Related papers: L\'evy systems and moment formulas for mixed Poiss…
We report on a considerable improvement in the technique of measuring multiparticle correlations via integrals over correlation functions. A modification of measures used in the characterization of chaotic dynamical sytems permits fast and…
We describe spatio-temporal random processes using linear mixed models. We show how many commonly used models can be viewed as special cases of this general framework and pay close attention to models with separable or product-sum…
We provide a simple algorithm for construction of Brownian paths approximating those of a L\'evy process on a finite time interval. It requires knowledge of the L\'evy process trajectory on a chosen regular grid and the law of its endpoint,…
A new class of dependent random measures which we call {\it compound random measures} are proposed and the use of normalized versions of these random measures as priors in Bayesian nonparametric mixture models is considered. Their…
Our goal is to estimate the characteristic exponent of the input to a L\'evy-driven storage system from a sample of equispaced workload observations. The estimator relies on an approximate moment equation associated with the…
In the paper we study the models of time-changed Poisson and Skellam-type processes, where the role of time is played by compound Poisson-Gamma subordinators and their inverse (or first passage time) processes. We obtain explicitly the…
Embedded random matrix ensembles with $k$-body interactions are well established to be appropriate for many quantum systems. For these ensemble the two point correlation function is not yet derived though these ensembles are introduced 50…
We consider random variables of the form $F=f(V_1,...,V_n)$, where $f$ is a smooth function and $V_i,i\in\mathbb{N}$, are random variables with absolutely continuous law $p_i(y) dy$. We assume that $p_i$, $i=1,...,n$, are piecewise…
We consider additive functionals of systems of random measures whose initial configuration is given by a Poisson point process, and whose individual components evolve according to arbitrary Markovian or non-Markovian measure valued…
Pricing of the lookback options using the Clark-Ocone formula for the underlying assets driven by stochastic L\'evy processes requires computing the Malliavin derivatives of their maximum or minimum on the Wiener-Poisson space and their…
This paper gives a PDE for multi-time joint probability of the Airy process, which generalizes Adler and van Moerbeke's result on the 2-time case. As an intermediate step, the PDE for the multi-time joint probability of the Dyson Brownian…
In this paper we study the problem of statistical inference for a continuous-time moving average L\'evy process of the form $$Z_{t} = \int_{\mathbb{R}}\mathcal{K}(t-s)\, dL_{s},\quad t\in\mathbb{R}$$ with a deterministic kernel (\K\) and a…
Multiple Mellin-Barnes integrals are often used for perturbative calculations in particle physics. In this context, the evaluation of such objects may be performed through residues calculations which lead to their expression as multiple…
Analytical and numerical studies on many-body stochastic processes with multiplicative interactions are reviewed. The method of moment relations is used to investigate effects of asymmetry and randomness in interactions. Probability…
Partial differential equations (PDE) on manifolds arise in many areas, including mathematics and many applied fields. Among all kinds of PDEs, the Poisson-type equations including the standard Poisson equation and the related eigenproblem…
In this paper we consider an equilibrium last-passage percolation model on an environment given by a compound two-dimensional Poisson process. We prove an $\LL^2$-formula relating the initial measure with the last-passage percolation time.…
Instrumental variable methods are often used for parameter estimation in the presence of confounding. They can also be applied in stochastic processes. Instrumental variable analysis exploits moment equations to obtain estimators for causal…
The Vlasov-Poisson-Boltzmann system is often used to govern the motion of plasmas consisting of electrons and ions with disparate masses when collisions of charged particles are described by the two-component Boltzmann collision operator.…
The aim of this note is to give an alternative construction of interlacements - as introduced by Sznitman - which makes use of classical probabilistic potential theory. In particular, we outline that the intensity measure of an…
We propose a new method to apply the Lipschitz functional calculus of local Dirichlet forms to Poisson random measures.