Related papers: On extrema of stable processes

We construct variants of the Riemann zeta function with convenient properties and make conjectures about their dynamics; some of the conjectures are based on an analogy with the dynamical system of zeta. More specifically, we study the…

We consider a strictly stationary sequence of random vectors whose finite-dimensional distributions are jointly regularly varying with some positive index. This class of processes includes, among others, ARMA processes with regularly…

We study uniquely ergodic dynamical systems over locally compact, sigma-compact Abelian groups. We characterize uniform convergence in Wiener/Wintner type ergodic theorems in terms of continuity of the limit. Our results generalize and…

We completely characterize $\Delta$- and local subexponentialities of positive-half compound Poisson distributions and extend the characterization on two-sided distributions. Moreover, $\Delta$-subexponentiality of infinitely divisible…

Solutions of Schr\"oder-Poincar\'e's polynomial equations $f(az)=P(f(z))$ usually do not admit a simple closed-form representation in terms of known standard functions. We show that there is a one-to-one correspondence between zeros of $f$…

Skew-symmetric families of distributions such as the skew-normal and skew-$t$ represent supersets of the normal and $t$ distributions, and they exhibit richer classes of extremal behaviour. By defining a non-stationary skew-normal process,…

In this paper we delve into some important properties of probability distributions of the power type in order to provide some answers to questions recently raised in the literature. More precisely, we focus on the properties of maximizers…

We show that two classically known properties of positive supersolutions of uniformly elliptic PDEs, the boundary point principle (Hopf lemma) and global integrability, can be quantified with respect to each other. We obtain an extension to…

Kappa-distributed velocities in plasmas are common in a wide variety of settings, from low-density to high-density plasmas. To date, they have been found mainly in space plasmas, but are recently being considered also in the modelling of…

This paper is devoted to study the sharp Moser-Trudinger type inequalities in whole space $\mathbb R^N$, $N \geq 2$ in more general case. We first compute explicitly the \emph{normalized vanishing limit} and the \emph{normalized…

We suggest new closely related methods for numerical inversion of $Z$-transform and Wiener-Hopf factorization of functions on the unit circle, based on sinh-deformations of the contours of integration, corresponding changes of variables and…

Recently it has been shown that the $\alpha$-Sun density $h(x)$ [{\it J. Math. Anal. Appl.}, {\bf 527} (2023), p. 127371] which interpolates between the Fr{\'e}chet density and that of the positive, stable distributions whose density is…

In this paper, we extend recent work on the functions that we call Bernstein-gamma to the class of bivariate Bernstein-gamma functions. In the more general bivariate setting, we determine Stirling-type asymptotic bounds which generalise,…

The Lamperti--Kiu transformation for real-valued self-similar Markov processes (rssMp) states that, associated to each rssMp via a space-time transformation, there is a Markov additive process (MAP). In the case that the rssMp is taken to…

The aim of this paper is to establish the uniform convergence of the densities of a sequence of random variables, which are functionals of an underlying Gaussian process, to a normal density. Precise estimates for the uniform distance are…

This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the case of finite time-homogeneous Markov chains. Since then,…

We prove a Bennett-type concentration bound for suprema of empirical processes based on sampling without replacement and a corresponding bound in the case of an arbitrary Hoeffding statistics. We improve on the previous results of such…

If $X$ is a stable process of index $\alpha\in(0,2)$ whose L\'{e}vy measure has density $cx^{-\alpha-1}$ on $(0,\infty)$, and $S_1=\sup_{0<t\leq1}X_t$, it is known that $P(S_1>x)\backsim A\alpha ^{-1}x^{-\alpha}$ as $x\to\infty$ and…

The delta method creates more general inference results when coupled with central limit theorem results for the finite population. This opens up a range of new estimators for which we can find finite population asymptotic properties. We…

In this paper, we study the asymptotic behavior of supremum distribution of some classes of iterated stochastic processes $\{X(Y(t)) : t \in [0, \infty)\}$, where $\{X(t) : t \in \mathbb{R} \}$ is a centered Gaussian process and $\{Y(t): t…