Related papers: Canonical spectral representation for exchangeable…
Let M be a hyperbolizable, nontrivial compression body without toroidal boundary components. In this paper, we characterize which discrete and faithful representations of the fundamental group of M into PSL(2,C) are separable-stable. The…
We develop a theory describing the effects of many-particle Coulomb correlations on the coherent ultrafast nonlinear optical response of semiconductors and metals. Our approach is based on a mapping of the nonlinear optical response of the…
We consider transformations of deterministic and random signals governed by simple dynamical mappings. It is shown that the resulting signal can be a random process described in terms of fractal distributions and fractal domain integrals.…
In this paper, we study consistent and partially exchangeable sequences of Markov chains on a finite state space. We provide a characterisation of the admissible transition rates via a decomposition into individual and coordinated motion of…
Let $X_{i,n},n\in \mathbb{N},1\leq i\leq n$, be a triangular array of independent $\mathbb{R}^d$-valued Gaussian random vectors with correlation matrices $\Sigma_{i,n}$. We give necessary conditions under which the row-wise maxima converge…
Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivariate framework, the tail dependence is characterized by the…
An analysis of moments and spectra shows that, while the distribution of avalanche areas obeys finite size scaling, that of toppling numbers is universally characterized by a full, nonlinear multifractal spectrum. Rare, large avalanches…
Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unknown spectral measure supported on the unit simplex. The…
Multifractal analysis of stochastic processes deals with the fine scale properties of the sample paths and seeks for some global scaling property that would enable extracting the so-called spectrum of singularities. In this paper we…
Multifractal systems usually have singularity spectra defined on bounded sets of H\"older exponents. As a consequence, their associated multifractal scaling exponents are expected to depend linearly upon statistical moment orders at high…
The extremal dependence structure of a regularly varying random vector Xis fully described by its limiting spectral measure. In this paper, we investigate how torecover characteristics of the measure, such as extremal coefficients, from the…
A stochastically continuous process $\xi(t)$, $t\geq0$, is said to be time-stable if the sum of $n$ i.i.d. copies of $\xi$ equals in distribution to the time-scaled stochastic process $\xi(nt)$, $t\geq0$. The paper advances the…
Conformal prediction is a powerful post-hoc framework for uncertainty quantification that provides distribution-free coverage guarantees. However, these guarantees crucially rely on the assumption of exchangeability. This assumption is…
We study the sharp bounds of $\mathbb{E}[X_1\cdots X_d]$ when the univariate marginal distributions are known, but the dependence structure between them is unspecified. Maximizing products over non-negative variables is straightforward via…
We explore the connections between the theories of stochastic analysis and discrete quantum mechanical systems. Naturally these connections include the Feynman-Kac formula, and the Cameron-Martin-Girsanov theorem. More precisely, the notion…
While max-stable processes are typically written as pointwise maxima over an infinite number of stochastic processes, in this paper, we consider a family of representations based on $\ell^p$ norms. This family includes both the construction…
We consider stochastic sequences with periodically stationary generalized multiple increments of fractional order which combines cyclostationary, multi-seasonal, integrated and fractionally integrated patterns. We solve the interpolation…
We study dynamical systems which admit action-angle variables at leading order which are subject to nearly resonant perturbations. If the frequencies characterizing the unperturbed system are not in resonance, the long-term dynamical…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
In this paper we consider an abstract Cauchy problem for a Maxwell system modelling electromagnetic fields in the presence of an interface between optical media. The electric polarization is in general time-delayed and nonlinear, turning…