Related papers: Coupled Continuous Time Random Maxima
We prove limit theorems of an entirely new type for certain long memory regularly varying stationary infinitely divisible random processes. These theorems involve multiple phase transitions governed by how long the memory is. Apart from one…
Continuous time random Walk model has been versatile analytical formalism for studying and modeling diffusion processes in heterogeneous structures, such as disordered or porous media. We are studying the continuous limits of Heterogeneous…
We use point processes theory to describe the asymptotic distribution of all upper order statistics for observations collected at renewal times. As a corollary, we obtain limiting theorems for corresponding extremal processes.
Cumulative prospect theory (CPT) is known to model human decisions well, with substantial empirical evidence supporting this claim. CPT works by distorting probabilities and is more general than the classic expected utility and coherent…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
Continuous time random walks (CTRW) on finite arbitrarily inhomogeneous chains are studied. By introducing a technique of counting all possible trajectories, we derive closed-form solutions in Laplace space for the Green's function and for…
The continuous time random walks (CTRWs) are typically defned in the way that their trajectories are discontinuous step fuctions. This may be a unwellcome feature from the point of view of application of theese processes to model certain…
Probabilistic timed automata are classical timed automata extended with discrete probability distributions over edges. We introduce clock-dependent probabilistic timed automata, a variant of probabilistic timed automata in which transition…
We consider discrete time dynamical systems and show the link between Hitting Time Statistics (the distribution of the first time points land in asymptotically small sets) and Extreme Value Theory (distribution properties of the partial…
The concept of continuous-time random walks (CTRW) is a generalization of ordinary random walk models, and it is a powerful tool for investigating a broad spectrum of phenomena in natural, engineering, social and economic sciences.…
In this paper we study controlled continuous time random walks (CTRWs) and heuristically derive pay-off function dynamic programming (DP) equations which turn in the limit of standard scaling to fractional Hamilton Jacobi Bellman type…
Continuous Time Random Walk(CTRW) is a model where particle's jumps in space are coupled with waiting times before each jump. A Continuous Time Random Walk Limit(CTRWL) is obtained by a limit procedure on a CTRW and can be used to model…
We consider a one-dimensional continuous time random walk (CTRW) on a fixed time interval $T$ where at each time step the walker waits a random time $\tau$, before performing a jump drawn from a symmetric continuous probability distribution…
We derive some Quantum Central Limit Theorems for expectation values of macroscopically coarse-grained observables, which are functions of coarse-grained hermitean operators. Thanks to the hermicity constraints, we obtain positive-definite…
For discrete-time stochastic processes, there is a close connection between return/waiting times and entropy. Such a connection cannot be straightforwardly extended to the continuous-time setting. Contrarily to the discrete-time case one…
Power-law distributions are typical macroscopic features occurring in almost all complex systems observable in nature. As a result, researchers in quantitative analyses must often generate random synthetic variates obeying power-law…
A central limit theorem is established for a sum of random variables belonging to a sequence of random fields. The fields are assumed to have zero mean conditional on the past history and to satisfy certain conditional $\alpha$-mixing…
We discuss large deviation properties of continuous-time random walks (CTRW) and present a general expression for the large deviation rate in CTRW in terms of the corresponding rates for the distributions of steps' lengths and waiting…
Notoriously, the Einstein equations of general relativity have solutions in which closed timelike curves (CTCs) occur. On these curves time loops back onto itself, which has exotic consequences. However, in order to make time travel stories…
In this paper, we develop a general law of large numbers and central limit theorem for cumulative reward processes associated with finite state Markov jump processes with non-stationary transition rates. Such models commonly arise in…