Related papers: The Burst Failure Influence on the $H_\infty$ Norm
This paper examines how spillover effects in A/B testing can impede organizational progress and develops strategies for mitigating these challenges. We identify a phenomenon termed ``seesaw experimentation'', where a firm's overall…
This paper deals with the estimation of a failure probability of an industrial product. To be more specific, it is defined as the probability that the output of a physical model, with random input variables, exceeds a threshold. The model…
In genetic circuits, when the mRNA lifetime is short compared to the cell cycle, proteins are produced in geometrically-distributed bursts, which greatly affects the cellular switching dynamics between different metastable phenotypic…
We consider a network consisting of $n$ components (links or nodes) and assume that the network has two states, up and down. We further suppose that the network is subject to shocks that appear according to a counting process and that each…
Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively, to account for unobserved or unexplained…
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a structural model of default events…
The formalism of state estimation and hidden Markov models (HMMs) can simplify and clarify the discussion of stochastic thermodynamics in the presence of feedback and measurement errors. After reviewing the basic formalism, we use it to…
We study the failure properties of fiber bundles with a finite lower cutoff of the strength disorder varying the range of interaction between the limiting cases of completely global and completely local load sharing. Computer simulations…
One of the classic data mining tasks is to discover bursts, time intervals, where events occur at abnormally high rate. In this paper we revisit Kleinberg's seminal work, where bursts are discovered by using exponential distribution with a…
While $\mathcal{H}_\infty$ methods can introduce robustness against worst-case perturbations, their nominal performance under conventional stochastic disturbances is often drastically reduced. Though this fundamental tradeoff between…
The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cases a notion of spurious memory is introduced. A good example…
Porous bleed systems are a common technique to control shock-boundary layer interactions and/or supersonic boundary layers. However, the influence of various design parameters is still unknown. Even though bleed models are required to…
We investigate the effect of nonextensive statistics as applied to the chemical fluctuations in high-energy nuclear collisions discussed recently using the event-by-event analysis of data. It turns out that very minuite nonextensitivity…
The 21 cm intensity mapping experiments promise to obtain the large-scale distribution of HI gas at the post-reionization epoch. In order to reveal the underlying matter density fluctuations from the HI mapping, it is important to…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
This work investigates the effect of finite buffer sizes on the throughput capacity and packet delay of line networks with packet erasure links that have perfect feedback. These performance measures are shown to be linked to the stationary…
We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used tests do not keep the preassigned level and are inconsistent.…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
Understanding the microstructural influence on the failure mechanisms in multi-phase materials calls for the identification of the worst-case scenario. This necessitates a statistical approach. By performing simulations directly based on…
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…