# Nikolai N. LeonenkoCardiff University | CU · School of Mathematics

Nikolai N. Leonenko

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267

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## Publications

Publications (267)

In this work the Monte Carlo method, introduced recently by the authors for orders of differentiation between zero and one, is further extended to differentiation of orders higher than one. Two approaches have been developed on this way. The first approach is based on interpreting the coefficients of the Grünwald–Letnikov fractional differences as...

In this paper, we study strong solutions of some non-local difference–differential equations linked to a class of birth–death processes arising as discrete approximations of Pearson diffusions by means of a spectral decomposition in terms of orthogonal polynomials and eigenfunctions of some non-local derivatives. Moreover, we give a stochastic repr...

The proof of L2 consistency for the kth nearest neighbour distance estimator of the Shannon entropy for an arbitrary fixed k≥1 is provided. It is constructed the non-parametric test of goodness-of-fit for a class of introduced generalized multivariate Gaussian distributions based on a maximum entropy principle. The theoretical results are followed...

Several queueing systems in heavy traffic regimes are shown to admit a diffusive approximation in terms of the Reflected Brownian Motion. The latter is defined by solving the Skorokhod reflection problem on the trajectories of a standard Brownian motion. In recent years, fractional queueing systems have been introduced to model a class of queueing...

We introduce two classes of point processes: a fractional non-homogeneous Poisson process of order k and a fractional non-homogeneous Pólya-Aeppli process of order k. We characterize these processes by deriving their non-local governing equations. We further study the covariance structure of the processes and investigate the long-range dependence p...

We consider some time-changed diffusion processes obtained by applying the Doob transformation rule to a time-changed Brownian motion. The time-change is obtained via the inverse of an α-stable subordinator. These processes are specified in terms of time-changed Gauss-Markov processes and fractional time-changed diffusions. A fractional pseudo-Fokk...

The paper investigates random fields in the ball. It studies three types of such fields: restrictions of scalar random fields in the ball to the sphere, spin, and vector random fields. The review of the existing results and new spectral theory for each of these classes of random fields are given. Examples of applications to classical and new models...

The paper investigates random fields in the ball. It studies three types of such fields: restrictions of scalar random fields in the ball to the sphere, spin, and vector random fields. The review of the existing results and new spectral theory for each of these classes of random fields are given. Examples of applications to classical and new models...

We study some features of the transient probability distribution of a fractional \(M/M/\infty \) queueing system. Such model is constructed as a suitable time-changed birth-death process. The fractional differential-difference problem is studied for the corresponding probability distribution and a fractional partial differential equation is obtaine...

In this paper we focus on strong solutions of some heat-like problems with a non-local derivative in time induced by a Bernstein function and an elliptic operator given by the generator or the Fokker–Planck operator of a Pearson diffusion, covering a large class of important stochastic processes. Such kind of time-non-local equations naturally aris...

The Renyi function plays an important role in the analysis of multifractal random fields. For random fields on the sphere, there are three models in the literature where the Renyi function is known explicitly. The theoretical part of the article presents multifractal random fields on the sphere and develops specific models where the Renyi function...

In this paper we study explicit strong solutions for two difference-differential fractional equations, defined via the generator of an immigration-death process, by using spectral methods. Moreover, we give a stochastic representation of the solutions of such difference-differential equations by means of a stable time-changed immigration-death proc...

We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper is a non-central moderate deviations result. More precisely we mean a class of large deviation principles that fill the gap between the (triv...

We introduce some new classes of unimodal rotational invariant directional distributions, which generalize von Mises–Fisher distribution. We propose three types of distributions, one of which represents axial data. For each new type we provide formulae and short computational study of parameter estimators by the method of moments and the method of...

This article investigates general scaling settings and limit distributions of functionals of filtered random fields. The filters are defined by the convolution of non-random kernels with functions of Gaussian random fields. The case of long-range dependent fields and increasing observation windows is studied. The obtained limit random processes are...

In this paper we introduce a class of time-changed processes obtained by composing a Pearson diffusion with the inverse of a subordinator. Such time-changed processes provide stochastic representations of solutions of some Cauchy problems with a non-local derivative in time induced by a suitable Bernstein function. In particular we show the existen...

We introduce two non-homogeneous processes: a fractional non-homogeneous Poisson process of order $k$ and and a fractional non-homogeneous P\'olya-Aeppli process of order $k$. We characterize these processes by deriving their non-local governing equations. We further study the covariance structure of the processes and investigate the long-range dep...

In this paper we study strong solutions of some non-local difference-differential equations linked to a class of birth-death processes arising as discrete approximations of Pearson diffusions by means of a spectral decomposition in terms of orthogonal polynomials and eigenfunctions of some non-local derivatives. Moreover, we give a stochastic repre...

We study the pricing of European options when the underlying stock price is illiquid. Due to the lack of trades, the sample path followed by prices alternates between active and motionless periods that are replicable by a fractional jump-diffusion. This process is obtained by changing the time-scale of a jump-diffusion with the inverse of a Lévy su...

The R\'enyi function plays an important role in the analysis of multifractal random fields. For random fields on the sphere, there are three models in the literature where the R\'enyi function is known explicitly. The theoretical part of the article presents multifractal random fields on the sphere and develops specific models where the R\'enyi fun...

We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper concerns a non-central moderate deviations result. In fact we consider a family of non-Gaussian equally distributed random variables (so they...

In this article, we derive the state probabilities of different type of space- and time-fractional Poisson processes using z-transform. We work on tempered versions of time-fractional Poisson process and space-fractional Poisson processes. We also introduce Gegenbauer type fractional differential equations and their solutions using z-transform. Our...

The paper studies the fundamental solutions to fractional in time hyperbolic diffusion equation or telegraph equations and their properties. Then it derives the exact solutions of the fractional hyperbolic diffusion equation with random data in terms of series expansions of isotropic in space spherical random fields on the unit sphere. Numerical il...

In this article, we propose space-fractional Skellam process and tempered space-fractional Skellam process via time changes in Poisson and Skellam processes by independent \alpha-stable subordiantor and tempered stable subordiantor, respectively. Further we derive the marginal probabilities, Levy measure, governing difference-differential equations...

The Poisson process suitably models the time of successive events and thus has numerous applications in statistics, in economics, it is also fundamental in queueing theory. Economic applications include trading and nowadays particularly high frequency trading. Of outstanding importance are applications in insurance, where arrival times of successiv...

This paper investigates solutions of hyperbolic diffusion equations in R^3 with random initial conditions. The solutions are given as spatial-temporal random fields. Their restrictions to the unit sphere S^2 are studied. All assumptions are formulated in terms of the angular power spectrum or the spectral measure of the random initial conditions. A...

This paper investigates solutions of hyperbolic diffusion equations in $\mathbb{R}^3$ with random initial conditions. The solutions are given as spatial-temporal random fields. Their restrictions to the unit sphere $S^2$ are studied. All assumptions are formulated in terms of the angular power spectrum or the spectral measure of the random initial...

The paper starts by giving a motivation for this research and justifying the considered stochastic diffusion models for cosmic microwave background radiation studies. Then it derives the exact solution in terms of a series expansion to a hyperbolic diffusion equation on the unit sphere. The Cauchy problem with random initial conditions is studied....

The main result of this paper is the rate of convergence to Hermite-type distributions in non-central limit theorems. To the best of our knowledge, this is the first result in the literature on rates of convergence of functionals of random fields to Hermite-type distributions with ranks greater than 2. The results were obtained under rather general...

We introduce a fractional generalization of the Erlang Queues M∕Ek∕1. Such process is obtained through a time-change via inverse stable subordinator of the classical queue process. We first exploit the (fractional) Kolmogorov forward equation for such process, then we use such equation to obtain an interpretation of this process in the queuing theo...

In this paper we study explicit strong solutions for two difference-differential fractional equations, defined via the generator of an immigration-death process, by using spectral methods. Moreover, we give a stochastic representation of the solutions of such difference-differential equations by means of a stable time-changed immigration-death proc...

In this article, we introduce mixtures of tempered stable subordinators (TSS). These mixtures define a class of subordinators which generalize tempered stable subordinators. The main properties like probability density function (pdf), Levy density, moments, governing Fokker-Planck-Kolmogorov (FPK) type equations, asymptotic form of potential densit...

The paper starts by giving a motivation for this research and justifying the considered stochastic diffusion models for cosmic microwave background radiation studies. Then it derives the exact solution in terms of a series expansion to a hyperbolic diffusion equation on the unit sphere. The Cauchy problem with random initial conditions is studied....

We introduce a fractional generalization of the Erlang Queues $M/E_k/1$. Such process is obtained through a time-change via inverse stable subordinator of the classical queue process. We first exploit the (fractional) Kolmogorov forward equation for such process, then we use such equation to obtain an interpretation of this process in the queuing t...

This article investigates general scaling settings and limit distributions of functionals of filtered random fields. The filters are defined by the convolution of non-random kernels with functions of Gaussian random fields. The case of long-range dependent fields and increasing observation windows is studied. The obtained limit random processes are...

Starting from the definition of fractional M/M/1 queue given in the reference by Cahoy et al. in 2015 and M/M/1 queue with catastrophes given in the reference by Di Crescenzo et al. in 2003, we define and study a fractional M/M/1 queue with catastrophes. In particular, we focus our attention on the transient behaviour, in which the time-change play...

Important models in insurance, for example the Carm{\'e}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arrival times of insurance claims. This paper extends the classical framework for ruin probabilities by proposing and involving the fractional Poisson process as a counting p...

In this article, we derive the state probabilities of different type of space- and time-fractional Poisson processes using z-transform. We work on tempered versions of time-fractional Poisson process and space-fractional Poisson processes. We also introduce Gegenbauer type fractional differential equations and their solutions using z-transform. Our...

Continuous time random walks have random waiting times between particle jumps. We define the correlated continuous time random walks (CTRWs) that converge to fractional Pearson diffusions (fPDs). The jumps in these CTRWs are obtained from Markov chains through the Bernoulli urn-scheme model and Wright-Fisher model. The jumps are correlated so that...

We obtain quantitative Four Moments Theorems establishing convergence of the laws of elements of a Markov chaos to a Pearson distribution, where the only assumption we make on the Pearson distribution is that it admits four moments. While in general one cannot use moments to establish convergence to a heavy-tailed distributions, we provide a contex...

We present new properties for the Fractional Poisson process and the Fractional Poisson field on the plane. A martingale characterization for Fractional Poisson processes is given. We extend this result to Fractional Poisson fields, obtaining some other characterizations. The fractional differential equations are studied. We consider a more general...

A simple but efficient approach is proposed in this paper to construct the isotropic random field in (d ⩾ 2), whose univariate marginal distributions may be taken as any infinitely divisible distribution with finite variance. The three building blocks in our building tool box are a second-order Lévy process on the real line, a d-variate random vect...

The fractional non-homogeneous Poisson process was introduced by a time-change of the non-homogeneous Poisson process with the inverse $\alpha$-stable subordinator. We propose a similar definition for the (non-homogeneous) fractional compound Poisson process. We give both finite-dimensional and functional limit theorems for the fractional non-homog...

We construct classes of homogeneous random fields on a three-dimensional Euclidean space that take values in linear spaces of tensors of a fixed rank and are isotropic with respect to a fixed orthogonal representation of the group of $3\times 3$ orthogonal matrices. The constructed classes depend on finitely many isotropic spectral densities. We sa...

This paper derives the stochastic solution of a Cauchy problem for the distribution of a fractional diffusion process. The governing equation involves the Bessel-Riesz derivative (in space) to model heavy tails of the distribution, and the Caputo-Djrbashian derivative (in time) to depicts the memory of the diffusion process. The solution is obtaine...

We define heavy-tailed fractional reciprocal gamma and Fisher-Snedecor diffusions by a non-Markovian time change in the corresponding Pearson diffusions. Pearson diffusions are governed by the backward Kolmogorov equations with space-varying polynomial coefficients and are widely used in applications. The corresponding fractional reciprocal gamma a...

We present a new construction of the Student and Student-like fractal activity time model for risky asset. The construction uses the diffusion processes and their superpositions and allows for specified exact Student or Student-like marginal distributions of the returns and for flexible and tractable dependence structure. The fractal activity time...

In this paper, the estimation of parameters in the harmonic regression with cyclically dependent errors is addressed. Asymptotic properties of the least-squares estimates
are analyzed by simulation experiments. By numerical simulation, we prove that consistency and asymptotic normality of the least-squares parameter estimator studied
holds under di...

The phenomenon of intermittency has been widely discussed in physics literature. This paper provides a model of intermittency based on L\'evy driven Ornstein-Uhlenbeck (OU) type processes. Discrete superpositions of these processes can be constructed to incorporate non-Gaussian marginal distributions and long or short range dependence. While the pa...

This paper derives the weak-sense Gaussian solution to a family of fractional-in-time and multifractional-in-space stochastic partial differential equations, driven by fractional-integrated-in-time spatiotemporal white noise. Some fundamental results on the theory of pseudodifferential operators of variable order, and on the Mittag-Leffler function...

We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein–Uhlenbeck processes driven by Lévy motion and their finite and infinite superpositions. We construct the multifractal, such as log-gamma, log-tempered stable, or log-normal tempered stable scenarios.

Fractional (in time and in space) evolution equations defined on Dirichlet regular bounded open domains, driven by fractional integrated in time Gaussian spatiotemporal white noise, are considered here. Sufficient conditions for the definition of a weak-sense Gaussian solution, in the mean-square sense, are derived. The temporal, spatial and spatio...

We introduce a non-homogeneous fractional Poisson process by replacing the
time variable in the fractional Poisson process of renewal type with an
appropriate function of time. We characterize the resulting process by deriving
its non-local governing equation. We further compute the first and second
moments of the process. Eventually, we derive the...

The article introduces spatial long-range dependent models based on the fractional difference operators associated with the Gegenbauer polynomials.
The results on consistency and asymptotic normality of a class of minimum
contrast estimators of long-range dependence parameters of the models are obtained. A methodology to verify assumptions for cons...

In this paper, the estimation of parameters in the harmonic regression with
cyclically dependent errors is addressed. Asymptotic properties of the
least-squares estimates are analyzed by simulation experiments. By numerical
simulation, we prove that consistency and asymptotic normality of the
least-squares parameter estimator studied holds under di...

Fractional (in time and in space) evolution equations driven by fractional
integrated in time Gaussian spatiotemporal white noise are studied on Dirichlet
regular bounded open domains. A unique mean-square continuous solution is
derived. The mean-quadratic local variation properties of such a solution are
obtained from the asymptotic properties of...

A reduction theorem is proved for functionals of Gamma-correlated random
fields with long-range dependence in d-dimensional space. In the particular
case of a non-linear function of a chi-squared random field with Laguerre rank
equal to one, we apply the Karhunen-Lo\'eve expansion and the Fredholm
determinant formula to obtain the characteristic fu...

The main result of the article is the rate of convergence to the Rosenblatt-type distributions
in non-central limit theorems. Specifications of the main theorem are discussed for several
scenarios. In particular, special attention is paid to the Cauchy, generalized Linnik’s, and
local-global distinguisher random processes and fields. Direct analyti...

The Karhunen-Lo\`eve expansion and the Fredholm determinant formula are used
to derive an asymptotic Rosenblatt-type distribution of a sequence of integrals
of quadratic functions of Gaussian stationary random fields on R^d displaying
long-range dependence. This distribution reduces to the usual Rosenblatt
distribution when d=1. Several properties...

Linear fractional stable motion is an example of a self-similar stationary increments stochastic process exhibiting both long-range dependence and heavy-tails. In this paper we propose methods that are able to estimate simultaneously the self-similarity parameter and the tail parameter. These methods are based on the asymptotic behavior of the so-c...

In this paper we study the solutions of different forms of fractional
equations on the unit sphere $\mathbb{S}_{1}^{2}$ $\subset \mathbb{R}^{3}$
possessing the structure of time-dependent random fields. We study the
correlation functions of the random fields emerging in the analysis of the
solutions of the fractional equations and examine their lon...

Time-Changed Lévy Processes include the fractional Poisson process, and the scaling limit of a continuous time random walk. They are obtained by replacing the deterministic time variable by a positive non-decreasing random process. The use of time-changed processes in modeling often requires the knowledge of their second order properties such as th...

Multifractality of a time series can be analyzed using the partition function method based on empirical moments of the process. In this paper we analyze the method when the underlying process has heavy-tailed increments. A nonlinear estimated scaling function and non-trivial spectrum are usually considered as signs of a multifractal property in the...

Two constructions of fractal activity time in the fractal activity time geometric Brownian motion (FATGBM) model for a risky asset are discussed. Both constructions produce tractable dependence structure that includes long-range dependence. One construction uses Ornstein-Uhlenbeck type processes and leads to stationary log returns with exact normal...

Limit theorems for the volumes of excursion sets of weakly and strongly
dependent heavy-tailed random fields are proved. Some generalizations to
sojourn measures above moving levels and for cross-correlated scenarios are
presented. Special attention is paid to Student and Fisher-Snedecor random
fields. Some simulation results are also presented.

Multifractal analysis of stochastic processes deals with the fine scale
properties of the sample paths and seeks for some global scaling property that
would enable extracting the so-called spectrum of singularities. In this paper
we establish bounds on the support of the spectrum of singularities. To do
this, we prove a theorem that complements the...

The recent literature on high frequency financial data includes models that use the difference of two Poisson processes, and incorporate a Skellam distribution for forward prices. The exponential distribution of inter-arrival times in these models is not always supported by data. Fractional generalization of Poisson process, or fractional Poisson p...

This paper introduces spatial long-range dependence time series models, based on the consideration of fractional difference operators associated with Gegenbauer polynomials. Their structural properties are analyzed. The spatial autoregressive Gegenbauer case is also studied, including the case of k factors with multiple singularities. An extension...

We consider the Fisher-Snedecor diffusion; that is, the Kolmogorov-Pearson
diffusion with the Fisher-Snedecor invariant distribution. In the nonstationary
setting, we give explicit quantitative rates for the convergence rate of
respective finite-dimensional distributions to that of the stationary
Fisher-Snedecor diffusion, and for the $\beta$-mixin...

We study the Bartlett spectrum of the randomized Hawkes process and demonstrate hat it behaves very differently from the case of a classical Hawkes process. In particular, the Bartlett spectrum could have a singularity near the origin which indicates a long-range depende ce property.

The so-called partition function is a sample moment statistic based on blocks
of data and it is often used in the context of multifractal processes.
It will be shown that its behaviour is strongly influenced by the tail of the
distribution underlying the data either in i.i.d. and weakly dependent cases.
These results will be exploited to develop gr...

The stochastic solution to a diffusion equations with polynomial coefficients is called a Pearson diffusion. If the first time derivative is replaced by a Caputo fractional derivative of order less than one, the stochastic solution is called a fractional Pearson diffusion. This paper develops an explicit formula for the covariance function of a fra...

In [3], a new method has been presented for making inference about the tail of samples coming from un-known heavy-tailed distribution. Method is based on asymptotic properties of the empirical structure func-tion, a variant of statistic that resembles usual sample moments. Using this approach one can successfully inspect the nature of the tail of t...

We consider parameter estimation for a process of Ornstein-Uhlenbeck type with reciprocal gamma marginal distribution, to be called reciprocal gamma Ornstein-Uhlenbeck (RGOU) process. We derive minimum contrast estimators of unknown parameters based on both the discrete and the continuous observations from the process as well as moments based estim...

This paper presents the basic scheme and the log-normal, log-gamma and log-negative-inverted-gamma scenarios to establish the Rényi function for infinite products of homogeneous isotropic random fields on Rn; in particular for random fields on the sphere in R3. The motivation of this paper is the test of (non-)Gaussianity on the Cosmic Microwave Ba...

Pearson diffusions are governed by diffusion equations with polynomial coefficients. Fractional Pearson diffusions are governed by the corresponding time-fractional diffusion equation. They are useful for modeling sub-diffusive phenomena, caused by particle sticking and trapping. This paper provides explicit strong solutions for fractional Pearson...

This paper surveys Abelian and Tauberian theorems for long-range dependent
random fields. We describe a framework for asymptotic behaviour of covariance
functions or variances of averaged functionals of random fields at infinity and
spectral densities at zero. The use of the theorems and their limitations are
demonstrated through applications to so...

This paper deals with the estimation of hidden periodicities in a non-linear
regression model with stationary noise displaying cyclical dependence.
Consistency and asymptotic normality are established for the least-squares
estimates.

This article addresses the problem of defining a general scaling setting in which Gaussian and non-Gaussian limit distributions of linear random fields can be obtained. The linear random fields considered are defined by the convolution of a Green kernel, satisfying suitable scaling conditions, with a non-linear transformation of a Gaussian centered...

We analyse spectral properties of an ergodic heavy-tailed diffusion with the Fisher–Snedecor invariant distribution and compute spectral representation of its transition density. The spectral representation is given in terms of a sum involving finitely many eigenvalues and eigenfunctions (Fisher–Snedecor orthogonal polynomials) and an integral over...

Using inverse subordinators and Mittag-Leffler functions, we present a new definition of a fractional Poisson process parametrized by points of the Euclidean space
$\mathbb{R}_+^2$
. Some properties are given and, in particular, we prove a long-range dependence property.

The limit Gaussian distribution of multivariate weighted functionals of nonlinear transformations of Gaussian stationary processes, having multiple singular spectra, is derived, under very general conditions on the weight function. This paper is motivated by its potential applications in nonlinear regression, and asymptotic inference on nonlinear f...

An aggregated Gaussian random field, possibly strong-dependent, is obtained from accumulation of i.i.d. short memory fields via an unknown mixing density φφ which is to be estimated. The so-called disaggregation problem is considered, i.e. φφ is estimated from a sample of the limiting aggregated field while samples of the elementary processes remai...

This paper reviews a class of multifractal models obtained via products of exponential Ornstein–Uhlenbeck processes driven by Lévy motion. Given a self-decomposable distribution, conditions for constructing multifractal scenarios and general formulas for their Renyi functions are provided. Together with several examples, a model with multifractal a...