Related papers: On the Frequency of Drawdowns for Brownian Motion …
We study the effects of mobility on two crucial characteristics in multi-scale dynamic networks: percolation and connection times. Our analysis provides insights into the question, to what extent long-time averages are well-approximated by…
The strategy of stochastic resetting is known to expedite the first passage to a target, in diffusive systems. Consequently, the mean first passage time is minimized at an optimal resetting parameter. With Poisson resetting, vanishing…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
Temporally periodic solutions are extracted numerically from forced box turbulence with high symmetry. Since they are unstable to small perturbations, they are not found by forward integration but can be captured by Newton-Raphson…
While it is very common to model diffusion as a random walk by assuming memorylessness of the trajectory and diffusive step lengths, these assumptions can lead to significant errors. This paper describes the extent to which a physical…
Single-particle tracking allows to infer the motion of single molecules in living cells. When we observe a long trajectory (more than 100 points), it is possible that the particle switches mode of motion over time. Then, fitting a single…
We compute the joint distribution of the first times a linear diffusion makes an excursion longer than some given duration above (resp. below) some fixed level. In the literature, such stopping times have been introduced and studied in the…
We develop a stochastic model for Lagrangian velocity as it is observed in experimental and numerical fully developed turbulent flows. We define it as the unique statistically stationary solution of a causal dynamics, given by a stochastic…
Estimating frequency moments of data streams is a very well studied problem and tight bounds are known on the amount of space that is necessary and sufficient when the stream is adversarially ordered. Recently, motivated by various…
We address the question of condensation and extremes for three classes of intimately related stochastic processes: (a) random allocation models and zero-range processes, (b) tied-down renewal processes, (c) free renewal processes. While for…
We propose a generalized perspective on the behavior of high-order derivative moments in turbulent shear flows by taking account of the roles of small-scale intermittency and mean shear, in addition to the Reynolds number. Two asymptotic…
We consider a one-dimensional Brownian motion of fixed duration $T$. Using a path-integral technique, we compute exactly the probability distribution of the difference $\tau=t_{\min}-t_{\max}$ between the time $t_{\min}$ of the global…
We consider a Markov control model in discrete time with countable both state space and action space. Using the value function of a suitable long-run average reward problem, we study various reachability/controllability problems. First, we…
Dripping dynamics has been well studied over the past century and forms a classic example of chaotic system in physics. With an increase in the inlet flow rate, periodic droplet formation from a faucet becomes chaotic in terms of the…
We analyze record-breaking events in time series of continuous random variables that are subsequently discretized by rounding down to integer multiples of a discretization scale $\Delta>0$. Rounding leads to ties of an existing record,…
Graph-limit theory focuses on the convergence of sequences of graphs when the number of nodes becomes arbitrarily large. This framework defines a continuous version of graphs allowing for the study of dynamical systems on very large graphs,…
Continuous Time Random Maxima (CTRM) are a generalization of classical extreme value theory: Instead of observing random events at regular intervals in time, the waiting times between the events are also random variables with arbitrary…
Intermittent large amplitude events are seen in the temporal evolution of a state variable of many dynamical systems. Such intermittent large events suddenly start appearing in dynamical systems at a critical value of a system parameter and…
In this paper, a novel non-parametric method for estimation of expectation and maximum value of the variance function is proposed for recurrent events where intensity of event occurrence changes with the occurrence of each higher order…
We consider the problem of detecting abrupt changes (i.e., large jump discontinuities) in the rate function of a point process. The rate function is assumed to be fully unknown, non-stationary, and may itself be a random process that…