Related papers: Hitting times distribution and extreme value law f…
We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times…
We use simulations to investigate collision time distributions as one approaches the static limit of steady-state flow of dry granular matter. The collision times fall in a power-law distribution with an exponent dictated by whether the…
A classical scenario for tipping is that a dynamical system experiences a slow parameter drift across a fold tipping point, caused by a run-away positive feedback loop. We study what happens if one turns around after one has crossed the…
We describe traffic flows in one lane roadways using kinetic theory, with special emphasis on the role of quenched randomness in the velocity distributions. When passing is forbidden, growing clusters are formed behind slow cars and the…
The statistics of the slowest first-passage time among a large population of $N$ searchers is crucial for determining the completion time of many stochastic processes. Classical extreme-value theory predicts that for diffusing particles in…
Using the results of Ding, Lee, Peres [3], we develop formulas to compute the hitting times and cover times for random walks on groups. We developed an explicit formula for hitting times in terms of the irreducible representations of the…
We prove an exponential concentration bound for cover times of general graphs in terms of the Gaussian free field, extending the work of Ding-Lee-Peres and Ding. The estimate is asymptotically sharp as the ratio of hitting time to cover…
The initial boundary value problem for a class of scalar non autonomous conservation laws in one space dimension is proved to be well posed and stable with respect to variations in the flux. Targeting applications to traffic, the regularity…
We prove a new result in the area of hitting time statistics. Currently, there is a lot of papers showing that the first entry times into cylinders or balls are often faster than the Birkhoff's Ergodic Theorem would suggest. We provide an…
We show that in a rapidly mixing flow with an invariant measure, the time which is needed to hit a given section is related to a sort of conditional dimension of the measure at the section. The result is applied to the geodesic flow of…
The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…
Noncolliding diffusion processes reported in the present paper are $N$-particle systems of diffusion processes in one-dimension, which are conditioned so that all particles start from the origin and never collide with each other in a finite…
We establish various existence and uniqueness results for the Yang-Mills flow on cylindrical end 4-manifolds. We also show long-time existence and infinite-time convergence under certain hypotheses on the underlying data.
We prove dynamical Borel Canteli Lemmas for discrete time homogenous flows hitting a sequence of shrinking targets in a hyperbolic manifold. These results apply to both diagonalizable and unipotent flows, and any family of measurable…
Transitional localised turbulence in shear flows is known to either decay to an absorbing laminar state or proliferate via splitting. The average passage times from one state to the other depend super-exponentially on the Reynolds number…
We propose a transformation capable of altering the tail properties of a distribution, motivated by extreme value theory, which can be used as a layer in a normalizing flow to approximate multivariate heavy tailed distributions. We apply…
We introduce preferential behavior into the study on statistical mechanics of money circulation. The computer simulation results show that the preferential behavior can lead to power laws on distributions over both holding time and amount…
The distribution of return intervals of extreme events is studied in time series characterized by finite-term correlations with non-exponential decay. Precisely, it has been analyzed the statistics of the return intervals of extreme values…
We investigate extreme value theory of a class of random sequences defined by the all-time suprema of aggregated self-similar Gaussian processes with trend. This study is motivated by its potential applications in various areas and its…
Inference over tails is usually performed by fitting an appropriate limiting distribution over observations that exceed a fixed threshold. However, the choice of such threshold is critical and can affect the inferential results. Extreme…