Related papers: Tail Probabilities for Randomized Program Runtimes…

In this paper we present a method for obtaining tail-bounds for random variables satisfying certain probabilistic recurrences that arise in the analysis of randomized parallel divide and conquer algorithms. In such algorithms, some…

At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…

The classic model of computable randomness considers martingales that take real or rational values. Recent work by Bienvenu et al. (2012) and Teutsch (2014) shows that fundamental features of the classic model change when the martingales…

In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Log Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape…

The paper presents an efficient method for simulating the tails of a target variable Z=h(X) which depends on a set of basic variables X=(X_1, ..., X_n). To this aim, variables X_i, i=1, ..., n are sequentially simulated in such a manner…

We derive upper bounds on the tail conditional expectation of binomial and Poisson random variables. Those upper bounds are subsequently employed to the problem of obtaining non-asymptotic lower bounds on the probability that the…

We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define a notion of computable randomness associated with interval, rather than precise,…

Motivated by the study of the time evolution of random dynamical systems arising in a vast variety of domains --- ranging from physics to ecology ---, we establish conditions for the occurrence of a non-trivial asymptotic behaviour for…

In this paper, martingales related to simple random walks and their maximum process are investigated. First, a sufficient condition under which a function with three arguments, time, the random walk, and its maximum process becomes a…

Given a random sample from a random variable $T$ which is bounded from above, $T\le\tau$ a.s., we define processes that are positive supermartingales if $E(T)\ge\mu$. Such processes are called test martingales. Tests of the supermartingale…

We analyse circumstances in which bifurcation-driven jumps in AI systems are associated with emergent heavy-tailed outcome distributions. By analysing how a control parameter's random fluctuations near a catastrophic threshold generate…

We present a comparative study of several algorithms for an in-plane random walk with a variable step. The goal is to check the efficiency of the algorithm in the case where the random walk terminates at some boundary. We recently found…

In this work, we consider systems that are subjected to intermittent instabilities due to external stochastic excitation. These intermittent instabilities, though rare, have a large impact on the probabilistic response of the system and…

This paper focuses on rare events associated with the tail probabilities of the extremal eigenvalues in the $\beta$-Jacobi ensemble, which plays a critical role in both multivariate statistical analysis and statistical physics. Under the…

For a martingale $(X_n)$ converging almost surely to a random variable $X$, the sequence $(X_n - X)$ is called martingale tail sum. Recently, Neininger [Random Structures Algorithms, 46 (2015), 346-361] proved a central limit theorem for…

Numerical evaluation of performance measures in heavy-tailed risk models is an important and challenging problem. In this paper, we construct very accurate approximations of such performance measures that provide small absolute and relative…

Multiple teams participate in a random competition. In each round the winner receives one point. We study the times until ties occur among teams. We construct martingales and supermartingales that enable us to prove the results regarding…

We discuss the quenched tail estimates for the random walk in random scenery. The random walk is the symmetric nearest neighbor walk and the random scenery is assumed to be independent and identically distributed, non-negative, and has a…

We obtain decay rates of probabilities of tails of polynomials in several independent random variables with heavy tails and derive stable limit theorems for nonconventional sums of such polynomials

We consider the estimation of small probabilities or other risk quantities associated with rare but catastrophic events. In the model-based literature, much of the focus has been devoted to efficient Monte Carlo computation or analytical…