Related papers: The generalized lognormal distribution and the Sti…
We give (necessary and sufficient) conditions over a sequence $\left\{ f_{n}\right\} _{n=0}^{\infty}$ of functions under which every generalized Stieltjes moment problem \[ \int_{0}^{\infty} f_{n}(x)\phi(x)\mathrm{d} x=a_{n}, \ \ \…
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The instantaneous volatility mean reverts…
The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability of N stochastic variables with Lochner's generalized Dirichlet distribution (R.H. Lochner, A Generalized…
In this paper, we investigate certain combinatorial numbers, the \textit{moment generating Stirling numbers}. They are a special case of Hsu's generalized Stirling numbers and satisfy many more properties and combinatorial identities than…
Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…
We introduce a new class of heavy-tailed distributions for which any weighted average of independent and identically distributed random variables is larger than one such random variable in (usual) stochastic order. We show that many…
We consider the probability theory, and in particular the moment problem and universality theorems, for random groups of the sort of that arise or are conjectured to arise in number theory, and in related situations in topology and…
With the progress of information technology, large amounts of asymmetric, leptokurtic and heavy-tailed data are arising in various fields, such as finance, engineering, genetics and medicine. It is very challenging to model those kinds of…
We study numerically and analytically the moments of the dimensionless level curvature for one-dimensional disordered rings of the circumference L pierced by a magnetic flux. The negative moments of the curvature distribution can be…
Ensemble systems appear frequently in many engineering applications and, as a result, they have become an important research topic in control theory. These systems are best characterized by the evolution of their underlying state…
We present analytical expressions for the time-dependent and stationary probability distributions corresponding to a stochastically perturbed one-dimensional flow with critical points, in two physically relevant situations: delayed…
We consider a more generalized spiked covariance matrix $\Sigma$, which is a general non-definite matrix with the spiked eigenvalues scattered into a few bulks and the largest ones allowed to tend to infinity. By relaxing the matching of…
The truncated multidimensional moment problem is studied in terms of the Stieltjes transform as the interpolation problem. A step-by-step algorithm is constructed for the multidimensional moment problem and the set of solutions is found in…
An equation is obtained for the Stieltjes transform of the normalized distribution of singular values of non-symmetric band random matrices in the limit when the band width and rank of the matrix simultaneously tend to infinity. Conditions…
The family of multivariate skew-normal distributions has many interesting properties. It is shown here that these hold for a general class of skew-elliptical distributions. For this class, several stochastic representations are established…
Stochastic Event Timing is a fundamental issue in developing both analytic and simulation models for stochastic systems. Generalized Erlang distributions are quite useful for generating those random events in a quite general way by…
For a large class of symmetric random matrices with correlated entries, selected from stationary random fields of centered and square integrable variables, we show that the limiting distribution of eigenvalue counting measure always exists…
The geometry of unit $N$-dimensional $\ell_{p}$ balls has been intensively investigated in the past decades. A particular topic of interest has been the study of the asymptotics of their projections. Apart from their intrinsic interest,…
We identify measures arising in the representations of products of generalized Stieltjes transforms as generalized Stieltjes transforms, provide optimal estimates for the size of those measures, and address a similar issue for generalized…
The purpose of the present paper is to establish moment estimates of Rosenthal type for a rather general class of random variables satisfying certain bounds on the cumulants. We consider sequences of random variables which satisfy a central…