Related papers: Persistence probabilities for stationary increment…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
We investigate a diffusive motion of a system of interacting Brownian particles in quasi-one-dimensional micropores. In particular, we consider a semi-infinite 1D geometry with a partially absorbing boundary and the hard-core inter-particle…
In this paper we present some new limit theorems for power variations of stationary increment L\'{e}vy driven moving average processes. Recently, such asymptotic results have been investigated in [Ann. Probab. 45(6B) (2017), 4477--4528,…
We study a variety of stochastic contact processes -- directly related to models of rumor and disease spreading -- from the viewpoint of their constants of motion, either exact or approximated. Much as in deterministic systems, constants of…
We analyze ecological systems that are influenced by random environmental fluctuations. We first provide general conditions which ensure that the species coexist and the system converges to a unique invariant probability measure (stationary…
The paper deals with the expected maxima of continuous Gaussian processes $X = (X_t)_{t\ge 0}$ that are H\"older continuous in $L_2$-norm and/or satisfy the opposite inequality for the $L_2$-norms of their increments. Examples of such…
The stochastic trajectories of molecules in living cells, as well as the dynamics in many other complex systems, often exhibit memory in their path over long periods of time. In addition, these systems can show dynamic heterogeneities due…
Max-stable processes have proved to be useful for the statistical modelling of spatial extremes. Several representations of max-stable random fields have been proposed in the literature. One such representation is based on a limit of…
We study the precise large deviation probabilities for the sizes of intermediate level sets in branching Brownian motion (BBM). Our conclusions improve a result of A\"{i}dekon, Hu and Shi in [J. Math. Sci. \textbf{238}(2019)]. Additionally,…
We propose a new algorithm to generate a fractional Brownian motion, with a given Hurst parameter, 1/2<H<1 using the correlated Bernoulli random variables with parameter p; having a certain density. This density is constructed using the…
We consider a finite or countable collection of one-dimensional Brownian particles whose dynamics at any point in time is determined by their rank in the entire particle system. Using Transportation Cost Inequalities for stochastic…
We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on $m$-dependent approximation for stationary processes and a moderate deviation result.
We study in this paper the sufficient conditions for enhanced continuity of random fields, i.e. such that the modulus of its continuity allows the factorable representation by the product of random variable on the deterministic module of…
We study the limiting extremal and cluster point processes of branching Brownian motion. The former records the heights of all extreme values of the process, while the latter records the relative heights of extreme values in a genealogical…
We study the random acceleration model, which is perhaps one of the simplest, yet nontrivial, non-Markov stochastic processes, and is key to many applications. For this non-Markov process, we present exact analytical results for the…
We prove a strong approximation result for the empirical process associated to a stationary sequence of real-valued random variables, under dependence conditions involving only indicators of half lines. This strong approximation result also…
Consider the sum $Y=B+B(H)$ of a Brownian motion $B$ and an independent fractional Brownian motion $B(H)$ with Hurst parameter $H\in(0,1)$. Even though $B(H)$ is not a semimartingale, it was shown in [\textit{Bernoulli} \textbf{7} (2001)…
Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be…
In this paper, we focus on multiple sampling problems for the estimation of the fractional Brownian motion when the maximum number of samples is limited, extending existing results in the literature in a non-Markovian framework. Two classes…
Random processes with stationary increments and intrinsic random processes are two concepts commonly used to deal with non-stationary random processes. They are broader classes than stationary random processes and conceptually closely…