Modern Stochastics: Theory and Applications

In this article, we first obtain, for the Kolmogorov distance, an error bound between a tempered stable and a compound Poisson distribution (CPD) and also an error bound between a tempered stable and an α-stable distribution via Stein’s method. For the smooth Wasserstein distance, an error bound between two tempered stable distributions (TSDs) is also derived. As examples, we discuss the approximation of a TSD to normal and variance-gamma distributions (VGDs). As corollaries, the corresponding limit theorem follows.

The paper presents bounds for the distributions of suprema for a particular class of sub-Gaussian type random fields defined over spaces with anisotropic metrics. The results are applied to random fields related to stochastic heat equations with fractional noise: bounds for the tail distributions of suprema and estimates for the rate of growth are provided for such fields.

In the framework of generalized Oppenheim expansions, almost sure convergence results for lightly trimmed sums are proven. First, a particular class of expansions is identified for which a convergence result is proven assuming that only the largest summand is deleted from the sum; this result generalizes a strong law recently proven for the Lüroth digits and also covers some new cases that have never been studied before. Next, any assumptions concerning the structure of the Oppenheim expansions are dropped and a result concerning trimmed sums is proven when at least two summands are trimmed; combining this latter theorem with the asymptotic behavior of the r-th maximum term of the expansion, a convergence result is obtained for the case in which only the largest summand is deleted from the sum.

A system of two nonlinear delay differential equations under stochastic perturbations is considered. Nonlinearity of the exponential type in each equation of the system under consideration depends on the both variables of the system. The stability in probability of the zero and nonzero equilibria of the system is studied via the general method of Lyapunov functionals construction and the method of linear matrix inequalities (LMIs). The obtained results are illustrated via examples and figures with numerical simulations of solutions of a considered system of stochastic differential equations. The proposed way of investigation can be applied to nonlinear systems of higher dimension and with other types of nonlinearity, both for delay differential equations and for difference equations.

In this paper, functional convergence is derived for the partial maxima stochastic processes of multivariate linear processes with weakly dependent heavy-tailed innovations and random coefficients. The convergence takes place in the space of ${\mathbb{R}^{d}}$-valued càdlàg functions on $[0,1]$ endowed with the weak Skorokhod ${M_{1}}$ topology.