Related papers: Risk assessment using suprema data
A novel formalism, called H-theory, is applied to the problem of statistical equilibrium of a hierarchical complex system with multiple time and length scales. In this approach, the system is formally treated as being composed of a small…
This paper develops a coupled model for day-ahead electricity prices and average daily temperature which allows to model quanto weather and energy derivatives. These products have gained on popularity as they enable to hedge against both…
Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…
In this article we study a fully relativistic model of a two dimensional hard-disk gas. This model avoids the general problems associated with relativistic particle collisions and is therefore an ideal system to study relativistic effects…
Density tempering (also called density annealing) is a sequential Monte Carlo approach to Bayesian inference for general state models; it is an alternative to Markov chain Monte Carlo. When applied to state space models, it moves a…
Assessing climate-driven mortality risk has become an emerging area of research in recent decades. In this paper, we propose a novel approach to explicitly incorporate climate-driven effects into both single- and multi-population stochastic…
An analytical method to compute thermodynamic properties of a given Hamiltonian system is proposed. This method combines ideas of both dynamical systems and ensemble approaches to thermodynamics, providing de facto a possible alternative to…
We derive universal bounds for the finite-time survival probability of the stochastic work extracted in steady-state heat engines and the stochastic heat dissipated to the environment. We also find estimates for the time-dependent…
This paper focuses on the performance and the robustness analysis of stochastic jump linear systems. The state trajectory under stochastic jump process becomes random variables, which brings forth the probability distributions in the system…
The concept of temperature is one of the key ideas in describing the thermodynamical properties of a physical system. In classical statistical mechanics of ideal gases, the notion of temperature can be described in two different ways, the…
This paper addresses sampling-based trajectory optimization for risk-aware navigation under stochastic dynamics. Typically such approaches operate by computing $\tilde{N}$ perturbed rollouts around the nominal dynamics to estimate the…
We propose a parsimonious stochastic model for characterising the distributional and temporal properties of rainfall. The model is based on an integrated Ornstein-Uhlenbeck process driven by the Hougaard L\'evy process. We derive properties…
By detailed Molecular Dynamics and Monte Carlo simulations %of a realistic model we show that granular materials at rest can be described as thermodynamics systems. First we show that granular packs can be characterized by few parameters,…
The problem of estimating a parameter of a quantum system through a series of measurements performed sequentially on a quantum probe is analyzed in the general setting where the underlying statistics is explicitly non-i.i.d. We present a…
A comprehensive statistical model for vertical profiles of the horizontal wind and temperature throughout the troposphere is presented. The model is based on radiosonde measurements of wind and temperature during several years. The profiles…
A stochastic differential equation that describes the dynamics of single-domain magnetic particles at any temperature is derived using a classical formalism. The deterministic terms recover existing theory and the stochastic process takes…
A comprehensive statistical model is developed for vertical profiles of the horizontal wind and temperature throughout the troposphere based on several-years radiosonde measurements of strong winds. The profiles measured under quite…
Stable distribution is one of the attractive models that well describes fat-tail behaviors and scaling phenomena in various scientific fields. The approach based upon the method of moments yields a simple procedure for estimating stable law…
Progress in automatic control of thermal processes and real-time estimation of heat penetration into live tissue has long been limited by the difficulty of obtaining high-fidelity thermodynamic models. Traditionally, in complex…
In this paper we investigate a model of consensus decision making [Hartnett A. T., et al., Phys. Rev. Lett., 2016, 116, 038701] following a statistical physics approach presented in [Sarkanych P., et al., Phys. Biol., 2023, 20, 045005].…