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We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage…

Other Condensed Matter · Physics 2008-12-02 Jaume Masoliver , Miquel Montero , Josep Perello

We prove a quenched central limit theorem for balanced random walks in time dependent ergodic random environments which is not necessarily nearest-neigbhor. We assume that the environment satisfies appropriate ergodicity and ellipticity…

Probability · Mathematics 2016-09-06 Jean-Dominique Deuschel , Xiaoqin Guo , Alejandro F. Ramirez

A temporal graph is a graph in which the edge set can change from one time step to the next. The temporal graph exploration problem TEXP is the problem of computing a foremost exploration schedule for a temporal graph, i.e., a temporal walk…

Data Structures and Algorithms · Computer Science 2021-03-17 Thomas Erlebach , Michael Hoffmann , Frank Kammer

Symmetric heavily tailed random walks on $Z^d, d\geq 1,$ are considered. Under appropriate regularity conditions on the tails of the jump distributions, global (i.e., uniform in $x,t, |x|+t\to\infty,$) asymptotic behavior of the transition…

Probability · Mathematics 2016-03-02 A. Agbor , S. Molchanov , B. Vainberg

We consider random variables observed at arrival times of a renewal process, which possibly depends on those observations and has regularly varying steps with infinite mean. Due to the dependence and heavy tailed steps, the limiting…

Probability · Mathematics 2016-08-08 Bojan Basrak , Drago Špoljarić

We introduce the notion of a "random basic walk" on an infinite graph, give numerous examples, list potential applications, and provide detailed comparisons between the random basic walk and existing generalizations of simple random walks.…

Discrete Mathematics · Computer Science 2013-08-06 David White

We study the maximal displacement of branching random walks in a class of time inhomogeneous environments. Specifically, binary branching random walks with Gaussian increments will be considered, where the variances of the increments change…

Probability · Mathematics 2011-12-07 Ofer Zeitouni , Ming Fang

For the one-dimensional telegraph process, we obtain explicit distribution of the occupation time of the positive half-line. The long-term limiting distribution is then derived when the initial location of the process is in the range of…

Probability · Mathematics 2010-07-20 Leonid Bogachev , Nikita Ratanov

In this paper we study the mixing time of the simple random walk on the giant component of supercritical $d$-dimensional random geometric graphs generated by the unit intensity Poisson Point Process in a $d$-dimensional cube of volume $n$.…

Probability · Mathematics 2025-10-24 Marcos Kiwi , Carlos Martinez , Dieter Mitsche

We consider exploration algorithms of the random sequential adsorption type both for homogeneous random graphs and random geometric graphs based on spatial Poisson processes. At each step, a vertex of the graph becomes active and its…

Probability · Mathematics 2017-11-22 Paola Bermolen , Matthieu Jonckheere , Jaron Sanders

We consider a random walk in a random environment (RWRE) on the strip of finite width $\mathbb{Z} \times \{1,2,\ldots,d\}$. We prove both quenched and averaged large deviation principles for the position and the hitting times of the RWRE.…

Probability · Mathematics 2016-06-20 Jonathon Peterson

We show that the expected time for a random walk on a (multi-)graph $G$ to traverse all $m$ edges of $G$, and return to its starting point, is at most $2m^2$; if each edge must be traversed in both directions, the bound is $3m^2$. Both…

Combinatorics · Mathematics 2019-02-20 Agelos Georgakopoulos , Peter Winkler

In this paper, we prove lower and upper bounds for the extinction time of the contact process on random geometric graphs with connecting radius tending to infinity. We obtain that for any infection rate $\lambda >0$, the contact process on…

Probability · Mathematics 2017-07-20 Van Hao Can

We investigate excited random walks on $\Z^d, d\ge 1,$ and on planar strips $\Z\times\{0,1,...,L-1\}$ which have a drift in a given direction. The strength of the drift may depend on a random i.i.d. environment and on the local time of the…

Probability · Mathematics 2007-05-23 Martin P. W. Zerner

A temporal graph $G$ is a sequence $(G_t)_{t \in I}$ of graphs on the same vertex set of size $n$. The \emph{temporal exploration problem} asks for the length of the shortest sequence of vertices that starts at a given vertex, visits every…

Data Structures and Algorithms · Computer Science 2025-12-01 Paul Bastide , Carla Groenland , Lukas Michel , Clément Rambaud

We investigate occupation time statistics for random walks on a comb with ramified teeth. This is achieved through the relation between the occupation time and the first passage times. Statistics of occupation times in half space follows…

Statistical Mechanics · Physics 2014-02-04 Adi Rebenshtok , Eli Barkai

The usual development of the continuous-time random walk (CTRW) proceeds by assuming that the present is one of the jumping times. Under this restrictive assumption integral equations for the propagator and mean escape times have been…

Statistical Finance · Quantitative Finance 2009-07-17 Javier Villarroel , Miquel Montero

This paper studies the on- and off-diagonal upper estimate and the two-sided transition probability estimate of random walks on weighted graphs.

Probability · Mathematics 2008-01-16 Andras Telcs

We consider the extinction time of the contact process on increasing sequences of finite graphs obtained from a variety of random graph models. Under the assumption that the infection rate is above the critical value for the process on the…

Probability · Mathematics 2018-06-13 Bruno Schapira , Daniel Valesin

The $\lambda$-biased random walk on a binary tree of depth $n$ is the continuous-time Markov chain that has unit mean holding times and, when at a vertex other than the root or a leaf of the tree in question, has a probability of jumping to…

Probability · Mathematics 2025-03-05 David A. Croydon
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