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Subordinating a random walk to a renewal process yields a continuous time random walk (CTRW) model for diffusion, including the possibility of anomalous diffusion. Transition densities of scaling limits of power law CTRWs have been shown to…
The crossover among two or more types of diffusive processes represents a vibrant theme in nonequilibrium statistical physics. In this work we propose two models to generate crossovers among different L\'evy processes: in the first model we…
We demonstrate the existence of a "L\'evy system" for the excursions of a one-dimensional diffusion process above its past-minimum process. As applications we provide a direct proof of D. Williams' decomposition (in both a global and a…
Motivated by a capacity allocation problem within a finite planning period, we conduct a transient analysis of a single-server queue with L\'evy input. From a cost minimization perspective, we investigate the error induced by using…
We derive a functional equation for the mean first-passage time (MFPT) of a generic self-similar Markovian continuous process to a target in a one-dimensional domain and obtain its exact solution. We show that the obtained expression of the…
We study the asymptotic tail behaviour of the first-passage time over a moving boundary for asymptotically $\alpha$-stable L\'evy processes with $\alpha<1$. Our main result states that if the left tail of the L\'evy measure is regularly…
A simple lemma bounds $\mathrm{s.d.}(T)/\mathbb{E} T$ for hitting times $T$ in Markov chains with a certain strong monotonicity property. We show how this lemma may be applied to several increasing set-valued processes. Our main result…
Unlike the AWGN (additive white gaussian noise) channel, fading channels suffer from random channel gains besides the additive Gaussian noise. As a result, the instantaneous channel capacity varies randomly along time, which makes it…
We discuss an impact of various (path-wise) reflection-from-the barrier scenarios upon confining properties of a paradigmatic family of symmetric $\alpha $-stable L\'{e}vy processes, whose permanent residence in a finite interval on a line…
On-off intermittency occurs in nonequilibrium physical systems close to bifurcation points and is characterised by an aperiodic switching between a large-amplitude "on" state and a small-amplitude "off" state. L\'evy on-off intermittency is…
We study small time bounds for transition densities of convolution semigroups corresponding to pure jump L\'evy processes in $\mathbb{R}^{d}$, $d \geq 1$, including those with jumping kernels exponentially and subexponentially localized at…
We consider a Markovian approximation, of weak coupling type, to an open system perturbation involving emission, absorption and scattering by reservoir quanta. The result is the general form for a quantum stochastic flow driven by creation,…
In this paper, we analyze the steady state maximum overlap time in the M/M/1 queue. We derive the maximum overlap time tail distribution, its moments and the moment generating function. We also analyze the steady state minimum overlap time…
Consider the single server queue with an infinite buffer and a FIFO discipline, either of type M/M/1 or Geom/Geom/1. Denote by A the arrival process and by s the services. Assume the stability condition to be satisfied. Denote by D the…
Multiserver queueing systems are found at the core of a wide variety of practical systems. Many important multiserver models have a previously-unexplained similarity: identical mean response time behavior is empirically observed in the…
First passage phenomena arise across physics, biology, and finance when stochastic processes first reach a threshold, triggering downstream events. Examples include the irreversible exit from a domain, a biochemical reaction, a financial…
Let (Xt, t >= 0) be a diffusion process with jumps, sum of a Brownian motion with drift and a compound Poisson process. We consider T_x the first hitting time of a fixed level x > 0 by (Xt, t >= 0). We prove that the law of T_x has a…
In this paper we study a spectrally negative L\'evy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus…
We consider the Bouchaud trap model on the integers in the case that the trap distribution has a slowly varying tail at infinity. Our main result is a functional limit theorem for the model under the annealed law, analogous to the…
We study the exact asymptotics for the distribution of the first time $\tau_x$ a L\'evy process $X_t$ crosses a negative level $-x$. We prove that $\mathbf P(\tau_x>t)\sim V(x)\mathbf P(X_t\ge 0)/t$ as $t\to\infty$ for a certain function…