Related papers: A new approach to fluctuations of reflected L\'{e}…
We consider a new method of the semiparametric statistical estimation for the continuous-time moving average L\'evy processes. We derive the convergence rates of the proposed estimators, and show that these rates are optimal in the minimax…
The Continuous Time Random Walk (CTRW) formalism is used to model the non-Poisson relaxation of a system response to perturbation. Two mechanisms to perturb the system are analyzed: a first in which the perturbation, seen as a potential…
The diffusion of a walk in the presence of traps is investigated. Different diffusion regimes are obtained considering the magnitude of the fluctuations in waiting times and jump distances. A constant velocity during the jump motion is…
This article traces the development of fluctuation theory and its deep connection to irreversibility, from equilibrium to near-equilibrium, and finally to far-from-equilibrium systems. Classical fluctuation theorems, which capture the…
We discuss how the different estimates of elliptic flow are influenced by flow fluctuations and nonflow effects. It is explained why the event-plane method yields estimates between the two-particle correlation methods and the multiparticle…
We provide integral formulae for the Laplace transform of the entrance law of the reflected excursions for symmetric L\'evy processes in terms of their characteristic exponent. For subordinate Brownian motions and stable processes we…
In this paper we consider the one-dimensional, biased, randomly trapped random walk when the trapping times have infinite variance. We prove sufficient conditions for the suitably scaled walk to converge to a transformation of a stable…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
Fluctuation theorems make use of time reversal to make predictions about entropy production in many-body systems far from thermal equilibrium. Here we review the wide variety of distinct, but interconnected, relations that have been derived…
In the literature the empirical characteristic function method is presented as an off-line identification method. While the results of the off-line methods are attractive, the proposed algorithms are ill-conditioned in many cases so that…
In this paper we analyze the transient behavior of the workload process in a L\'evy input queue. We are interested in the value of the workload process at a random epoch; this epoch is distributed as the sum of independent exponential…
The study of distributed order calculus usually concerns about fractional derivatives of the form $\int_0^1 \partial^\alpha u \, m(d\alpha)$ for some measure $m$, eventually a probability measure. In this paper an approach based on L\'evy…
The main purpose of this chapter is to present some theoretical aspects of parametric estimation of L\'evy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of…
We study fluctuations in diffusion-limited reaction systems driven out of their stationary state. Using a numerically exact method, we investigate fluctuation ratios in various systems which differ by their level of violation of microscopic…
We examine classical, transient fluctuation theorems within the unifying framework of Langevin dynamics. We explicitly distinguish between the effects of non-conservative forces that violate detailed balance, and non-autonomous dynamics…
Understanding how systems respond to external perturbations is a fundamental challenge in physics, particularly for non-equilibrium and non-stationary processes. The fluctuation-dissipation theorem provides a complete framework for…
The paper introduces a simple way of recording and manipulating general stochastic processes without explicit reference to a probability measure. In the new calculus, operations traditionally presented in a measure-specific way are instead…
The L\'evy, jumping process, defined in terms of the jumping size distribution and the waiting time distribution, is considered. The jumping rate depends on the process value. The fractional diffusion equation, which contains the variable…
In this paper we consider a general L\'{e}vy process $X$ reflected at downward periodic barrier $A_t$ and constant upper barrier $K$ giving a process $V^K_t=X_t+L^A_t-L^K_t$. We find the expression for a loss rate defined by $l^K=\mathbb{E}…
Continuous time random walks combining diffusive and ballistic regimes are introduced to describe a class of L\'evy walks on lattices. By including exponentially-distributed waiting times separating the successive jump events of a walker,…