作者：Shkolnikov, Mykhaylo
作者单位：Stanford University
摘要：We consider finite and infinite systems of particles on the real line and half-line evolving in continuous time. Hereby, the particles are driven by i.i.d. Levy processes endowed with rank-dependent drift and diffusion coefficients. In the finite systems we show that the processes of gaps in the respective particle configurations possess unique invariant distributions and prove the convergence of the gap processes to the latter in the total variation distance, assuming a bound on the jumps of ...
作者：James, Lancelot F.; Zhang, Zhiyuan
作者单位：Hong Kong University of Science & Technology; Shanghai University of Finance & Economics
摘要：Quantile clocks are defined as convolutions of subordinators L, with quantile functions of positive random variables. We show that quantile clocks can be chosen to be strictly increasing and continuous and discuss their practical modeling advantages as business activity times in models for asset prices. We show that the marginal distributions of a quantile clock, at each fixed time, equate with the marginal distribution of a single subordinator. Moreover, we show that there are many quantile c...
作者：Pan, G. M.; Zhou, W.
作者单位：Nanyang Technological University; National University of Singapore
摘要：In this paper we prove the central limit theorem for Hotelling's T-2 statistic when the dimension of the random vectors is proportional to the sample size.
