Related papers: Tempered stable distributions and processes
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
We present a new model for the propagation of polarized light in a random birefringent medium. This model is based on a decomposition of the higher order statistics of the reduced Stokes parameters along the irreducible representations of…
We consider two kinds of stochastic volatility models. Both kinds of models contain a stationary volatility process, the density of which, at a fixed instant in time, we aim to estimate. We discuss discrete time models where for instance a…
We consider a class of growth models and models of turbulence based on the randomly stirred fluid. The similarity between the predictions of these models, noted a decade earlier, is understood on the basis of a stochastic quantization…
In this article we discuss several aspects of the stochastic dynamics of spin models. The paper has two independent parts. Firstly, we explore a few properties of the multi-point correlations and responses of generic systems evolving in…
Here we introduce some new classes of discrete stable random variables, which are useful for understanding of a new general notion of stability of random variables called us as casual stability. There are given some examples of casual and…
We show the convolution equivalence property of univariate tempered stable distributions in the sense of Rosi\'nsky (2007). This makes rigorous various classic heuristic arguments on the asymptotic similarity between the probability and…
In the paper, multivariate probability distributions are considered that are representable as scale mixtures of multivariate elliptically contoured stable distributions. It is demonstrated that these distributions form a special subclass of…
Asymptotic expansions for a wide class of distribution are studied. A simple method for computation of the series coefficients is suggested. The case when regularization parameter of the distribution depends on the asymptotic parameter is…
We formulate thermodynamics of economic systems in terms of an arbitrary probability distribution for a conserved economic quantity. As in statistical physics, thermodynamic macroeconomic variables emerge as the mean value of microeconomic…
We consider processes that coincide with a given diffusion process except on the boundaries of a finite collection of domains. The behavior on each of the boundaries is asymmetric: the process is much more likely to enter the interior of…
By detailed Molecular Dynamics and Monte Carlo simulations %of a realistic model we show that granular materials at rest can be described as thermodynamics systems. First we show that granular packs can be characterized by few parameters,…
A new family of stable processes indexed by metric spaces with stationary increments are introduced. They are special cases of a new family of set-indexed stable processes with Chentsov representation. At the heart of the representation, a…
Polarized ferrofluids, lipid monolayers and magnetic bubbles form domains with deformable boundaries. Stability analysis of these domains depends on a family of nontrivial integrals. We present a closed form evaluation of these integrals as…
New sampling algorithms based on simulating continuous-time stochastic processes called piece-wise deterministic Markov processes (PDMPs) have shown considerable promise. However, these methods can struggle to sample from multi-modal or…
Dilative semistability extends the notion of semi-selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. It is shown that this scaling relation is a natural extension…
Constructing \Levy-driven Ornstein-Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the properties of what will be hereafter called the \emph{a-reminder}…
Reaction diffusion systems with Turing instability and mass conservation are studied. In such systems, abrupt decays of stripes follow quasi-stationary states in sequence. At steady state, the distance between stripes is much longer than…
This paper analyzes various classes of processes associated with the tempered positive Linnik (TPL) distribution. We provide several subordinated representations of TPL L\'evy processes and in particular establish a stochastic…
We derive general properties of anomalous diffusion and nonexponential relaxation from the theory of tempered \alpha-stable processes. Its most important application is to overcome the infinite-moment difficulty for the \alpha-stable random…