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We consider a generalization of the variance-gamma (generalized asymmetric Laplace) distribution, defined as a normal mean - variance mixture with a gamma mixing distribution. While this model is typically studied in the univariate setting,…

An invariant ensemble of $N\times N$ random matrices can be characterised by a joint distribution for eigenvalues $P(\lambda_1,\cdots,\lambda_N)$. The study of the distribution of linear statistics, i.e. of quantities of the form…

Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the ratio $X/Y$ is derived. Some basic distributional properties are also derived, including…

In this manuscript, we study the limiting distribution for the joint law of the largest and the smallest singular values for random circulant matrices with generating sequence given by independent and identically distributed random elements…

Given $n$ independent random marked $d$-vectors (points) $X_i$ distributed with a common density, define the measure $\nu_n=\sum_i\xi_i$, where $\xi_i$ is a measure (not necessarily a point measure) which stabilizes; this means that $\xi_i$…

We study the ergodic behaviour of a discrete-time process $X$ which is a Markov chain in a stationary random environment. The laws of $X_t$ are shown to converge to a limiting law in (weighted) total variation distance as $t\to\infty$.…

We present general principles underlying analysis of the dependence of random variables (outputs) on deterministic conditions (inputs). Random outputs recorded under mutually exclusive input values are labeled by these values and considered…

We show first that there are intrinsic relationships among different conditions, old and recent, which lead to some general statements in both the Stieltjes and the Hamburger moment problems. Then we describe checkable conditions and prove…

We consider a stochastic conservation law on the line with solution-dependent diffusivity, a super-linear, sub-quadratic Hamiltonian, and smooth, spatially-homogeneous kick-type random forcing. We show that this Markov process admits a…

In this paper, the joint distribution of the sum and maximum of independent, not necessarily identically distributed, nonnegative random variables is studied for two cases: i) continuous and ii) discrete random variables. First, a recursive…

We give the distribution of $M_n$, the maximum of a sequence of $n$ observations from a moving average of order 1. Solutions are first given in terms of repeated integrals and then for the case where the underlying independent random…

Let ${\mathcal A}$ be the ${\mathcal L}^q-$functional of a stable L\'evy process starting from one and killed when crossing zero. We observe that ${\mathcal A}$ can be represented as the independent quotient of two infinite products of…

With a sequence of regressions, one may generate joint probability distributions. One starts with a joint, marginal distribution of context variables having possibly a concentration graph structure and continues with an ordered sequence of…

We define a de Bruijn process with parameters n and L as a certain continuous-time Markov chain on the de Bruijn graph with words of length L over an n-letter alphabet as vertices. We determine explicitly its steady state distribution and…

The Random Wave Conjecture of M. V. Berry is the heuristic that eigenfunctions of a classically chaotic system should behave like Gaussian random fields, in the large eigenvalue limit. In this work we collect some definitions and properties…

We prove that if $X,Y$ are positive, independent, non-Dirac random variables and if for $\alpha,\beta\ge 0$, $\alpha\neq \beta$, $$ \psi_{\alpha,\beta}(x,y)=\left(y\,\tfrac{1+\beta(x+y)}{1+\alpha x+\beta…

We study a class of random matrices that appear in several communication and signal processing applications, and whose asymptotic eigenvalue distribution is closely related to the reconstruction error of an irregularly sampled bandlimited…

In contrast to the study of Langevin equations in a homogeneous environment in the literature, the study on Langevin equations in randomly-varying environments is relatively scarce. Almost all the existing works require random environments…

Markovian growth-fragmentation processes introduced by Bertoin model a system of growing and splitting cells in which the size of a typical cell evolves as a Markov process $X$ without positive jumps. We find that two growth-fragmentation…

Let $\Omega_p$ be the group of $p$-adic numbers, $ \xi_1$, $\xi_2$, $\xi_3$ be independent random variables with values in $\Omega_p$ and distributions $\mu_1$, $\mu_2$, $\mu_3$. Let $\alpha_j, \beta_j, \gamma_j$ be topological…