38 research outputs found
On Compound Poisson Processes Arising in Change-Point Type Statistical Models as Limiting Likelihood Ratios
Different change-point type models encountered in statistical inference for
stochastic processes give rise to different limiting likelihood ratio
processes. In a previous paper of one of the authors it was established that
one of these likelihood ratios, which is an exponential functional of a
two-sided Poisson process driven by some parameter, can be approximated (for
sufficiently small values of the parameter) by another one, which is an
exponential functional of a two-sided Brownian motion. In this paper we
consider yet another likelihood ratio, which is the exponent of a two-sided
compound Poisson process driven by some parameter. We establish, that similarly
to the Poisson type one, the compound Poisson type likelihood ratio can be
approximated by the Brownian type one for sufficiently small values of the
parameter. We equally discuss the asymptotics for large values of the parameter
and illustrate the results by numerical simulations
Stochastic Differential Systems with Memory: Theory, Examples and Applications
The purpose of this article is to introduce the reader to certain aspects of stochastic differential systems, whose evolution depends on the past history of the state.
Chapter I begins with simple motivating examples. These include the noisy feedback loop, the logistic time-lag model with Gaussian noise , and the classical ``heat-bath model of R. Kubo , modeling the motion of a ``large molecule in a viscous fluid. These examples are embedded in a general class of stochastic functional differential equations (sfde\u27s). We then establish pathwise existence and uniqueness of solutions to these classes of sfde\u27s under local Lipschitz and linear growth hypotheses on the coefficients. It is interesting to note that the above class of sfde\u27s is not covered by classical results of Protter, Metivier and Pellaumail and Doleans-Dade.
In Chapter II, we prove that the Markov (Feller) property holds for the trajectory random field of a sfde. The trajectory Markov semigroup is not strongly continuous for positive delays, and its domain of strong continuity does not contain tame (or cylinder) functions with evaluations away from zero. To overcome this difficulty, we introduce a class of quasitame functions. These belong to the domain of the weak infinitesimal generator, are weakly dense in the underlying space of continuous functions and generate the Borel -algebra of the state space. This chapter also contains a derivation of a formula for the weak infinitesimal generator of the semigroup for sufficiently regular functions, and for a large class of quasitame functions.
In Chapter III, we study pathwise regularity of the trajectory random field in the time variable and in the initial path. Of note here is the non-existence of the stochastic flow for the singular sdde and a breakdown of linearity and local boundedness. This phenomenon is peculiar to stochastic delay equations. It leads naturally to a classification of sfde\u27s into regular and singular types. Necessary and sufficient conditions for regularity are not known. The rest of Chapter III is devoted to results on sufficient conditions for regularity of linear systems driven by white noise or semimartingales, and Sussman-Doss type nonlinear sfde\u27s.
Building on the existence of a compacting stochastic flow, we develop a multiplicative ergodic theory for regular linear sfde\u27s driven by white noise, or general helix semimartingales (Chapter IV). In particular, we prove a Stable Manifold Theorem for such systems.
In Chapter V, we seek asymptotic stability for various examples of one-dimensional linear sfde\u27s. Our approach is to obtain upper and lower estimates for the top Lyapunov exponent.
Several topics are discussed in Chapter VI. These include the existence of smooth densities for solutions of sfde\u27s using the Malliavin calculus, an approximation technique for multidimensional diffusions using sdde\u27s with small delays, and affine sfde\u27s