Related papers: Time inhomogeneity in longest gap and longest run …

This paper analyzes effects of time-dependence in the Bell inequality. A generalized inequality is derived for the case when coincidence and non-coincidence [and hence whether or not a pair contributes to the actual data] is controlled by…

Recently noticed ability of restart to reduce the expected completion time of first-passage processes allows appealing opportunities for performance improvement in a variety of settings. However, complex stochastic processes often exhibit…

The work [8] established memory loss in the time-dependent (non-random) case of uniformly expanding maps of the interval. Here we find conditions under which we have convergence to the normal distribution of the appropriately scaled…

The effect of space inhomogeneities on a diffusing particle is studied in the framework of the 1D random walk. The typical time needed by a particle to cross a one--dimensional finite lane, the so--called residence time, is computed…

The tail measure of a regularly varying stationary time series has been recently introduced. It is used in this contribution to reconsider certain properties of the tail process and establish new ones. A new formulation of the time change…

This brief paper: (1) Discusses strategies to generate random test cases that can be used to extensively test any Linear Distance Program (LDP) software. (2) Gives three numerical examples of input cases generated by this strategy that…

Conditions are established under which the optimal control of processes having both absolutely continuous and singular (with respect to time) controls are equivalent to linear programs over a space of measures on the state and control…

There are many Markov chains on infinite dimensional spaces whose one-step transition kernels are mutually singular when starting from different initial conditions. We give results which prove unique ergodicity under minimal assumptions on…

We consider a discrete time dynamic system described by a difference equation with periodic coefficients and with additive stochastic noise. We investigate the possibility of the periodicity for the solution. In particular, we found…

We consider the problem of detecting an odd process among a group of Poisson point processes, all having the same rate except the odd process. The actual rates of the odd and non-odd processes are unknown to the decision maker. We consider…

We consider the limitations of two techniques for detecting nonlinearity in time series. The first technique compares the original time series to an ensemble of surrogate time series that are constructed to mimic the linear properties of…

Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…

We prove the analogue for continuous space-time of the quenched LDP derived in Birkner, Greven and den Hollander (2010) for discrete space-time. In particular, we consider a random environment given by Brownian increments, cut into pieces…

Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the…

We consider a type of random processes which satisfies the conditional increment condition and obtain an estimate for the tail probability and a Doob-type inequality of the maximum of the process. The main result is that, for processes…

We study the long-time behaviour of the first-moment semigroup of a non conservative piecewise deterministic measure-valued stochastic process with support on R 2 + driven by a deterministic flow between random jump times, with a transition…

Stationarity is a very general, qualitative assumption, that can be assessed on the basis of application specifics. It is thus a rather attractive assumption to base statistical analysis on, especially for problems for which less general…

In one-dimensional random walks, the waiting time for each direction transitions is the same, even in the presence of bias, as a consequence of the microscopic-reversibility. We study the symmetry breaking of forward/ backward transition…

We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms…

We study the tail asymptotics of two functionals (the maximum and the sum of the marks) of a generic cluster in two sub-models of the marked Poisson cluster process, namely the renewal Poisson cluster process and the Hawkes process. Under…