Related papers: Distribution Function of Markovian Random Evolutio…
In this paper we study an asymptotic expansion for the distribution of a random motion of a particle driven by a Markov process in diffusion approximation. We show that the singularly perturbed equation of a Markovian random motion can be…
Two series representations of the characteristic function of the multidimensional symmetric Markov random flight with respect to Bessel functions and with respect to time variable, are given. Asymptotic formula for the second mixed moment…
Classical diffusion in a random medium involves an exponential functional of Brownian motion. This functional also appears in the study of Brownian diffusion on a Riemann surface of constant negative curvature. We analyse in detail this…
Distribution functions for random variables that depend on a parameter are computed asymptotically for ensembles of positive Hermitian matrices. The inverse Fourier transform of the distribution is shown to be a Fredholm determinant of a…
A study of time homogeneous, real valued Markov processes with a special property and a non-atomic initial distribution is provided. The new notion of a function of evolution of distribution which determines the dependency between one…
The aim of this paper is to study the mixture of the Riesz distribution on symmetric matrices with respect to the multivariate Poisson distribution. We show, in particular, that this distribution is related to the modified Bessel function…
A branching process in a Markovian environment consists of an irreducible Markov chain on a set of "environments" together with an offspring distribution for each environment. At each time step the chain transitions to a new random…
This paper addresses the problem of regularity properties of functions represented as an expansion in a wavelet basis with random coefficients in terms of finiteness of their Besov norm with probability 1. Such representations are used to…
Let A be a finite set and X a sequence of A-valued random variables. We do not assume any particular correlation structure between these random variables; in particular, X may be a non-Markovian sequence. An adapted embedding of X is a…
We study Markovian symmetry and non-symmetry random evolutions in $\mathbf{R}^n$. Weak convergence of Markovian symmetry random evolution to Wiener process and of Markovian non-symmetry random evolution to a diffusion process with drift is…
Karlin and Altschul in their statistical analysis for multiple high-scoring segments in molecular sequences introduced a distribution function which gives the probability there are at least r distinct and consistently ordered segment pairs…
We consider the evolution of populations under the joint action of mutation and differential reproduction, or selection. The population is modelled as a finite-type Markov branching process in continuous time, and the associated…
We give the cumulative distribution function of $M_n$, the maximum of a sequence of $n$ observations from an ARMA(1, 1) process. Solutions are first given in terms of repeated integrals and then for the case, where the underlying random…
The density distribution function of the integral of the exponential Brownian motion is determined explicitly in the form of a rapidly convergent series.
We provide sharp estimates for the distribution function of a martingale transform of the indicator function of an event. They are formulated in terms of Burkholder functions, which are reduced to the already known Bellman functions for…
We obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From…
We introduce a single generative mechanism with which it is able to describe diverse non-stationary diffusions. A non-stationary Markovian replication process for steps is considered, for which we analytically derive time-evolution of the…
We consider very general "random integers" and (attempt to) prove that many multiplicative and additive functions of such integers have limiting distributions. These integers include, for instance, the curvatures of Apollonian circle…
We obtain integral representations of the $n$-th derivatives of the Bessel functions with respect to the order. The numerical evaluation of these expressions is very efficient using a double exponential integration strategy. Also, from the…
Consider the following mechanism for the random evolution of a distribution of mass on the integer lattice ${\mathbf{Z}}$. At unit rate, independently for each site, the mass at the site is split into two parts by choosing a random…