Related papers: Gumbel distribution in exit problems

This paper investigates the exit-time problem for time-inhomogeneous diffusion processes. The focus is on the small-noise behavior of the exit time from a bounded positively invariant domain. We demonstrate that, when the drift and…

Rare events in the first-passage distributions of jump processes are capable of triggering anomalous reactions or series of events. Estimating their probability is particularly important when the jump probabilities have broad-tailed…

We consider a basic one-dimensional model of diffusion which allows to obtain a diversity of diffusive regimes whose speed depends on the moments of the per-site trapping time. This model is closely related to the continuous time random…

Let $K_n$ denote the number of distinct values among the first $n$ terms of an infinite exchangeable sequence of random variables $(X_1,X_2,\ldots)$. We prove for $n=3$ that the extreme points of the convex set of all possible laws of $K_3$…

We address the extreme value problem of a one-dimensional dynamical system approaching a fixed target while constrained to avoid a fixed set which can be thought of as a small hole. The presence of the latter influences the extremal index…

This study provides a summary of the theory which enables the analysis of extreme values, i.e., of measurements acquired from the observation of extraordinary/rare physical phenomena. The formalism is developed in a transparent way,…

The low temperature physics of disordered systems is governed by the statistics of extremely low energy states. It is thus rather important to discuss the possible universality classes for extreme value statistics. We compare the usual…

In recent years some near-optimal estimates have been established for certain sum-product type estimates. This paper gives some first extremal results which provide information about when these bounds may or may not be tight. The main tool…

In this work, we deal with extreme value theory in the context of continued fractions using techniques from probability theory, ergodic theory and real analysis. We give an upper bound for the rate of convergence in the Doeblin-Iosifescu…

We investigate the limiting distribution of geometric Brownian motion conditional on its running maximum taking large values. We show that the conditional distribution of the geometric Brownian motion converges after a suitable…

We prove that multidimensional diffusions in random environment have a limiting velocity which takes at most two different values. Further, in the two-dimensional case we show that for any direction, the probability to escape to infinity in…

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…

A new unimodal distribution family indexed by the mode and three other parameters is derived from a mixture of a Gumbel distribution for the maximum and a Gumbel distribution for the minimum. Properties of the proposed distribution are…

We study time reversal, last passage time, and $h$-transform of linear diffusions. For general diffusions with killing, we obtain the probability density of the last passage time to an arbitrary level and analyze the distribution of the…

We examine diffusion-limited aggregation for a one-dimensional random walk with long jumps. We achieve upper and lower bounds on the growth rate of the aggregate as a function of the number of moments a single step of the walk has. In this…

We examine initial-boundary value problems for diffusion equations with distributed order time-fractional derivatives. We prove existence and uniqueness results for the weak solution to these systems, together with its continuous dependency…

It is well-known that the expected scaled maximum of non-negative random variables with unit mean defines a stable tail dependence function associated with some extreme-value copula. In the special case when these random variables are…

Two old conjectures from problem sections, one of which from SIAM Review, concern the question of finding distributions that maximize P(Sn <= t), where Sn is the sum of i.i.d. random variables X1, ..., Xn on the interval [0,1], satisfying…

The paper proposes another extension of the extremal principle. A new extremality model involving collections of arbitrary families of sets is studied. It generalizes the conventional model based on linear translations of given sets as well…

In this paper, we rigorously establish the Gumbel-distributed fluctuations of the cover time, normalized by the mean first passage time, for finite-range, symmetric, irreducible random walks on a torus of dimension three or higher. This has…