Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1)

We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recurrence equations and of strictly stationary GARCH(1, 1) processes from the point of view of ordinary and generalized tail dependence coefficients. Since such processes can easily be of infinite variance, a substitute for the usual auto-correlation function is needed

Precise large deviations for dependent regularly varying sequences

We study a precise large deviation principle for a stationary regularly varying sequence of random variables. This principle extends the classical results of A.V. Nagaev (1969) and S.V. Nagaev (1979) for iid regularly varying sequences. The proof uses an idea of Jakubowski (1993,1997) in the context of centra limit theorems with infinite variance stable limits. We illustrate the principle for \sv\ models, functions of a Markov chain satisfying a polynomial drift condition and solutions of linear and non-linear stochastic recurrence equations

Nonlocal Reductions of a Generalized Heisenberg Ferromagnet Equation

We study nonlocal reductions of coupled equations in $1+1$ dimensions of the Heisenberg ferromagnet type. The equations under consideration are completely integrable and have a Lax pair related to a linear bundle in pole gauge. We describe the integrable hierarchy of nonlinear equations related to our system in terms of generating operators. We present some special solutions associated with four distinct discrete eigenvalues of scattering operator. Using the Lax pair diagonalization method, we derive recurrence formulas for the conserved densities and find the first two simplest conserved densities.Comment: 14 pages. arXiv admin note: substantial text overlap with arXiv:1711.0635

NumGfun: a Package for Numerical and Analytic Computation with D-finite Functions

This article describes the implementation in the software package NumGfun of classical algorithms that operate on solutions of linear differential equations or recurrence relations with polynomial coefficients, including what seems to be the first general implementation of the fast high-precision numerical evaluation algorithms of Chudnovsky & Chudnovsky. In some cases, our descriptions contain improvements over existing algorithms. We also provide references to relevant ideas not currently used in NumGfun