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There are two main quantities involved in the deviation of a stochastic process from a Poisson process: the squared coefficient of variation of the time intervals between adjacent events and the Fano factor of the number of reaction events.…
Stochastic processes with renewal properties are powerful tools for modeling systems where memory effects and long-time correlations play a significant role. In this work, we study a broad class of renewal processes where a variable's value…
If the inter-arrival time distribution of a renewal process is regularly varying with index $\alpha\in\left( 0,1\right) $ (i.e. the inter-arrival times have infinite mean) and if $A\left( t\right) $ is the associated age process at time…
For an expansionary process, the size of the expansion space will increase. If the expansionary process is time-dependent, time (t) will increase as a function of the increase in the size of the expansion space. A statistical information…
Real count data time series often show the phenomenon of the underdispersion and overdispersion. In this paper, we develop two extensions of the first-order integer-valued autoregressive process with Poisson innovations, based on binomial…
We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to stationary Poisson process with known intensity. The alternatives are stationary self-exciting point processes. We…
Finding the most powerful node in a dynamic random network, the largest set in a partition-valued stochastic process, or the largest family in an evolving population at a given time, can be a very difficult problem. This is particularly the…
One of the important questions in statistical mechanics is how irreversibility (time's arrow) occurs when Newton equations of motion are time reversal invariant. One objection to irreversibility is based on Poincar\'e's recursion theorem: a…
Under very general conditions the hitting time of a set by a stochastic process is a stopping time. We give a new simple proof of this fact. The section theorems for optional and predictable sets are easy corollaries of the proof.
The compound Poisson process and the Dirichlet process are the pillar structures of Renewal theory and Bayesian nonparametric theory, respectively. Both processes have many useful extensions to fulfill the practitioners needs to model the…
We consider predictions of the random number and the magnitude of each iid component in a random sum based on its distributional structure, where only a total value of the sum is available and where iid random components are non-negative.…
In this article, we study the dynamics of a nonlinear system governed by an ordinary differential equation under the combined influence of fast periodic sampling with period $\delta$ and small jump noise of size $\varepsilon, 0<…
After sketching the basic principles of renewal theory we discuss the classical Poisson process and offer two other processes, namely the renewal process of Mittag-Leffler type and the renewal process of Wright type, so named by us because…
Many regenerative arguments in stochastic processes use random times which are akin to stopping times, but which are determined by the future as well as the past behaviour of the process of interest. Such arguments based on "conditioning on…
We describe a new construction of a family of measures on a group with the same Poisson boundary. Our approach is based on applying Markov stopping times to an extension of the original random walk.
Fractional generalizations of the Poisson process and branching Furry process are considered. The link between characteristics of the processes, fractional differential equations and Levy stable densities are discussed and used for…
We consider time-changed Poisson processes, and derive the governing difference-differential equations (DDE) these processes. In particular, we consider the time-changed Poisson processes where the the time-change is inverse Gaussian, or…
From a continuous-time long memory stochastic process, a discrete-time randomly sampled one is drawn. We investigate the second-order properties of this process and establish some time-and frequency-domain asymptotic results. We mainly…
In quantum mechanics, time is introduced as a non-measurable quantity, as there is no possibility to build a hermitian operator canonically conjugated to the Hamiltonian. We cannot have, therefore, the time operator, which means that the…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…