Related papers: Zero-Crossing Statistics for Non-Markovian Time Se…
A well-known stochastic model for intermittent fluctuations in physical systems is investigated. The model is given by a super-position of uncorrelated exponential pulses, and the degree of pulse overlap is interpreted as an intermittency…
In this paper we study the asymptotic behavior of a stochastic approximation scheme on two timescales with set-valued drift functions and in the presence of non-additive iterate-dependent Markov noise. It is shown that the recursion on each…
We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…
(Abbr.) We consider a direct representation of a periodic time-function by means of its zero-crossings. The use of the zero-crossings as the describing parameters is made possible by a singular model of a strongly nonlinear electrical…
For the dynamic pitchfork bifurcation in the presence of white noise, the statistics of the last time at zero are calculated as a function of the noise level and the rate of change of the parameter. The threshold crossing problem used, for…
Understanding the statistics of level crossings in stochastic processes is crucial across many scientific disciplines. The traditional Kac-Rice formula gives the mean rate of level crossings and has found broad use. However, that mean rate…
The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is…
We study continuous-time Markov chains on the non-negative integers under mild regularity conditions (in particular, the set of jump vectors is finite and both forward and backward jumps are possible). Based on the so-called flux balance…
In this paper, we consider smooth shot noise processes and their expected number of level crossings. When the kernel response function is sufficiently smooth, the mean number of crossings function is obtained through an integral formula.…
We study the so-called two-time-scale stochastic approximation, a simulation-based approach for finding the roots of two coupled nonlinear operators. Our focus is to characterize its finite-time performance in a Markov setting, which often…
We propose a new statistic that has been designed to be used in situations where the intrinsic dispersion of a data set is not well known: The Crossing Statistic. This statistic is in general less sensitive than `chi^2' to the intrinsic…
Many non-equilibrium, active processes are observed at a coarse-grained level, where different microscopic configurations are projected onto the same observable state. Such "lumped" observables display memory, and in many cases the…
New goodness-of-fit tests for Markovian models in time series analysis are developed which are based on the difference between a fully nonparametric estimate of the one-step transition distribution function of the observed process and that…
In many applications, the common assumption that a driving noise process affecting a system is independent or Markovian may not be realistic, but the noise process may be assumed to be stationary. To study such problems, this paper…
A key challenge facing reconfigurable intelligent surfaces (RISs) is channel state information acquisition. Passive RISs cannot generate pilot signals or process data, making rapid temporal changes in the channel problematic. Additionally,…
One problem of wide interest involves estimating expected crossing-times. Several tools have been developed to solve this problem beginning with the works of Wald and the theory of sequential analysis. An extension of his approach is…
In many systems, the time scales of the microscopic dynamics and macroscopic dynamics of interest are separated by many orders of magnitude. Examples abound, for instance nucleation, protein folding, and chemical reactions. For these…
We study the random acceleration model, which is perhaps one of the simplest, yet nontrivial, non-Markov stochastic processes, and is key to many applications. For this non-Markov process, we present exact analytical results for the…
Interpreting partial information collected from systems subject to noise is a key problem across scientific disciplines. Theoretical frameworks often focus on the dynamics of variables that result from coarse-graining the internal states of…
The mean first-passage time (MFPT) is one standard measure for the reaction time in thermally activated barrier-crossing processes. While the relationship between MFPTs and phenomenological rate coefficients is known for systems that…