Marian Ritsch | Searcharxiv

arXiv2023

Stochastic energy-balance model with a moving ice line

In [SIAM J. Appl. Dyn. Sys., 12(4):2068--2092, 2013], Widiasih proposed and analyzed a deterministic one-dimensional Budyko-Sellers energy-balance model with a moving ice-line. In this paper, we extend this model to the stochastic setting and analyze it within the framework of stochastic slow-fast systems. We derive the dynamics for the ice line in the limit of a small parameter as a solution to a stochastic differential equation. The stochastic approach enables the study of co-existing (metastable) climate states as well as the transition dynamics between them.

math.PR↗

arXiv2019

Drift Estimation for a Lévy-Driven Ornstein-Uhlenbeck Process with Heavy Tails

We consider the problem of estimation of the drift parameter of an ergodic Ornstein--Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on a long time interval $[0,T]$, $T\to\infty$. We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient.

math.ST↗