Related papers: Persistence probabilities and a decorrelation ineq…
In this paper, we present the detailed calculation of the persistence exponent $\theta$ for a nearly-Markovian Gaussian process $X(t)$, a problem initially introduced in [Phys. Rev. Lett. 77, 1420 (1996)], describing the probability that…
We establish sharp global rigidity upper bounds for universal determinantal point processes describing edge eigenvalues of random matrices. For this, we first obtain a general result which can be applied to general (not necessarily…
This paper analyzes the limit properties of the empirical process of $\alpha$-stable random variables with long range dependence. The $\alpha$-stable random variables are constructed by non-linear transformations of bivariate sequences of…
In this work, we investigate Gaussian process regression used to recover a function based on noisy observations. We derive upper and lower error bounds for Gaussian process regression with possibly misspecified correlation functions. The…
This article deals with the asymptotic behaviour as $t\to +\infty$ of the survival function $P[T > t],$ where $T$ is the first passage time above a non negative level of a random process starting from zero. In many cases of physical…
In this paper, we establish sharp upper and lower bounds on the convergence rate of the empirical measures of point processes under the Wasserstein distance. To this end, we first introduce a new metric on the space of counting measures…
We introduce and investigate a new notion of the theory of approximation-the so-called degenerate approximation, i.e. approximation of the function of two (and more) variables (kernel) by means of degenerate function (kernel). We apply…
We seek to derive the probability--expressed in terms of the Hilbert-Schmidt (Euclidean or flat) metric--that a generic (nine-dimensional) real two-qubit system is separable, by implementing the well-known Peres-Horodecki test on the…
We consider the class of Markovian processes defined by the equation $\dd x /\dd t = -\beta x + \sum_k z_k \delta (t-t_k)$. Such processes are encountered in systems (like coalescing systems) where dynamics creates discrete upward jumps at…
Motivated by certain problems of statistical physics we consider a stationary stochastic process in which deterministic evolution is interrupted at random times by upward jumps of a fixed size. If the evolution consists of linear decay, the…
The problem of testing two simple hypotheses in a general probability space is considered. For a fixed type-I error probability, the best exponential decay rate of the type-II error probability is investigated. In regular asymptotic cases…
We consider the persistence probability of a certain fractional Gaussian process $M^H$ that appears in the Mandelbrot-van Ness representation of fractional Brownian motion. This process is self-similar and smooth. We show that the…
The paper is concerned with a new approach for the recurrence property of the oscillating process on $\mathbb{Z}$ in Kemperman's sense. In the case when the random walk is ascending on $\mathbb{Z}^-$ and descending on $\mathbb{Z}^+$, we…
We consider a modified quadratic variation of the Hermite process based on some well-chosen increments of this process. These special increments have the very useful property to be independent and identically distributed up to…
This paper introduces a new generalized polynomial chaos expansion (PCE) comprising multivariate Hermite orthogonal polynomials in dependent Gaussian random variables. The second-moment properties of Hermite polynomials reveal a weakly…
New results on uniform convergence in probability for expansions of Gaussian random processes using compactly supported wavelets are given. The main result is valid for general classes of nonstationary processes. An application of the…
We extend Stein's lemma for averages that explicitly contain the Gaussian random variable at a power. We present two proofs for this extension of Stein's lemma, with the first being a rigorous proof by mathematical induction. The…
This article employs the relation between probabilities of two consecutive values of a Poisson random variable to derive conditions for the weak convergence of point processes to a Poisson process. As applications, we consider the starting…
The problem of estimating the probability of a random process reaching a certain level is well known. In this article, two-sided estimates are established for the probability that a regenerative process reaches a high level. Two auxiliary…
In this work we study how the convergence rate of GMRES is influenced by the properties of linear systems arising from Helmholtz problems near resonances or quasi-resonances. We extend an existing convergence bound to demonstrate that the…