Related papers: Some explicit formulas for the Brownian bridge, Br…
Several years ago, in the context of the physics of hysteresis in magnetic materials, a simple stochastic model has been introduced: the ABBM model. Later, the ABBM model has been advocated as a paradigm for a broad class of diverse…
We set forth a new method for generating model-agnostic, nonparametric priors for neutron star equation-of-state inference that are stable, causal and thermodynamically consistent by construction. This generalizes Gaussian processes to…
We show in detail some results, outlined in a previous paper regarding the case of Brownian motion (BM), about the distribution of the $n$th-passage time of a one-dimensional diffusion obtained by a space or time transformation of BM,…
A simple explicit construction is provided of a partition-valued fragmentation process whose distribution on partitions of $[n]=\{1,...,n\}$ at time $\theta \ge 0$ is governed by the Ewens sampling formula with parameter $\theta$. These…
We prove an invariance principle for the bridge of a random walk conditioned to stay positive, when the random walk is in the domain of attraction of a stable law, both in the discrete and in the absolutely continuous setting. This includes…
Stochastic differential equations provide a powerful tool for modelling dynamic phenomena affected by random noise. In case of repeated observations of time series for several experimental units, it is often the case that some of the…
We consider $N$ non-intersecting Brownian bridges conditioned to stay below a fixed threshold. We consider a scaling limit where the limit shape is tangential to the threshold. In the large $N$ limit, we determine the limiting distribution…
We propose a novel stochastic method to exactly generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time $t_{f}$. These paths are weighted with a probability given by the overdamped…
Gaussian random fields on finite dimensional smooth manifolds whose variances reach their maximum value at smooth submanifolds are considered. Exact asymptotic behaviors of large excursion probabilities have been evaluated. Vector Gaussian…
We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit…
This study presents a Bayesian spectral density approach for identification and uncertainty quantification of flutter derivatives of bridge sections utilizing buffeting displacement responses, where the wind tunnel test is conducted in…
Height fluctuations are studied in the one-dimensional totally asymmetric simple exclusion process with periodic boundaries, with a focus on how late time relaxation towards the non-equilibrium steady state depends on the initial condition.…
In this paper we discussed the self-adjointness of the Maxwell's equations with variable coefficients $\epsilon$ and $\mu$. Three different Lagrangian are attained. By the Legendre transformation, a multisymplectic Bridge's (Hamilton) form…
We introduce a Poissonization method to study the coalescent structure of uniform samples from branching processes. This method relies on the simple observation that a uniform sample of size $k$ taken from a random set with positive…
We generalize to stochastic dynamics the exact expression for average dissipation along an arbitrary non-equilibrium process, given in Phys. Rev. Lett. 98, 080602 (2007). We then derive lower bounds by various coarse-graining procedures and…
Estimates are constructed for the deviation of the concentration functions of sums of independent random variables with finite variances from the folded normal distribution function without any assumptions concerning the existence of the…
This paper is concerned with the limit laws of the extreme order statistics derived from a symmetric Laplace walk. We provide two different descriptions of the point process of the limiting extreme order statistics: a branching…
We approximate the distribution of the sum of independent but not necessarily identically distributed Bernoulli random variables using a shifted binomial distribution where the three parameters (the number of trials, the probability of…
Consider a negatively drifted one dimensional Brownian motion starting at positive initial position, its first hitting time to 0 has the inverse Gaussian law. Moreover, conditionally on this hitting time, the Brownian motion up to that time…
The proposal and study of dependent prior processes has been a major research focus in the recent Bayesian nonparametric literature. In this paper, we introduce a flexible class of dependent nonparametric priors, investigate their…