtained by combining the general limit theorem with tools from convex and integral geometry. 相似文献
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We develop a notion of nonlinear expectation–G-expectation–generated by a nonlinear heat equation with infinitesimal generator G. We first study multi-dimensional G-normal distributions. With this nonlinear distribution we can introduce our G-expectation under which the canonical process is a multi-dimensional G-Brownian motion. We then establish the related stochastic calculus, especially stochastic integrals of Itô’s type with respect to our G-Brownian motion, and derive the related Itô’s formula. We have also obtained the existence and uniqueness of stochastic differential equations under our G-expectation. 相似文献