Displaying similar documents to “LAMN property for hidden processes : the case of integrated diffusions”

Large scale behavior of semiflexible heteropolymers

Francesco Caravenna, Giambattista Giacomin, Massimiliano Gubinelli (2010)

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

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We consider a general discrete model for heterogeneous semiflexible polymer chains. Both the thermal noise and the inhomogeneous character of the chain (the ) are modeled in terms of random rotations. We focus on the regime, i.e., the analysis is performed for a given realization of the disorder. Semiflexible models differ substantially from random walks on short scales, but on large scales a brownian behavior emerges. By exploiting techniques from tensor analysis and non-commutative...

Second-order asymptotic expansion for a non-synchronous covariation estimator

Arnak Dalalyan, Nakahiro Yoshida (2011)

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

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In this paper, we consider the problem of estimating the covariation of two diffusion processes when observations are subject to non-synchronicity. Building on recent papers [ (2005) 359–379, (2008) 367–406], we derive second-order asymptotic expansions for the distribution of the Hayashi–Yoshida estimator in a fairly general setup including random sampling schemes and non-anticipative random drifts. The key steps leading to our results are a second-order...

Limit laws of transient excited random walks on integers

Elena Kosygina, Thomas Mountford (2011)

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

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We consider excited random walks (ERWs) on ℤ with a bounded number of i.i.d. cookies per site without the non-negativity assumption on the drifts induced by the cookies. Kosygina and Zerner [15] have shown that when the total expected drift per site, , is larger than 1 then ERW is transient to the right and, moreover, for >4 under the averaged measure it obeys the Central Limit Theorem. We show that when ∈(2, 4] the limiting behavior of an appropriately centered and scaled excited...

On the density of some Wiener functionals: an application of Malliavin calculus.

Antoni Sintes Blanc (1992)

Publicacions Matemàtiques

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Using a representation as an infinite linear combination of chi-square independent random variables, it is shown that some Wiener functionals, appearing in empirical characteristic process asymptotic theory, have densities which are tempered in the properly infinite case and exponentially decaying in the finite case.