Related papers: The largest root of random Kac polynomials is heav…
Consider a system F of n polynomials in n variables, with a total of n+k distinct exponent vectors, over any local field L. We discuss conjecturally tight bounds on the maximal number of non-degenerate roots F can have over L, with all…
We study the fluctuations of the largest eigenvalue $\lambda_{\max}$ of $N \times N$ random matrices in the limit of large $N$. The main focus is on Gaussian $\beta$-ensembles, including in particular the Gaussian orthogonal ($\beta=1$),…
A random flight on a plane with non-isotropic displacements at the moments of direction changes is considered. In the case of exponentially distributed flight lengths a Gaussian limit theorem is proved for the position of a particle in the…
A random matrix model with a sigma-model like constraint, the restricted trace ensemble (RTE), is solved in the large-n limit. In the macroscopic limit the smooth connected two-point resolvent G(z,w) is found to be non-universal, extending…
We study the regularity of the roots of complex monic polynomials $P(t)$ of fixed degree depending smoothly on a real parameter $t$. We prove that each continuous parameterization of the roots of a generic $C^\infty$ curve $P(t)$ (which…
This paper is devoted to the Gaussian fluctuations and deviations of the traces of tridiagonal random matrix. Under quite general assumptions, we prove that the traces are approximately normal distributed. Multi-dimensional central limit…
A generalized Wigner matrix perturbed by a finite-rank deterministic matrix is considered. The fluctuations of the largest eigenvalues, which emerge outside the bulk of the spectrum, and the corresponding eigenvectors, are studied. Under…
We consider regular variation for marked point processes with independent heavy-tailed marks and prove a single large point heuristic: the limit measure is concentrated on the cone of point measures with one single point. We then…
Heavy-tailed distributions are found throughout many naturally occurring phenomena. We have reviewed the models of stochastic dynamics that lead to heavy-tailed distributions (and power law distributions, in particular) including the…
We construct an example of a continuous centered random process with light tails of finite-dimensional distribution but with (relatively) heavy tail of maximum distribution. The apparatus for tails comparison are embedding results for…
The microscopic correlation functions of non-chiral random matrix models with complex eigenvalues are analyzed for a wide class of non-Gaussian measures. In the large-N limit of weak non-Hermiticity, where N is the size of the complex…
We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes. Specifically, we explore the tail behavior of its solution…
The size of the giant component in the configuration model, measured by the asymptotic fraction of vertices in the component, is given by a well-known expression involving the generating function of the degree distribution. In this note, we…
We study the $k$-largest eigenvalues of heavy-tailed sample covariance matrices of the form $\bX\bX^\T$ in an asymptotic framework, where the dimension of the data and the sample size tend to infinity. To this end, we assume that the rows…
In a seminal paper Biggins and Kyprianou \cite{BKy04} proved the existence of a non degenerate limit for the {\it Derivative martingale} of the branching random walk. As shown in \cite{Aid11} and \cite{Mad11}, this is an object of central…
In this paper we revisited the classical problem of max-sum equivalence of randomly weighted sums in two dimensions. In opposite to the most papers in literature, we consider that there exists some interdependence between the primary random…
We utilize Cauchy's argument principle in combination with the Jacobian of a holomorphic function in several complex variables and the first moment of a ratio of two correlated complex normal random variables to prove explicit formulas for…
We obtain concentration and large deviation for the sums of independent and identically distributed random variables with heavy-tailed distributions. Our concentration results are concerned with random variables whose distributions satisfy…
We consider the random reversible Markov kernel K obtained by assigning i.i.d. nonnegative weights to the edges of the complete graph over n vertices and normalizing by the corresponding row sum. The weights are assumed to be in the domain…
This short note studies the fluctuations of the largest eigenvalue of symmetric random matrices with correlated Gaussian entries having positive mean. Under the assumption that the covariance kernel is absolutely summable, it is proved that…