Results 151 to 160 of about 367,563 (184)

Ergodicity of Stochastic Dissipative Equations Driven by α-Stable Process

Stochastic Analysis and Applications, 2013
It is shown that the transition semigroup (P t ) t≥0 corresponding to stochastic dissipative equations driven by α-stable is strong Feller and irreducible for α ∈ (1, 2). This result ensures the ergodicity for the equation.
Xiaobin Sun, Yingchao Xie
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Convergence results for tractable inference in α-stable stochastic processes

2017 22nd International Conference on Digital Signal Processing (DSP), 2017
The α-stable distribution is highly intractable for inference because of the lack of a closed form density function in the general case. However, it is well-established that the α-stable distribution admits a Poisson series representation (PSR) in which the terms of the series are a function of the arrival times of a unit rate Poisson process.
Marina Riabiz, Tohid Ardeshiri, Simon Godsill   +2 more
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Characterization of stable processes by identically distributed stochastic integrals

Advances in Applied Probability, 1980
Let X(t) be a homogeneous and continuous stochastic process with independent increments. The subject of this paper is to characterize the stable process by two identically distributed stochastic integrals formed by means of X(t) (in the sense of convergence in probability).
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COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”

Econometric Theory, 2011
In this comment we identify a lacuna in a proof in the paper by M. Caner published in 1997 in Econometric Theory concerning the weak limit behavior of various expressions involving heavy-tailed multivariate vectors and the convergence of stochastic integrals.
Paulauskas, V., Rachev, S. T., Fabozzi, F. J.   +2 more
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Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes

Physical Review E, 1994
We propose a fast and accurate algorithm generating L\'evy stable stochastic processes of arbitrary index \ensuremath{\alpha} ranging between 0.3 and 1.99. The scale parameter is also controllable. The algorithm is very fast when \ensuremath{\alpha} lies between 0.75 and 1.95.
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Weak Convergence to a Matrix Stochastic Integral with Stable Processes

Econometric Theory, 1997
This paper generalizes the univariate results of Chan and Tran (1989, Econometric Theory 5, 354–362) and Phillips (1990, Econometric Theory 6, 44–62) to multivariate time series. We develop the limit theory for the least-squares estimate of a VAR(l) for a random walk with independent and identically distributed errors and for I(1) processes with weakly
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Stable Manifolds for Stochastic Flows Induced by Lévy Processes on Lie Groups

Proceedings of the London Mathematical Society, 2001
Let \(G\) be a Lie group of non-compact type, \(K\) be a maximal compact subgroup, and \(A\) be a maximal abelian \(\text{Ad}(K)\)-invariant subgroup. Let \((\phi_t)\) be a right Lévy process on \(G\) having finite Lévy measure and satisfying some irreducibility and integrability condition. The Cartan decomposition is denoted by \(\phi_t g= k^g_t a^g_t
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Quantum Stochastic Processes and Quantum non-Markovian Phenomena

PRX Quantum, 2021
Simon Milz, Kavan Modi
exaly  

Stable random processes and stochastic integrals

2017
Gennady Samorodnitsky, Murad S. Taqqu
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Complex stable stochastic integrals and harmonizable processes

2017
Gennady Samorodnitsky, Murad S. Taqqu
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