We consider a system of interacting Ornstein-Uhlenbeck particles moving in a d-dimensional torus. The interaction between particles is given by a short-range superstable pair potential V. We prove that, in a diffusive scaling limit, the density of particles satisfies a non-linear partial...

Precise asymptotics have been proved for sums like [summation operator]n=1[infinity]nr/p-2P(Sn[greater-or-equal, slanted][var epsilon]n1/p) as [var epsilon][downward right arrow]0, where {Sn, n[greater-or-equal, slanted]1} are partial sums i.i.d. random variables, and, more recently, for renewal...

We show that the finite-dimensional distributions of a GARCH process are regularly varying, i.e., the tails of these distributions are Pareto-like and hence heavy-tailed. Regular variation of the joint distributions provides insight into the moment properties of the process as well as the...

Population systems are often subject to environmental noise, and our aim is to show that (surprisingly) the presence of even a tiny amount can suppress a potential population explosion. To prove this intrinsically interesting result, we stochastically perturb the multivariate deterministic...

Sufficient conditions are given for the existence of a weak survival phase in a homogeneous but not necessarily isotropic contact process on a homogeneous tree. These require that the contact process be homogeneous, that is, for any two vertices x,y of the tree there is an automorphism mapping x...

We study Poisson limits for U-statistics with non-negative kernels. The limit theory is derived from the Poisson convergence of suitable point processes of U-statistics structure. We apply these results to derive infinite variance stable limits for U-statistics with a regularly varying kernel...

Let (Sn)n[greater-or-equal, slanted]0 be a -random walk and be a sequence of independent and identically distributed -valued random variables, independent of the random walk. Let h be a measurable, symmetric function defined on with values in . We study the weak convergence of the sequence ,...

This article continues work by Alsmeyer and Hoefs (Markov Process Relat. Fields 7 (2001) 325-348) on random walks (Sn)n[greater-or-equal, slanted]0 whose increments Xn are (m+1)-block factors of the form [phi](Yn-m,...,Yn) for i.i.d. random variables Y-m,Y-m+1,... taking values in an arbitrary...

This paper considers statistical inference for nonstationary Gaussian processes with long-range dependence and intermittency. The existence of such a process has been established by Anh et al. (J. Statist. Plann. Inference 80 (1999) 95-110). We systematically consider the case where the spectral...

We study the simulation of stochastic processes defined as stochastic integrals with respect to type G Lévy processes for the case where it is not possible to simulate the type G process exactly. The type G Lévy process as well as the stochastic integral can on compact intervals be represented...