Statistical inference for Vasicek-type model driven by Hermite processes

Let $Z$ denote a Hermite process of order $q\ge 1$ and self-similarity parameter $H\in (\frac{1}{2},1)$. This process is $H$-self-similar, has stationary increments and exhibits long-range dependence. When $q=1$, it corresponds to the fractional Brownian motion, whereas it is not Gaussian as soon as $q?2$. In this paper, we deal with a Vasicek-type model driven by $Z$, of the form $d{X}_t=a(b?X_t)dt+d{Z}_t$. Here, $a>0$ and $b\in \mathbb{R}$ are considered as unknown drift parameters. We provide estimators for $a$ and $b$ based on continuous-time observations. For all possible values of $H$ and $q$, we prove strong consistency and we analyze the asymptotic fluctuations.     

Markov processes conditioned on their location at large exponential times

Suppose that ${\left(X_t\right)}_{t\ge 0}$ is a one-dimensional Brownian motion with negative drift $?\mu$. It is possible to make sense of conditioning this process to be in the state 0 at an independent exponential random time and if we kill the conditioned process at the exponential time the resulting process is Markov. If we let the rate parameter of the random time go to 0, then the limit of the killed Markov process evolves like $X$ conditioned to hit 0, after which time it behaves as $X$ killed at the last time $X$ visits 0. Equivalently, the limit process has the dynamics of the killed “bang–bang” Brownian motion that evolves like Brownian motion with positive drift $+\mu$ when it is negative, like Brownian motion with negative drift $?\mu$ when it is positive, and is killed according to the local time spent at 0.An extension of this result holds in great generality for a Borel right process conditioned to be in some state $a$ at an exponential random time, at which time it is killed. Our proofs involve understanding the Campbell measures associated with local times, the use of excursion theory, and the development of a suitable analogue of the “bang–bang” construction for a general Markov process.As examples, we consider the special case when the transient Borel right process is a one-dimensional diffusion. Characterizing the limiting conditioned and killed process via its infinitesimal generator leads to an investigation of the $h$-transforms of transient one-dimensional diffusion processes that goes beyond what is known and is of independent interest.     

The Lp dual Minkowski problem for p > 1 and q > 0

General $L_p$ dual curvature measures have recently been introduced by Lutwak, Yang and Zhang [24]. These new measures unify several other geometric measures of the Brunn–Minkowski theory and the dual Brunn–Minkowski theory. $L_p$ dual curvature measures arise from qth dual intrinsic volumes by means of Alexandrov-type variational formulas. Lutwak, Yang and Zhang [24] formulated the $L_p$ dual Minkowski problem, which concerns the characterization of $L_p$ dual curvature measures. In this paper, we solve the existence part of the $L_p$ dual Minkowski problem for $p>1$ and $q>0$, and we also discuss the regularity of the solution.     

Thermalization of electron–positron plasma with quantum degeneracy

The non-equilibrium electron–positron–photon plasma thermalization process is studied using relativistic Boltzmann solver, taking into account quantum corrections both in non-relativistic and relativistic cases. Collision integrals are computed from exact QED matrix elements for all binary and triple interactions in the plasma. It is shown that in non-relativistic case (temperatures $k_{B}T\le 0.3m_e{c}^2$) binary interaction rates dominate over triple ones, resulting in establishment of the kinetic equilibrium prior to final relaxation towards the thermal equilibrium, in agreement with the previous studies. On the contrary, in relativistic case (final temperatures $k_{B}T\ge 0.3m_e{c}^2$) triple interaction rates are fast enough to prevent the establishment of kinetic equilibrium. It is shown that thermalization process strongly depends on quantum degeneracy in initial state, but does not depend on plasma composition.