Stationary distributions for two-dimensional sticky Brownian motions:Exact tail asymptotics and extreme value distributions

Sticky Brownian motions can be viewed as time-changed semimartingale reflecting Brownian motions,which find applications in many areas including queueing theory and mathematical finance.In this paper,we focus on stationary distributions for sticky Brownian motions.Main results obtained here include tail asymptotic properties in the marginal distributions and joint distributions.The kernel method,copula concept and extreme value theory are the main tools used in our analysis.

Limit theorems for functionals of Gaussian vectors

作为自我类似的进程的扩展，操作符自我类似的进程广泛地被学习了。在这个工作，我们为 Gaussian 向量的 functionals 学习限制定理。在一些条件下面，我们决定随机的向量的一个静止 Gaussian 序列的 functionals 的部分和的限制是一个操作员自我类似的过程。