Related papers: Correlated Random Walks and the Joint Survival Pro…
We introduce planar random walk conditioned to avoid its past convex hull, and we show that it escapes at a positive limsup speed. Experimental results show that fluctuations from a limiting direction are on the order of n^(3/4). This…
The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that…
A novel version of the Continuous-Time Random Walk (CTRW) model with memory is developed. This memory means the dependence between arbitrary number of successive jumps of the process, while waiting times between jumps are considered as…
In this paper, we explore the reduction of functionality in a complex system as a consequence of cumulative random damage and imperfect reparation, a phenomenon modeled as a dynamical process on networks. We analyze the global…
We investigate random walks on complex networks and derive an exact expression for the mean first passage time (MFPT) between two nodes. We introduce for each node the random walk centrality $C$, which is the ratio between its coordination…
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and its default causes instantaneous losses…
A random walk with counterbalanced steps is a process of partial sums $\check S(n)=\check X_1+ \cdots + \check X_n$ whose steps $\check X_n$ are given recursively as follows. For each $n\geq 2$, with a fixed probability $p$, $\check X_n$ is…
This study deals with polymer looping, an important process in many chemical and biological systems. We investigate basic questions on the looping dynamics of a polymer under tension using the freely-jointed chain (FJC) model. Previous…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…
Standard continuous time random walk (CTRW) models are renewal processes in the sense that at each jump a new, independent pair of jump length and waiting time are chosen. Globally, anomalous diffusion emerges through action of the…
We consider a branching random walk in a random space-time environment of disasters where each particle is killed when meeting a disaster. This extends the model of the "random walk in a disastrous random environment" introduced by [15]. We…
We consider a random walk among a Poisson system of moving traps on ${\mathbb Z}$. In earlier work [DGRS12], the quenched and annealed survival probabilities of this random walk have been investigated. Here we study the path of the random…
We consider the critical branching processes in correlated random environment which is positively associated and study the probability of survival up to the n-th generation. Moreover, when the environment is given by fractional Brownian…
Credit risk assessment is a crucial aspect of financial decision-making, enabling institutions to predict the likelihood of default and make informed lending decisions. Two prominent methodologies in credit risk modeling are logistic…
We present a new method to compute the first crossing distribution in excursion set theory for the case of correlated random walks. We use a combination of the path integral formalism of Maggiore & Riotto, and the integral equation solution…
We consider a bivariate Cramer-Lundberg-type risk reserve process with the special feature that each insurance company agrees to cover the deficit of the other. It is assumed that the capital transfers between the companies are…
The elephant random walk (ERW) is a microscopic, one-dimensional, discrete-time, non-Markovian random walk, which can lead to anomalous diffusion due to memory effects. In this study, I propose a multi-dimensional generalization in which…
While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to…
A framework for quantifying dependence between random vectors is introduced. With the notion of a collapsing function, random vectors are summarized by single random variables, called collapsed random variables in the framework. Using this…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…