We study the autocorrelation structure of aggregates from a continuous-time process. The underlying continuous-time process or some of its higher derivative is assumed to be a stationary continuous-time auto-regressive fractionally integrated moving-average (CARFIMA) process with Hurst parameter H. We derive closed-form expressions for the limiting autocorrelation function and the normalized sp...

We present a method, Non-Stationary Forward Flux Sampling, that allows efficient simulation of rare events in both stationary and non-stationary stochastic systems. The method uses stochastic branching and pruning to achieve uniform sampling of trajectories in phase space and time, leading to accurate estimates for time-dependent switching propensities and time-dependent phase space probability...

This paper provides a methodology for the systematic derivation of subdivision schemes that model solutions to inhomogeneous linear diierential equations. In previous work, we showed that subdivision can be used to capture very eeciently the solutions of homogeneous, linear diierential equations. The resulting subdivision masks are stationary and can be precomputed, allowing for very simple and...

Noise in an ac biased junction. Non-stationary Aharonov-Bohm effect. Abstract We study excess noise in a quantum conductor in the presence of constant voltage and alternating external field. Due to a two particle interference effect caused by Fermi correlations the noise is sensitive to the phase of the time dependent transmission amplitude. We compute spectral density and show that at T = 0 th...