Related papers: Series Representation of Time-Stable Stochastic Pr…

The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…

We study a class of stochastic processes of the type $\frac{d^n x}{dt^n}= v_0\, \sigma(t)$ where $n>0$ is a positive integer and $\sigma(t)=\pm 1$ represents an `active' telegraphic noise that flips from one state to the other with a…

In the paper we consider an interesting possibility of a time as a stochastic process in quantum mechanics.In order to do it we reconsider time as a mechanical quantity in classical mechanics and afterwards we quantize it. We consider…

We study stationary stable processes related to periodic and cyclic flows in the sense of Rosinski [Ann. Probab. 23 (1995) 1163-1187]. These processes are not ergodic. We provide their canonical representations, consider examples and show…

Assume that a stochastic processes can be approximated, when some scale parameter gets large, by a fluid limit (also called "mean field limit", or "hydrodynamic limit"). A common practice, often called the "fixed point approximation"…

Stochastic processes wherein the size of the state space is changing as a function of time offer models for the emergence of scale-invariant features observed in complex systems. I consider such a sample-space reducing (SSR) stochastic…

The accurate estimation of scaling exponents is central in the observational study of scale-invariant phenomena. Natural systems unavoidably provide observations over restricted intervals; consequently a stationary stochastic process (time…

We study continuous processes indexed by a special family of graphs. Processes indexed by vertices of graphs are known as probabilistic graphical models. Burdzy and Pal in their paper proposed a continuous version of graphical models --…

The stability of solutions to evolution equations with respect to small stochastic perturbations is considered. The stability of a stochastic dynamical system is characterized by the local stability index. The limit of this index with…

Using the LePage representation, a strictly stable random element in a Banach space with $\alpha\in(0,2)$ can be represented as a sum of points of a Poisson process. This point process is union-stable, i.e. the union of its two independent…

We study long-range interacting systems driven by external stochastic forces that act collectively on all the particles constituting the system. Such a scenario is frequently encountered in the context of plasmas, self-gravitating systems,…

We consider the problem of tracking an unstable stochastic process $X_t$ by using causal knowledge of another stochastic process $Y_t$. We obtain necessary conditions and sufficient conditions for maintaining a finite tracking error. We…

We present an approximate calculation for the distribution of the maximum of a smooth stationary temporal signal X(t). As an application, we compute the persistence exponent associated to the probability that the process remains below a…

The space-fractional and the time-fractional Poisson processes are two well-known models of fractional evolution. They can be constructed as standard Poisson processes with the time variable replaced by a stable subordinator and its…

This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…

A real harmonizable multifractional stable process is defined, its H\"older continuity and localizability are proved. The existence of local time is shown and its regularity is established.

Applications of stochastic models often involve the evaluation of steady-state performance, which requires solving a set of balance equations. In most cases of interest, the number of equations is infinite or even uncountable. As a result,…

In this paper, we simulate sample paths of a class of symmetric $\alpha$-stable processes using their series expression. We will develop a result in the approximation of shot-noise series. And finally, we will get a convergence rate for the…

Concerning Numerical Stochastic Perturbation Theory, we discuss the convergence of the stochastic process (idea of the proof, features of the limit distribution, rate of convergence to equilibrium). Then we also discuss the expected…

We develop a scale-invariant truncated L\'evy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits L\'evy stability for the probability density, and hence shows scaling…