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Existence of density function for the running maximum of SDEs driven by nontruncated pure-jump Lévy processes

Takuya Nakagawa

Ryoichi Suzuki

https://doi.org/10.15559/24-VMSTA245

Pub. online: 23 Jan 2024 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 3 (2024), pp. 303–321

Abstract

The existence of density function of the running maximum of a stochastic differential equation (SDE) driven by a Brownian motion and a nontruncated pure-jump process is verified. This is proved by the existence of density function of the running maximum of the Wiener–Poisson functionals resulting from Bismut’s approach to the Malliavin calculus for jump processes.

Asymptotic normality of the LSE for chirp signal parameters

Alexander Ivanov

Viktor Hladun

https://doi.org/10.15559/24-VMSTA247

Pub. online: 23 Jan 2024 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 2 (2024), pp. 195–216

Abstract

A time continuous statistical model of chirp signal observed against the background of stationary Gaussian noise is considered in the paper. Asymptotic normality of the LSE for parameters of such a sinusoidal regression model is obtained.

Power law in Sandwiched Volterra Volatility model

Giulia Di Nunno Anton Yurchenko-Tytarenko

https://doi.org/10.15559/24-VMSTA246

Pub. online: 23 Jan 2024 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 2 (2024), pp. 169–194

Abstract

The paper presents an analytical proof demonstrating that the Sandwiched Volterra Volatility (SVV) model is able to reproduce the power-law behavior of the at-the-money implied volatility skew, provided the correct choice of the Volterra kernel. To obtain this result, the second-order Malliavin differentiability of the volatility process is assessed and the conditions that lead to explosive behavior in the Malliavin derivative are investigated. As a supplementary result, a general Malliavin product rule is proved.

Almost everywhere continuity of conditional expectations

Alberto Alonso

Fernando Brambila-Paz

https://doi.org/10.15559/23-VMSTA240

Pub. online: 11 Jan 2024 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 3 (2024), pp. 247–263

Abstract

A necessary and sufficient condition on a sequence ${\{{\mathcal{A}_{n}}\}_{n\in \mathbb{N}}}$ of σ-subalgebras which assures convergence almost everywhere of conditional expectations for functions in ${L^{\infty }}$ is given. It is proven that for $f\in {L^{\infty }}(\mathcal{A})$

\[ \mathsf{E}(f|{\mathcal{A}_{n}})\stackrel{a.e.}{\longrightarrow }\mathsf{E}(f|{\mathcal{A}_{\mu a.e.}}).\]

Stochastic Lotka–Volterra mutualism model with jumps

Olga Borysenko

Oleksandr Borysenko

https://doi.org/10.15559/23-VMSTA242

Pub. online: 9 Jan 2024 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 3 (2024), pp. 289–301

Abstract

The existence and uniqueness of the global positive solution are proved for the system of stochastic differential equations describing a two-species Lotka–Volterra mutualism model disturbed by white noise, centered and noncentered Poisson noises. For the considered system, sufficient conditions of stochastic ultimate boundedness, stochastic permanence, nonpersistence and strong persistence in the mean are obtained.

On min- and max-Kies families: distributional properties and saturation in Hausdorff sense

Tsvetelin Zaevski

Nikolay Kyurkchiev

https://doi.org/10.15559/24-VMSTA244

Pub. online: 9 Jan 2024 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 3 (2024), pp. 265–288

Abstract

The purpose of this paper is to explore two probability distributions originating from the Kies distribution defined on an arbitrary domain. The first one describes the minimum of several Kies random variables whereas the second one is for their maximum – they are named min- and max-Kies, respectively. The properties of the min-Kies distribution are studied in details, and later some duality arguments are used to examine the max variant. Also the saturations in the Hausdorff sense are investigated. Some numerical experiments are provided.

Arithmetic properties of multiplicative integer-valued perturbed random walks

Victor Bohdanskyi Vladyslav Bohun Alexander Marynych

Igor Samoilenko

https://doi.org/10.15559/23-VMSTA241

Pub. online: 4 Jan 2024 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 2 (2024), pp. 133–148

Abstract

Let $({\xi _{1}},{\eta _{1}})$, $({\xi _{2}},{\eta _{2}}),\dots $ be independent identically distributed ${\mathbb{N}^{2}}$-valued random vectors with arbitrarily dependent components. The sequence ${({\Theta _{k}})_{k\in \mathbb{N}}}$ defined by ${\Theta _{k}}={\Pi _{k-1}}\cdot {\eta _{k}}$, where ${\Pi _{0}}=1$ and ${\Pi _{k}}={\xi _{1}}\cdot \dots \cdot {\xi _{k}}$ for $k\in \mathbb{N}$, is called a multiplicative perturbed random walk. Arithmetic properties of the random sets $\{{\Pi _{1}},{\Pi _{2}},\dots ,{\Pi _{k}}\}\subset \mathbb{N}$ and $\{{\Theta _{1}},{\Theta _{2}},\dots ,{\Theta _{k}}\}\subset \mathbb{N}$, $k\in \mathbb{N}$, are studied. In particular, distributional limit theorems for their prime counts and for the least common multiple are derived.

Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients

Badr Elmansouri

Mohamed El Otmani

https://doi.org/10.15559/23-VMSTA239

Pub. online: 5 Dec 2023 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 1 (2024), pp. 109–128

Abstract

A solution is given to generalized backward stochastic differential equations driven by a real-valued RCLL martingale on an arbitrary filtered probability space. The existence and uniqueness of a solution are proved via the Yosida approximation method when the generators are only stochastic monotone with respect to the y-variable and stochastic Lipschitz with respect to the z-variable, with different linear growth conditions.

Gamma mixed fractional Lévy Ornstein–Uhlenbeck process

Héctor Araya

Johanna Garzón Rolando Rubilar-Torrealba

https://doi.org/10.15559/23-VMSTA237

Pub. online: 5 Dec 2023 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 1 (2024), pp. 63–83

Abstract

In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Lévy Ornstein–Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process. Finally, some simulations of the limit process are shown.

Noncentral moderate deviations for fractional Skellam processes

Jeonghwa Lee

Claudio Macci

https://doi.org/10.15559/23-VMSTA235

Pub. online: 5 Dec 2023 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications Volume 11, Issue 1 (2024), pp. 43–61

Abstract

The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergence to a centered Normal distribution. The notion of noncentral moderate deviations is used when the weak convergence is towards a non-Gaussian distribution. In this paper, noncentral moderate deviation results are presented for two fractional Skellam processes known in the literature (see [20]). It is established that, for the fractional Skellam process of type 2 (for which one can refer to the recent results for compound fractional Poisson processes in [3]), the convergences to zero are usually faster because one can prove suitable inequalities between rate functions.

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Online ISSN: 2351-6054
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