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Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
Bernoulli: a journal of mathematical statistics and probability. 2022. Vol. 28. No. 4. P. 2151–2180.
We study a nonparametric Bayesian approach to estimation of the volatility function of a stochastic differential equation driven by a gamma process. The volatility function is modelled a priori as piecewise constant, and we specify a gamma prior on its values. This leads to a straightforward procedure for posterior inference via an MCMC procedure. We give theoretical performance guarantees (minimax optimal contraction rates for the posterior) for the Bayesian estimate in terms of the regularity of the unknown volatility function. We illustrate the method on synthetic and real data examples.
Publication based on the results of:
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 2026 Vol. 114 No. 1 P. 014217–014217
This study investigates the dynamical origins and statistical properties of extreme events (EEs) in a diffusively coupled theoretical Brusselator system, extending from pairwise interactions to globally coupled networks. Statistically, the emergence of EEs is characterized by heavy-tailed probability density functions and exponential interevent interval distributions, alongside an analysis of the complementary cumulative distribution function and ...
Added: July 15, 2026
Prokofev V., Zabrodin A., Proceedings of the Steklov Institute of Mathematics 2020 Vol. 309 P. 225–239
We consider solutions of the matrix Kadomtsev-Petviashvili (KP) hierarchy that are trigonometric functions of the first hierarchical time t1 = x and establish the correspondence with the spin generalization of the trigonometric Calogero-Moser system at the level of hierarchies. Namely, the evolution of poles xi and matrix residues at the poles aαibβi of the solutions with respect to the kth hierarchical time of the ...
Added: July 14, 2026
Prokofev V., Zabrodin A., Journal of Physics A: Mathematical and Theoretical 2021 Vol. 54
We consider solutions of the Kadomtsev–Petviashvili hierarchy which are elliptic functions of x = t1. It is known that their poles as functions of t2 move as particles of the elliptic Calogero–Moser model. We extend this correspondence to the level of hierarchies and find the Hamiltonian Hk of the elliptic Calogero–Moser model which governs the dynamics of poles with respect to the kth ...
Added: July 14, 2026
Prokofev V., Zabrodin A., Theoretical and Mathematical Physics 2021 Vol. 208 P. 1093–115
We consider solutions of the 2D Toda lattice hierarchy which are elliptic functions of the zeroth time t_0=x. It is known that their poles as functions of t_1 move as particles of the elliptic Ruijsenaars-Schneider model. The goal of this paper is to extend this correspondence to the level of hierarchies. We show that the ...
Added: July 14, 2026
Prokofev V., Zabrodin A., Теоретическая и математическая физика 2023 Т. 217 № 2 С. 299–316
We continue the study of the B-Toda hierarchy (the Toda lattice with the constraint of type B), which can be regarded as a discretization of the BKP hierarchy. We introduce the tau function of the B-Toda hierarchy and obtain bilinear equations for it. Examples of soliton tau functions are presented in explicit form. ...
Added: July 14, 2026
Шиманогов И. Н., Vyalyi M., Дискретный анализ и исследование операций 2025 Т. 32 № 4 С. 213–230
A well-studied class of algorithmic problems is that of regular realizability: checking the non-emptiness of the intersection of a regular language with a given language. This problem has a natural algebraic interpretation: verifying whether an element of a Boolean algebra belongs to the kernel of a certain homomorphism. This motivates the consideration of an analogous ...
Added: July 12, 2026
Rybakov M., Annals of Pure and Applied Logic 2026 Vol. 177 Article 103811
The paper presents a solution to the question about the decidability of the two-variable fragment of the superintuitionistic predicate logic QLC defined by the class of linear Kripke frames, which is also the ‘superintuitionistic’ fragment of the modal predicate logic QS4.3, under the Gödel translation. We prove that the fragment is undecidable. The result remains true for the ...
Added: July 11, 2026
Panov V., Ryabchenko A., / Series arXiv "stat.ME". 2026. No. 2607.05048.
This paper investigates the problem of statistical inference for a mixture distribution consisting of a discrete and a continuous component, with a particular focus on the class of rational-infinitely divisible distributions. We consider non-parametric estimation of both components of the mixture as well as the quasi-L{é}vy measure, assuming that the mixture belongs to the class ...
Added: July 9, 2026
Springer, 2027.
The series Lecture Notes in Computer Science (LNCS), including its subseries Lecture Notes in Artificial Intelligence (LNAI) and Lecture Notes in Bioinformatics (LNBI), has established itself as a medium for the publication of new developments in computer science and information technology research, teaching, and education. LNCS enjoys close cooperation with the computer science R & ...
Added: July 8, 2026
Маликов М. А., Монахова Э. А., Rzaev E. et al., Ученые записки Казанского университета. Серия: Физико-математические науки 2026 Т. 168 № 2 С. 269–286
This article examines series of families of two-dimensional circulant networks with rectangular
L -shapes, optimal in diameter, as network-on-chip topologies with a minimal number of crossings
between the links and a bounded length of the maximum link that does not depend on the network
size. New network-on-chip routing algorithms, which use the coordinates of three adjacent zeros in
the ...
Added: July 8, 2026
Pilé I., Deng Y., Shchur L., Physical Review B: Condensed Matter and Materials Physics 2026 Vol. 114 No. 1 Article 014101
We investigate the spatial overlap of successive spin configurations in Markov chain Monte Carlo simulations using the local Metropolis algorithm and the Swendsen-Wang and Wolff cluster algorithms. We examine the dynamics of these algorithms for models in different universality classes: Ising model, Potts model with three components, and four-state Potts model. The overlap of two ...
Added: July 6, 2026
Irkutsk: ISDCT SB RAS, 2026.
We study a model problem on the filtration of a conducting fluid through a
porous layer. A porous medium is presented as an assemblage of identical spherical
cells. Each cell consists of a porous core and liquid shell. We derive apriori estimates
for flow characteristics which show the specific behavior of the fluid. Our estimates
are validated numerically. ...
Added: July 5, 2026
М.: Наука и технологии, 2026.
«Телекоммуникации» ежемесячный рецензируемый производственный, информационно-аналитический и учебно-методический журнал выходит в свет с июля 2000 г.
Для руководителей и работников промышленности, научно-исследовательских и проектно-конструкторских институтов, высших учебных заведений, аспирантов и студентов, а также для специалистов, разрабатывающих, выпускающих и эксплуатирующих средства телекоммуникаций.
Новости разработок и производства, прогнозы развития, защита информации, Нормативные, справочные, аналитические и учебно-методические материалы.
Переход к глобальному информационному ...
Added: July 4, 2026
МФТИ, 2025.
абота редакции научного журнала «Труды Московского физико-технического института» (кратко «Труды МФТИ»), редакционной коллегии и редакционного совета осуществляется в соответствии с Положением, утвержденным ректором института. В состав редакционной коллегии входят руководители института, факультетов, институтских и факультетских кафедр. Главный редактор журнала —президент МФТИ, член-корр. РАН Кудрявцев Н.Н.
Журнал «Труды МФТИ» входит в базу данных РИНЦ (Российский Индекс Научного Цитирования) и доступен в электронной ...
Added: July 4, 2026
Springer, 2026.
This book presents established and new research on the close connections between graph games and systems of logic, particularly existing and newly designed modal logics. The volume utilizes two graph games – the sabotage game and the hide-and-seek game – to demonstrate the natural interplay between designing new graph games and exploring new kinds of ...
Added: June 30, 2026
Pochinka O., Barinova M., Journal of Geometry and Physics 2026 Vol. 228 P. 1–8
In the present paper we consider an Ω-stable 3-diffeomorphism with a solid or thickened surfaced non-trivial basic set. Such basic sets include, for instance, all one-dimensional expanding attractors and those two-dimensional basic sets that are not expanding. We prove that the chain recurrent set of every such a diffeomorphism necessarily contains at least two non-trivial ...
Added: June 30, 2026
German O., Illarionov A., Известия РАН. Серия математическая 2026 Т. 90 № 3 С. 3–18
Пусть симплекс с целочисленными вершинами - содержащий ровно одну целочисленную точку, отличную от своих вершин. В работе доказывается, что если точка находится во внутренности симплекса или в относительной внутренности некоторой гиперграни симплекса, то объем симплекса ограничен величиной, зависящей только от размерности, в противном случае объем симплекса может быть сколь угодно большим. Этот результат применяется для вывода асимптотической формулы для среднего числа вершин полиэдров ...
Added: June 29, 2026
Bossy M., Jean-François Jabir, Rodríguez K. M., Journal of Computational Physics 2022 Vol. 464 Article 110929
We present the construction of an original stochastic model for the instantaneous turbulent kinetic energy at a given point of a flow, and we validate estimator methods on this model with observational data examples. Motivated by the need for wind energy industry of acquiring relevant statistical information of air motion at a local place, we ...
Added: November 8, 2022
Volkova O. N., Vologina D.A., Korolev A. V., Automation and Remote Control 2022 Vol. 83 No. 6 P. 960–978
In this paper, stochastic parameters are introduced into the network games model with production and externalities of knowledge. This model was formulated by V. Matveenko and A. Korolev and generalized the two-period Romer model. The agents’ productivities have deterministic and Wiener components. We consider the dynamics that occur when two complete networks are combined. Explicit ...
Added: July 6, 2022
Korolev A. V., Automation and Remote Control 2022 Vol. 13 No. 1 P. 483–501
Stochastic parameters are introduced into a model of network games with production and knowledge externalities. The model was formulated by V. Matveenko and A. Korolev and generalizes Romer’s two-period model. The agents’ productivities have both deterministic and Wiener components. The research represents the dynamics of a single agent and the dynamics in a triangle that ...
Added: April 22, 2022
Jabir J. M., Martinez K., Bossy M., / Series arXiv "math". 2021.
We present the construction of an original stochastic model for the instantaneous turbulent kinetic energy at a given point of a flow, and we validate estimator methods on this model with observational data examples. Motivated by the need for wind energy industry of acquiring relevant statistical information of air motion at a local place, we ...
Added: January 30, 2021
Marquardt K., Journal of Peace Research 2020 Vol. 57 No. 6 P. 692–700
Expert-coded datasets provide scholars with otherwise unavailable data on important concepts. However, expert coders vary in their reliability and scale perception, potentially resulting in substantial measurement error. These concerns are acute in expert coding of key concepts for peace research. Here I examine (1) the implications of these concerns for applied statistical analyses, and (2) ...
Added: December 11, 2020
Bossy M., Jabir J. M., Martinez K., / Series math "arxiv.org". 2020.
We consider the problem of the approximation of the solution of a one-dimensional SDE with non-globally Lipschitz drift and diffusion coefficients behaving as xα, with α>1. We propose an (semi-explicit) exponential-Euler scheme and study its convergence through its weak approximation error. To this aim, we analyze the C1,4 regularity of the solution of the associated backward Kolmogorov PDE using ...
Added: September 24, 2020
Pavolotsky A. V., Левицкая Н. И., Голуб А. О., Качество. Инновации. Образование 2015 № 2-2015 С. 33–43
The article considers several approaches for construction of learning intelligent systems - technologies for the automated control of knowledge. The authors provide descriptions of algorithms, as wel as examples and analysis ...
Added: April 7, 2015