Related papers: Gaussian Fluid Queue with Autocorrelated Input
Continuous time random walks impose a random waiting time before each particle jump. Scaling limits of heavy tailed continuous time random walks are governed by fractional evolution equations. Space-fractional derivatives describe heavy…
This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covariance function is obtained. Similarly, the correlation and…
This paper is concerned with the study of the embedding circulant matrix method to simulate stationary complex-valued Gaussian sequences. The method is, in particular, shown to be well-suited to generate circularly-symmetric stationary…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
This article is devoted to some time-changed stochastic models based on multivariate stable processes. The considered models have several advantages in comparison with classical time-changed Brownian motions - for instance, it turns out…
Brownian motion whose infinitesimal variance changes according to a three-state continuous time Markov Chain is studied. This Markov Chain can be viewed as a telegraph process with one on state and two off states. We first derive the…
A new vehicular traffic flow model based on a stochastic jump process in vehicle acceleration and braking is introduced. It is based on a master equation for the single car probability density in space, velocity and acceleration with an…
We study a class of graphs that represent local independence structures in stochastic processes allowing for correlated error processes. Several graphs may encode the same local independencies and we characterize such equivalence classes of…
We present a derivation from first principles of the coupled equations of motion of an active self-diffusiophoretic Janus motor and the hydrodynamic densities of its fluid environment that are nonlinearly displaced from equilibrium. The…
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior…
We study rates of convergence in central limit theorems for partial sum of functionals of general stationary and non-stationary Gaussian sequences, using optimal tools from analysis on Wiener space. We apply our result to study drift…
We introduce a statistical mechanics formalism for the study of constrained graph evolution as a Markovian stochastic process, in analogy with that available for spin systems, deriving its basic properties and highlighting the role of the…
In the present paper, we consider that $N$ diffusion processes $X^1,\dots,X^N$ are observed on $[0,T]$, where $T$ is fixed and $N$ grows to infinity. Contrary to most of the recent works, we no longer assume that the processes are…
Fractional Brownian motion is a Gaussian stochastic process with long-range correlations in time; it has been shown to be a useful model of anomalous diffusion. Here, we investigate the effects of mutual interactions in an ensemble of…
This paper explores stochastic modeling approaches to elucidate the intricate dynamics of stock prices and volatility in financial markets. Beginning with an overview of Brownian motion and its historical significance in finance, we delve…
Queueing theory is used for modeling biological processes, traffic flows and many more real-life situations. Beyond that, queues describe systems out of equilibrium and can thus be considered as minimal models of non-equilibrium statistical…
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order…
We study the persistence probability for processes with stationary increments. Our results apply to a number of examples: sums of stationary correlated random variables whose scaling limit is fractional Brownian motion, random walks in…
A Markov process fluctuating away from its typical behavior can be represented in the long-time limit by another Markov process, called the effective or driven process, having the same stationary states as the original process conditioned…
We develop efficient numerical methods for performing many-body Brownian dynamics simulations of a recently-observed fingering instability in an active suspension of colloidal rollers sedimented above a wall [M. Driscoll, B. Delmotte, M.…