Related papers: Asymptotic Mean Time To Failure and Higher Moments…
We propose a method for determining the most likely cause, in terms of conventional generator outages and renewable fluctuations, of power system frequency reaching a predetermined level that is deemed unacceptable to the system operator.…
Consider a system consisting of multiple sockets into each of which a component is inserted. If a component fails, it is replaced immediately and system operation resumes. Then the failure process of the system is the superposition of…
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…
We consider the problem of guessing the realization of a random variable but under more general Tsallis' non-extensive entropic framework rather than the classical Maxwell-Boltzman-Gibbs-Shannon framework. We consider both the conditional…
We study the dynamics of the normal implied volatility in a local volatility model, using a small-time expansion in powers of maturity T. At leading order in this expansion, the asymptotics of the normal implied volatility is similar, up to…
Prior asymptotic performance analyses are based on the series expansion of the moment-generating function (MGF) or the probability density function (PDF) of channel coefficients. However, these techniques fail for lognormal fading channels…
We investigate asymptotic inference in a linear regression model where both response and regressors are functions, using an estimator based on functional principal components analysis. Although this approach is widely used in functional…
The Fluctuation Relation (FR) is an asymptotic result on the distribution of certain observables averaged over time intervals T as T goes to infinity and it is a generalization of the fluctuation--dissipation theorem to far from equilibrium…
In the framework of time series analysis with recurrence networks, we introduce a self-adaptive method that determines the elusive recurrence threshold and identifies metastable states in complex real-world time series. As initial step, we…
We derive asymptotics of moments and identify limiting distributions, under the random permutation model on m-ary search trees, for functionals that satisfy recurrence relations of a simple additive form. Many important functionals…
Here we introduce the idea of using rational expectations, a core concept in economics and finance, as a tool to predict the optimal failure time for a wide class of weighted k-out-of-n reliability systems. We illustrate the concept by…
This paper proposes a new extension of the linear failure rate (LFR) model to better capture real-world lifetime data. The model incorporates an additional shape parameter to increase flexibility. It helps model the minimum survival time…
The large-time asymptotics of weak solutions to Maxwell--Stefan diffusion systems for chemically reacting fluids with different molar masses and reversible reactions are investigated. The diffusion matrix of the system is generally neither…
Lyapunov exponents characterize the chaotic nature of dynamical systems by quantifying the growth rate of uncertainty associated with the imperfect measurement of initial conditions. Finite-time estimates of the exponent, however,…
We consider a Generalised Jackson Network with finitely many servers, a renewal input and $i.i.d.$ service times at each queue. We assume the network to be stable and, in addition, the distribution of the inter-arrival times to have…
Based on a martingale theory approach, we present a complete characterization of the asymptotic behaviour of a lazy reinforced random walk (LRRW) which shows three different regimes (diffusive, critical and superdiffusive). This allows us…
Strong anomalous diffusion is {often} characterized by a piecewise-linear spectrum of the moments of displacement. The spectrum is characterized by slopes $\xi$ and $\zeta$ for small and large moments, respectively, and by the critical…
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…
The hitting and mixing times are two fundamental quantities associated with Markov chains. In Peres and Sousi[PS2015] and Oliveira[Oli2012], the authors show that the mixing times and "worst-case" hitting times of reversible Markov chains…
We prove that certain asymptotic moments exist for some random distance expanding dynamical systems and Markov chains in random dynamical environment, and compute them in terms of the derivatives at the $0$ of an appropriate pressure…