Related papers: Max-stable processes and the functional D-norm rev…

In this paper, we develop a functional differentiability approach for solving statistical optimal allocation problems. We derive Hadamard differentiability of the value functions through analyzing the properties of the sorting operator…

Environmental data science for spatial extremes has traditionally relied heavily on max-stable processes. Even though the popularity of these models has perhaps peaked with statisticians, they are still perceived and considered as the…

We consider processes that coincide with a given diffusion process outside a finite collection of domains. In each of the domains, there is, additionally, a large drift directed towards the interior of the domain. We describe the limiting…

We study non-stationary stochastic processes arising from sequential dynamical systems built on maps with a neutral fixed points and prove the existence of Extreme Value Laws for such processes. We use an approach developed in \cite{FFV16},…

Max-stable random sketches can be computed efficiently on fast streaming positive data sets by using only sequential access to the data. They can be used to answer point and Lp-norm queries for the signal. There is an intriguing connection…

We provide formulas to compute the coefficients entering the affine scaling needed to get a non-degenerate function for the asymptotic distribution of the maxima of some kind of observable computed along the orbit of a randomly perturbed…

In this article, we quantify the functional convergence of the rescaled random walk with heavy tails to a stable process.This generalizes the Generalized Central Limit Theorem for stable random variables infinite dimension. We show that…

We study the asymptotic behaviour near extinction of positive solutions of the Cauchy problem for the fast diffusion equation with a subcritical exponent. We show that separable solutions are stable in some suitable sense by finding a class…

We analyze stability properties of monotone nonlinear systems via max-separable Lyapunov functions, motivated by the following observations: first, recent results have shown that asymptotic stability of a monotone nonlinear system implies…

Stable distribution is one of the attractive models that well describes fat-tail behaviors and scaling phenomena in various scientific fields. The approach based upon the method of moments yields a simple procedure for estimating stable law…

Let $(X_1, \xi_1), (X_2,\xi_2),\ldots$ be i.i.d.~copies of a pair $(X,\xi)$ where $X$ is a random process with paths in the Skorokhod space $D[0,\infty)$ and $\xi$ is a positive random variable. Define $S_k := \xi_1+\ldots+\xi_k$, $k \in…

We develop a system-theoretic framework for the structured analysis of distributed optimization algorithms with decomposable cost functions. We model such algorithms as a network of interacting dynamical systems and derive tests for…

Let $L$ be the Euclidean functional with $p$-th power-weighted edges. Examples include the sum of the $p$-th power-weighted lengths of the edges in minimal spanning trees, traveling salesman tours, and minimal matchings. Motivated by the…

We study existence and uniqueness of the fixed points solutions of a large class of non-linear variable discounted transfer operators associated to a sequential decision-making process. We establish regularity properties of these solutions,…

We expose some selected topics concerning the instability of the action variables in a priori unstable Hamiltonian systems, and outline a new strategy that may allow to apply these methods to a priori stable systems.

Consider $n$ i.i.d. random elements on $C[0,1]$. We show that, under an appropriate strengthening of the domain of attraction condition, natural estimators of the extreme-value index, which is now a continuous function, and the normalizing…

Monte Carlo simulations of a system whose action has an imaginary part are considered to be extremely difficult. We propose a new approach to this `complex-action problem', which utilizes a factorization property of distribution functions.…

Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…

Time-irreversible stochastic processes are frequently used in natural sciences to explain non-equilibrium phenomena and to design efficient stochastic algorithms. Our main goal in this thesis is to analyse their dynamics by means of large…

For a strictly stationary sequence of $\mathbb{R}_{+}^{d}$--valued random vectors we derive functional convergence of partial maxima stochastic processes under joint regular variation and weak dependence conditions. The limit process is an…