Related papers: Tempered stable distributions and processes
A class of Fleming-Viot processes with decaying sampling rates and $\alpha$-stable motions that correspond to distributions with growing populations are introduced and analyzed. Almost sure long-time scaling limits for these processes are…
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are influenced by claim management and claims may for instance…
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…
We study a stochastic linear discrete metapolulation model to understand the effect of risk spreading by dispersion. We calculate analytically the stable distribution of populations that live in different habitats. The result shows that the…
In this paper, we consider the problem of parameter estimating for a family of exponential distributions. We develop the improved estimation method, which generalized the James--Stein approach for a wide class of distributions. The proposed…
In this article, we introduce mixtures of tempered stable subordinators (TSS). These mixtures define a class of subordinators which generalize tempered stable subordinators. The main properties like probability density function (pdf), Levy…
We review some recent developments which make use of the concept of `superstatistics', an effective description for nonequilibrium systems with a varying intensive parameter such as the inverse temperature. We describe how the asymptotic…
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present the stochastic scenario which underlies the dynamics given…
A new class of probability distributions closely connected to generalized hyperbolic distributions is introduced. It is more adapted to study the distributions of sums of random number of random variables. The properties of these…
We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activity in the financial markets and for the…
Our object of study is the general class of stick-breaking processes with exchangeable length variables. These generalize well-known Bayesian non-parametric priors in an unexplored direction. We give conditions to assure the respective…
In this paper, we study a class of stochastic processes, called evolving network Markov chains, in evolving networks. Our approach is to transform the degree distribution problem of an evolving network to a corresponding problem of evolving…
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…
We propose threshold diffusion processes as unique solutions to stochastic differential equations with step-function coefficients, and obtain explicit expressions for the conditional Laplace transform of the hitting times and the potential…
For noncorrelated random variables, we study a concentration property of the family of distributions of normalized sums formed by sequences of times of a given large length.
A parameter estimation problem for a class of semilinear stochastic evolution equations is considered. Conditions for consistency and asymptotic normality are given in terms of growth and continuity properties of the nonlinear part.…
We study a class of multivariate tempered stable distributions and introduce the associated class of tempered stable Sato subordinators. These Sato subordinators are used to build additive inhomogeneous processes by subordination of a…
A new statistical approach is presented to study the thermal instability process of optically thin unmagnetized plasma. In this approach the time evolution of mass distribution function over temperature is calculated. This function…
This paper develops stability and stabilization results for systems of fully coupled jump diffusions. Such systems frequently arise in numerous applications where each subsystem (component) is operated under the influence of other…
We investigate continuum percolation for Cox point processes, that is, Poisson point processes driven by random intensity measures. First, we derive sufficient conditions for the existence of non-trivial sub- and super-critical percolation…