How close are time series to power tail Lévy diffusions?

DOI10.1063/1.4986496OpenAlexW2609495146WikidataQ39015574 ScholiaQ39015574MaRDI QIDQ4644249FDOQ4644249

Authors: Tania Kosenkova, Adam Hugh Monahan, Jan M. Gairing, Michael Högele 

Publication date: 30 May 2018

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.06100

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60)

Cites Work

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• Lévy Processes and Stochastic Calculus
• The dynamics of nonlinear reaction-diffusion equations with small Lévy noise
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• The exit problem from a neighborhood of the global attractor for dynamical systems perturbed by heavy-tailed Lévy processes
• Title not available (Why is that?)
• Determination of Firing Times for the Stochastic Fitzhugh-Nagumo Neuronal Model
• Coupling distances between Lévy measures and applications to noise sensitivity of SDE

Cited In (5)

• Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance
• Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications
• The first passage problem for stable linear delay equations perturbed by power law Lévy noise
• How close are time series to power tail L\'evy diffusions?
• Bispectral unfolding of the skewness of correlated additive and multiplicative noise processes

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