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In this article, we study the explosion time of the solution to autonomous stochastic differential equations driven by the fractional Brownian motion with Hurst parameter $H>1/2$. With the help of the Lamperti transformation, we are able to tackle the case of non-constant diffusion coefficients not covered in the literature. In addition, we provide an adaptive Euler-type numerical scheme for approximating the explosion time., Comment: 21 pages

Let $\left(u(t,x), t\geq 0, x\in \mathbb{R}^d\right)$ be the solution to the stochastic heat or wave equation driven by a Gaussian noise which is white in time and white or correlated with respect to the spatial variable. We consider the spatial average of the solution $F_{R}(t)= \frac{1}{\sigma_R}\int_{\vert x\vert \leq R} \left( u(t,x)-1\right) dx$, where $\sigma^2_R= \mathbf{E} \left(\int_{\vert x\vert \leq R} \left( u(t,x)-1\right) dx\right)^2$. It is known that, when $R$ goes to infinity, $F_R(t)$ converges in law to a standard Gaussian random variable $Z$. We show that the spatial average $F_R(t)$ is actually asymptotic independent by the solution itself, at any time and at any point in space, meaning that the random vector $(F_R(t), u(t, x_0))$ converges in distribution, as $R\to \infty$, to $(Z, u(t, x_0))$, where $Z$ is a standard normal random variable independent of $u(t, x_0)$. By using the Stein-Malliavin calculus, we also obtain the rate of convergence, under the Wasserstein distance, for this limit theorem.

We define an asymptotically normal wavelet-based strongly consistent estimator for the Hurst parameter of any Hermite processes. This estimator is obtained by considering a modified wavelet variation in which coefficients are wisely chosen to be, up to negligeable remainders, independent. We use Stein-Malliavin calculus to prove that this wavelet variation satisfies a multidimensional Central Limit Theorem, with an explicit bound for the Wasserstein distance.

We present an asymptotic expansion formula of an estimator for the drift coefficient of the fractional Ornstein-Uhlenbeck process. As the machinery, we apply the general expansion scheme for Wiener functionals recently developed by the authors [26]. The central limit theorem in the principal part of the expansion has the classical scaling T^{1/2}. However, the asymptotic expansion formula is a complex in that the order of the correction term becomes the classical T^{-1/2} for H in (1/2,5/8), but T^{4H-3} for H in [5/8, 3/4).

Let F ($\nu$) be the centered Gamma law with parameter $\nu$ > 0 and let us denote by P Y the probability distribution of a random vector Y. We develop a multidimensional variant of the Stein's method for Gamma approximation that allows to obtain bounds for the second Wasserstein distance between the probability distribution of an arbitrary random vector (X, Y) in R x R n and the probability distribution F ($\nu$) $\otimes$ P Y. In the case of random vectors with components in Wiener chaos, these bounds lead to some interesting criteria for the joint convergence of a sequence ((X n , Y n), n $\ge$ 1) to F ($\nu$) $\otimes$ P Y , by assuming that (X n , n $\ge$ 1) converges in law, as n $\rightarrow$ $\infty$, to F ($\nu$) and (Y n , n $\ge$ 1) converges in law, as n $\rightarrow$ $\infty$, to an arbitrary random vector Y. We illustrate our criteria by two concrete examples.

We consider a modified quadratic variation of the Hermite process based on some well-chosen increments of this process. These special increments have the very useful property to be independent and identically distributed up to asymptotically negligible remainders. We prove that this modified quadratic variation satisfies a Central Limit Theorem and we derive its rate of convergence under the Wasserstein distance via Stein-Malliavin calculus. As a consequence, we construct, for the first time in the literature related to Hermite processes, a strongly consistent and asymptotically normal estimator for the Hurst parameter.

If $\mathbb{Y}$ is a random vector in $\mathbb{R}^{d}$, we denote by $P_{\mathbb{Y}}$ its probability distribution. Consider a random variable $X$ and a $d$-dimensional random vector $\mathbb{Y}$. Inspired by \cite{Pi}, we develop a multidimensional Stein-Malliavin calculus which allows to measure the Wasserstein distance between the law $P_{ (X, \mathbb{Y})}$ and the probability distribution $P_{Z}\otimes P_{\mathbb{Y}}$, where $Z$ is a Gaussian random variable. That is, we give estimates, in terms of the Malliavin operators, for the distance between the law of the random vector $(X, \mathbb{Y})$ and the law of the vector $(Z, \mathbb{Y})$, where $Z$ is Gaussian and independent of $\mathbb{Y}$. Then we focus on the particular case of random vectors in Wiener chaos and we give an asymptotic version of this result. In this situation, this variant of the Stein-Malliavin calculus has strong and unexpected consequences. Let $(X_{k}, k\geq 1)$ be a sequence of random variables in the $p$th Wiener chaos ($p\geq 2$), which converges in law, as $k\to \infty$, to the Gaussian distribution $N(0, \sigma^2)$. Also consider $(\mathbb{Y}_{k}, k\geq 1)$ a $d$-dimensional random sequence converging in $L^{2}(\Omega)$, as $k\to \infty$, to an arbitrary random vector $\mathbb{U}$ in $\mathbb{R}^{d}$ and assume that the two sequences are asymptotically uncorrelated. We prove that, under very light assumptions on $\mathbb{Y}_{k}$, we have the joint convergence of $(X_{k}, \mathbb{Y}_{k}), k\geq 1)$ to $(Z, \mathbb{U})$ where $Z\sim N(0, \sigma ^{2})$ is indeendent of $\mathbb{U}$. These assumptions are automatically satisfied when the components of the vector $\mathbb{Y}_{k}$ belong to a finite sum of Wiener chaoses or when $\mathbb{Y}_{k}=Y$ for every $k\geq 1$, where $\mathbb{Y}$ belongs to the Sobolev-Malliavin space $\mathbb{D}^{1,2}$.

In this article, we study the limit distribution of the least square estimator, properly normalized, from a regression model in which observations are assumed to be finite ($\alpha N$) and sampled under two different random times. Based on the limit behavior of the characteristic function and convergence result we prove the asymptotic normality for the least square estimator. We present simulation results to illustrate our theoretical results.

We study the fluctuations, as $d,n\to \infty$, of the Wishart matrix $\mathcal{W}_{n,d}= \frac{1}{d} \mathcal{X}_{n,d} \mathcal{X}_{n,d}^{T} $ associated to a $n\times d$ random matrix $\mathcal{X}_{n,d}$ with non-Gaussian entries. We analyze the limiting behavior in distribution of $\mathcal{W}_{n,d}$ in two situations: when the entries of $\mathcal{X}_{n,d}$ are independent elements of a Wiener chaos of arbitrary order and when the entries are partially correlated and belong to the second Wiener chaos. In the first case, we show that the (suitably normalized) Wishart matrix converges in distribution to a Gaussian matrix while in the correlated case, we obtain its convergence in law to a diagonal non-Gaussian matrix. In both cases, we derive the rate of convergence in the Wasserstein distance via Malliavin calculus and analysis on Wiener space.

In this article we present a {\it quantitative} central limit theorem for the stochastic fractional heat equation driven by a a general Gaussian multiplicative noise, including the cases of space-time white noise and the white-colored noise with spatial covariance given by the Riesz kernel or a bounded integrable function. We show that the spatial average over a ball of radius $R$ converges, as $R$ tends to infinity, after suitable renormalization, towards a Gaussian limit in the total variation distance. We also provide a functional central limit theorem. As such, we extend recently proved similar results for stochastic heat equation to the case of the fractional Laplacian and to the case of general noise.

We define power variation estimators for the drift parameter of the stochastic heat equation with the fractional Laplacian and an additive Gaussian noise which is white in time and white or correlated in space. We prove that these estimators are consistent and asymptotically normal and we derive their rate of convergence under the Wasserstein metric., Comment: Published at https://doi.org/10.15559/19-VMSTA141 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)

By combining the Malliavin calculus with Fourier techniques, we develop a high-order asymptotic expansion theory for a sequence of vector-valued random variables. Our asymptotic expansion formulas give the development of the characteristic functional and of the local density of the random vectors up to an arbitrary order. We analyzed in details an example related to the wave equation with space-time white noise which also provides interesting facts on the correlation structure of the solution to this equation.

Generalisations of the Ornstein-Uhlenbeck process defined through Langevin equation $dU_t = - \Theta U_t dt + dG_t,$ such as fractional Ornstein-Uhlenbeck processes, have recently received a lot of attention in the literature. In particular, estimation of the unknown parameter $\Theta$ is widely studied under Gaussian stationary increment noise $G$. Langevin equation is well-known for its connections to physics. In addition to that, motivation for studying Langevin equation with a general noise $G$ stems from the fact that the equation characterises all univariate stationary processes. Most of the literature on the topic focuses on the one-dimensional case with Gaussian noise $G$. In this article, we consider estimation of the unknown model parameter in the multidimensional version of the Langevin equation, where the parameter $\Theta$ is a matrix and $G$ is a general, not necessarily Gaussian, vector-valued process with stationary increments. Based on algebraic Riccati equations, we construct an estimator for the matrix $\Theta$. Moreover, we prove the consistency of the estimator and derive its limiting distribution under natural assumptions. In addition, to motivate our work, we prove that the Langevin equation characterises all stationary processes in a multidimensional setting as well., Comment: Alignment of equations has been changed so that they fit inside the margins. Updated reference list

We consider the Wiener integral with respect to a $d$-parameter Hermite process with Hurst multi-index ${\bf H}= (H_{1},\ldots, H_{d}) \in \left( \frac{1}{2}, 1\right) ^{d}$ and we analyze the limit behavior in distribution of this object when the components of ${\bf H}$ tend to $1$ and/or $\frac{1}{2}$. As examples, we focus on the solution to the stochastic heat equation with additive Hermite noise and to the Hermite Ornstein-Uhlenbeck process., Comment: Journal of Mathematical Analysis and Applications, Elsevier, 2019

We study the convergence in distribution, as $H\to \frac{1}{2}$ and as $H\to 1$, of the integral $\int_{\mathbb{R}} f(u) dZ^{H}(u) $, where $Z ^{H}$ is a Rosenblatt process with self-similarity index $H\in \left( \frac{1}{2}, 1\right) $ and $f$ is a suitable deterministic function. We focus our analysis on the case of the Rosenblatt Ornstein-Uhlenbeck process, which is the solution of the Langevin equation driven by the Rosenblatt process.

The Malliavin integration-by-parts formula is a key ingredient to develop stochastic analysis on the Wiener space. In this article we show that a suitable integration-by-parts formula also characterizes a wide class of Gaussian processes, the so-called Gaussian Fredholm processes., Comment: Keywords: Gaussian processes, Malliavin calculus, Stein's lemma

We study the least squares estimator for the drift parameter of the Langevin stochastic equation driven by the Rosenblatt process. Using the techniques of the Malliavin calculus and the stochastic integration with respect to the Rosenblatt process, we analyze the consistency and the asymptotic distribution of this estimator. We also introduce alternative estimators, which can be simulated, and we study their asymptotic properties.

We consider the problem of Hurst index estimation for solutions of stochastic differential equations driven by an additive fractional Brownian motion. Using techniques of the Malliavin calculus, we analyze the asymptotic behavior of the quadratic variations of the solution, defined via higher order increments. Then we apply our results to construct and study estimators for the Hurst index.

We analyze the generalized $k$-variations for the solution to the wave equation driven by an additive Gaussian noise which behaves as a fractional Brownian with Hurst parameter $H>\frac{1}{2}$ in time and which is white in space. The $k$-variations are defined along {\it filters} of any order $p\geq 1$ and of any length. We show that the sequence of generalized $k$-variation satisfies a Central Limit Theorem when $p> H+\frac{1}{4}$ and we estimate the rate of convergence for it via the Stein-Malliavin calculus. The results are applied to the estimation of the Hurst index. We construct several consistent estimators for $H$ and these estimators are analyzed theoretically and numerically.

We study a generalized ARCH model with liquidity given by a general stationary process. We provide minimal assumptions that ensure the existence and uniqueness of the stationary solution. In addition, we provide consistent estimators for the model parameters by using AR(1) type characterisation. We illustrate our results with several examples and simulation studies.

By using a simple method based on the fractional integration by parts, we prove the existence and the Besov regularity of the density for solutions to stochastic differential equations driven by an additive Gaussian Volterra process. We assume weak regularity conditions on the drift. Several examples of Gaussian Volterra noises are discussed., Comment: minors corrections

We consider the stochastic continuity equation driven by Brownian motion. We use the techniques of the Malliavin calculus to show that the law of the solution has a density with respect to the Lebesgue measure. We also prove that the density is Holder continuous and satisfies some Gaussian-type estimates.

We analyze the transport equation driven by a zero quadratic variation process. Using the stochastic calculus via regularization and the Malliavin calculus techniques, we prove the existence, uniqueness and absolute continuity of the law of the solution. As an example, we discuss the case when the noise is a Hermite process.

We develop the asymptotic expansion theory for vector-valued sequences (F N) N $\ge$1 of random variables in terms of the convergence of the Stein-Malliavin matrix associated to the sequence F N. Our approach combines the classical Fourier approach and the recent theory on Stein method and Malliavin calculus. We find the second order term of the asymptotic expansion of the density of F N and we illustrate our results by several examples. 2010 AMS Classification Numbers: 62M09, 60F05, 62H12

The Hermite random field has been introduced as a limit of some weighted Hermite variations of the fractional Brownian sheet. In this work we define it as a multiple integral with respect to the standard Brownian sheet and introduce Wiener integrals with respect to it. As an application we study the wave equation driven by the Hermite sheet. We prove the existence of the solution and we study the regularity of its sample paths, the existence of the density and of its local times. 2000 AMS Classification Numbers: 60F05, 60H05, 60G18., Comment: The final publication is available at Springer via http://dx.doi.org/10.1007/s13348-014-0108-9

We give new contributions on the distribution of the zeros of the Riemann zeta function by using the techniques of the Malliavin calculus. In particular, we obtain the error bound in the multidimensional Selberg' s central limit theorem concerning the zeta zeros on the critical line and we discuss some consequences concerning the asymptotic behavior of the mesoscopic fluctuations of the zeta zeros.

Let u = {u(t, x), t $\in$ [0, T ], x $\in$ R d } be the solution to the linear stochastic heat equation driven by a fractional noise in time with correlated spatial structure. We study various path properties of the process u with respect to the time and space variable, respectively. In particular, we derive their exact uniform and local moduli of continuity and Chung-type laws of the iterated logarithm.

We consider the transport equation driven by the fractional Brownian motion. We study the existence and the uniqueness of the weak solution and, by using the tools of the Malliavin calculus, we prove the existence of the density of the solution and we give Gaussian estimates from above and from below for this density.

The aim of this paper is to show an estimate for the determinant of the covariance of a two-dimensional vector of multiple stochastic integrals of the same order in terms of a linear combination of the expectation of the determinant of its iterated Malliavin matrices. As an application we show that the vector is absolutely continuous if and only if its components are proportional.