Recently there has been considerable interest in Markovian stochastic fluid flow models. A number of authors have used different methods to calculate quantities of interest. In this paper, we consider a fluid flow model, formulated so that time is preserved, and derive expressions for return...

The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process ([xi]t,[eta]t)t[greater-or-equal, slanted]0 is defined aswhere V0 is an independent starting random variable. The stationarity of the process is closely related to the convergence or divergence of the Lévy...

A change in the arrival rate of a Poisson process sometimes necessitates immediate action. If the change time is unobservable, then the design of online change detection procedures becomes important and is known as the Poisson disorder problem. Formulated and partially solved by Davis [Banach...

In this paper we prove the existence of a unique strong solution up to the explosion time for an SDE with a uniformly non-degenerate Sobolev diffusion coefficient (non-Lipschtiz) and locally integrable drift coefficient. Moreover, two non-explosion conditions are given.

We consider the estimation of a regression functional where the explanatory variables take values in some abstract function space. The principal aim of the paper is to establish the asymptotic normality of such estimates for dependent functional data.

Let Xk k[greater-or-equal, slanted]1 be a stationary sequence of the formwhere Ak,Bk are i.i.d. -valued random pairs with some given joint distribution. For a strictly increasing subsequence g(k) , let Yk=Xg(k) be the deterministic sub-sampled sequence. The aim of this paper is to look at the...

In this paper, we consider a complete continuous-time financial market with discontinuous prices and different types of side-information (initial or progressive strong information, weak information). The agents strive to maximize the expectation of the logarithm of their terminal wealth. Our...

Uniform large deviations at the level of the paths for the stochastic nonlinear Schrodinger equation are presented. The noise is a real multiplicative Gaussian noise, white in time and colored in space. The trajectory space allows blow-up. It is endowed with a topology analogous to a projective...

The symmetric exclusion process and the voter model are two interacting particle systems for which a dual finite particle system allows one to characterize its invariant measures. Adding spontaneous births and deaths to the two processes still allows one to use the dual process to obtain...

State-space models are a very general class of time series capable of modeling-dependent observations in a natural and interpretable way. We consider here the case where the latent process is modeled by a Markov chain taking its values in a continuous space and the observation at each point...