Related papers: Simulating an infinite mean waiting time
Repulsive point processes arise in models where competition forces entities to be more spread apart than if placed independently. Simulation of these types of processes can be accomplished using dominated coupling from the past with a…
This article presents a variant of Fleming-Viot particle systems, which are a standard way to approximate the law of a Markov process with killing as well as related quantities. Classical Fleming-Viot particle systems proceed by simulating…
For a birth-death process subject to catastrophes, defined on the state-space $S=\{r,r+1,r+2,...\}$, with $r$ a positive integer or zero, the first-visit time to a state $k\in S$ is considered and the Laplace transform of its probability…
When computing the expected value of time till extinction of a Birth and Death process, the usual textbook approach results in an extreme case of numerical ill-conditioning, which prevents us from getting accurate answers beyond the first…
This paper presents a wp-style calculus for obtaining expectations on the outcomes of (mutually) recursive probabilistic programs. We provide several proof rules to derive one-- and two--sided bounds for such expectations, and show the…
Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…
This paper concentrates on the general birth-death processes with two different types of catastrophes. The Laplace transform of transition probability function for birth-death processes with two-type catastrophes are is successfully…
We propose a general method to obtain approximation of the first passage time distribution for the birth-death processes. We rely on the general properties of birth-death processes, Keilson's theorem and the concept of Riemann sum to obtain…
We consider here systems with piecewise linear dynamics that are periodically sampled with a given period {\tau} . At each sampling time, the mode of the system, i.e., the parameters of the linear dynamics, can be switched, according to a…
This is a method for discrete event simulation specified by survival analysis. It presents a sequence of steps. First, hazard rates from survival analysis specify the rates of a set of counting processes. Second, those counting processes…
Event-triggered approach to networked control systems is used to reduce the workload of the communication network. For the static output-feedback continuous event-trigger may generate an infinite number of sampling instants in finite time…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
We consider a strong Markov process with killing and prove an approximation method for the distribution of the process conditioned not to be killed when it is observed. The method is based on a Fleming-Viot type particle system with…
Real-time hybrid testing is a method in which a substructure of the system is realised experimentally and the rest numerically. The two parts interact in real time to emulate the dynamics of the full system. Such experiments however are…
Extreme events can come either from point processes, when the size or energy of the events is above a certain threshold, or from time series, when the intensity of a signal surpasses a threshold value. We are particularly concerned by the…
In this paper we review some results on time-homogeneous birth-death processes. Specifically, for truncated birth-death processes with two absorbing or two reflecting endpoints, we recall the necessary and sufficient conditions on the…
The Van der Waals equation (VdW-EoS) is a prototype equation of state for realistic systems, because it contains the excluded volume and the particle interactions. Additionally, the simulated annealing (and the similar simulated…
We construct a zero-entropy weakly mixing finite-valued process with the exponential limit law for return resp. hitting times. This limit law is obtained in almost every point, taking the limit along the full sequence of cylinders around…
In this paper we study the iterated birth process of which we examine the first-passage time distributions and the hitting probabilities. Furthermore, linear birth processes, linear and sublinear death processes at Poisson times are…
An analytical study of the return time distribution of extreme events for stochastic processes with power-law correlation has been carried on. The calculation is based on an epsilon-expansion in the correlation exponent:…