All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 23 Next

Displaying 441 – 460 of 472

Showing per page

Long memory properties and covariance structure of the EGARCH model

Donatas Surgailis, Marie-Claude Viano (2002)

ESAIM: Probability and Statistics

The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory. The paper studies the covariance structure and dependence properties of the EGARCH and some related stochastic volatility models. We show that the large time behavior of the covariance of powers of the (observed) ARCH process is determined by the behavior of the covariance of the (linear) log-volatility process; in particular, a...

Long memory properties and covariance structure of the EGARCH model

Donatas Surgailis, Marie-Claude Viano (2010)

ESAIM: Probability and Statistics

The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory. The paper studies the covariance structure and dependence properties of the EGARCH and some related stochastic volatility models. We show that the large time behavior of the covariance of powers of the (observed) ARCH process is determined by the behavior of the covariance of the (linear) log-volatility process; in particular,...

Long time behavior of random walks on abelian groups

Alexander Bendikov, Barbara Bobikau (2010)

Colloquium Mathematicae

Let be a locally compact non-compact metric group. Assuming that is abelian we construct symmetric aperiodic random walks on with probabilities n ↦ ℙ ( S 2 n ∈ V ) of return to any neighborhood V of the neutral element decaying at infinity almost as fast as the exponential function n ↦ exp(-n). We also show that for some discrete groups , the decay of the function n ↦ ℙ ( S 2 n ∈ V ) can be made as slow as possible by choosing appropriate aperiodic random walks Sₙ on .

Long time behaviour and stationary regime of memory gradient diffusions

Sébastien Gadat, Fabien Panloup (2014)

Annales de l'I.H.P. Probabilités et statistiques

In this paper, we are interested in a diffusion process based on a gradient descent. The process is non Markov and has a memory term which is built as a weighted average of the drift term all along the past of the trajectory. For this type of diffusion, we study the long time behaviour of the process in terms of the memory. We exhibit some conditions for the long-time stability of the dynamical system and then provide, when stable, some convergence properties of the occupation measures and of the...

Long-range self-avoiding walk converges to α-stable processes

Markus Heydenreich (2011)

Annales de l'I.H.P. Probabilités et statistiques

We consider a long-range version of self-avoiding walk in dimension d > 2(α ∧ 2), where d denotes dimension and α the power-law decay exponent of the coupling function. Under appropriate scaling we prove convergence to brownian motion for α ≥ 2, and to α-stable Lévy motion for α < 2. This complements results by Slade [J. Phys. A21 (1988) L417–L420], who proves convergence to brownian motion for nearest-neighbor self-avoiding walk in high dimension.

Long-term planning versus short-term planning in the asymptotical location problem

Alessio Brancolini, Giuseppe Buttazzo, Filippo Santambrogio, Eugene Stepanov (2009)

ESAIM: Control, Optimisation and Calculus of Variations

Given the probability measure ν over the given region Ω ⊂ ℝ n , we consider the optimal location of a set Σ composed by n points in Ω in order to minimize the average distance Σ ↦ ∫ Ω dist ( x , Σ ) d ν (the classical optimal facility location problem). The paper compares two strategies to find optimal configurations: the long-term one which consists in placing all n points at once in an optimal position, and the short-term one which consists in placing the points one by one adding at each step at most one point and preserving...

Long-term planning versus short-term planning in the asymptotical location problem

Alessio Brancolini, Giuseppe Buttazzo, Filippo Santambrogio, Eugene Stepanov (2008)

ESAIM: Control, Optimisation and Calculus of Variations

Given the probability measure ν over the given region Ω ⊂ ℝ n , we consider the optimal location of a set Σ composed by n points in Ω in order to minimize the average distance Σ ↦ ∫ Ω dist ( x , Σ ) d ν (the classical optimal facility location problem). The paper compares two strategies to find optimal configurations: the long-term one which consists in placing all n points at once in an optimal position, and the short-term one which consists in placing the points one by one adding at each step at most one point and preserving...

Loop-free Markov chains as determinantal point processes

Alexei Borodin (2008)

Annales de l'I.H.P. Probabilités et statistiques

We show that any loop-free Markov chain on a discrete space can be viewed as a determinantal point process. As an application, we prove central limit theorems for the number of particles in a window for renewal processes and Markov renewal processes with Bernoulli noise.

Currently displaying 441 – 460 of 472