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In this paper we introduce the \textit{multivariate} Brownian semistationary (BSS) processes and study the joint asymptotic behaviour of its realised covariation using in-fill asymptotics. First, we present a central limit theorem for…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
A model for anomalous transport of tracer particles diffusing in complex media in two dimensions is proposed. The model takes into account the characteristics of persistent motion that active bath transfer to the tracer, thus the model…
This article presents a review of some old and new results on the long time behavior of reflected diffusions. First, we present a summary of prior results on construction, ergodicity and geometric ergodicity of reflected diffusions in the…
This paper presents a new, short proof of the computation of the upper tail large deviation rate function for the Brownian directed percolation model. Through a distributional equivalence between the last passage time in this model and the…
We consider a Markov chain on $R^+$ with asymptotically zero drift and finite second moments of jumps which is positive recurrent. A power-like asymptotic behaviour of the invariant tail distribution is proven; such a heavy-tailed invariant…
A scheduled arrival model is one in which customers are scheduled to arrive at constant interarrival times, but each customer actual arrival time is perturbed from her scheduled arrival time by a random perturbation. The sequence of…
Fractional Brownian motion (FBM), a non-Markovian self-similar Gaussian stochastic process with long-ranged correlations, represents a widely applied, paradigmatic mathematical model of anomalous diffusion. We report the results of…
This paper studies the asymptotic behavior of the steady-state waiting time, W_infty, of the M/G/1 queue with subexponenential processing times for different combinations of traffic intensities and overflow levels. In particular, we provide…
We develop an exactly-solvable three-state discrete-time minimal Brownian ratchet (MBR), where the transition probabilities between states are asymmetric. By solving the master equations we obtain the steady-state probabilities. Generally…
The signature is a collection of iterated integrals describing the "shape" of a path. It appears naturally in the Taylor expansions of controlled differential equations and, as a consequence, is arguably the central object within rough path…
We study the stationary states of an over-damped active Brownian particle (ABP) in a harmonic trap in two dimensions, via mathematical calculations and numerical simulations. In addition to translational diffusion, the ABP self-propels with…
Transport phenomena in spatially periodic systems far from thermal equilibrium are considered. The main emphasize is put on directed transport in so-called Brownian motors (ratchets), i.e. a dissipative dynamics in the presence of thermal…
This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are based on high frequency (possibly higher order) differences of…
This contribution establishes exact tail asymptotics of $\sup_{(s,t)\in\mathbf{E}}$ $X(s,t)$ for a large class of nonhomogeneous Gaussian random fields $X$ on a bounded convex set $\mathbf{E}\subset\mathbb{R}^2$, with variance function that…
This paper is concerned with the asymptotic analysis of sojourn times of random fields with continuous sample paths. Under a very general framework we show that there is an interesting relationship between tail asymptotics of sojourn times…
The non-asymptotic tail bounds of random variables play crucial roles in probability, statistics, and machine learning. Despite much success in developing upper bounds on tail probability in literature, the lower bounds on tail…
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time…
We study asymptotic error distributions associated with standard approximation scheme for one-dimensional stochastic differential equations driven by fractional Brownian motions. This problem was studied by, for instance, Gradinaru-Nourdin…
Based on suitable left-truncated or censored data, two flexible classes of $M$-estimations of Weibull tail coefficient are proposed with two additional parameters bounding the impact of extreme contamination. Asymptotic normality with…