Related papers: Yaglom limit for Stochastic Fluid Models

We propose a new model and estimation framework for spatiotemporal streamflow exceedances above a threshold that flexibly captures asymptotic dependence and independence in the tail of the distribution. We model streamflow using a mixture…

In [ABM07], Abdulla et al. introduced the concept of decisiveness, an interesting tool for lifting good properties of finite Markov chains to denumerable ones. Later, this concept was extended to more general stochastic transition systems…

This paper introduces an energy-preserving stochastic model for studying wave effects on currents in the ocean mixing layer. The model is called stochastic forcing by Lie transport (SFLT). The SFLT model is derived here from a stochastic…

We prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly moving nonlinear boundary for a class of Gaussian stationary processes. The limit is a double exponential (Gumbel) distribution.

We consider the Fleming--Viot particle system associated with a continuous-time Markov chain in a finite space. Assuming irreducibility, it is known that the particle system possesses a unique stationary distribution, under which its…

Survival analysis aims to estimate a time-to-event distribution from data with censored observations. Many existing methods either impose structural assumptions on the hazard function or discretize the time axis, which may limit flexibility…

In [ABM07], Abdulla et al. introduced the concept of decisiveness, an interesting tool for lifting good properties of finite Markov chains to denumerable ones. Later, this concept was extended to more general stochastic transition systems…

The paper presents a phenomenon occurring in population processes that start near zero and have large carrying capacity. By the classical result of Kurtz~(1970), such processes, normalized by the carrying capacity, converge on finite…

The Gelfand-Yaglom formula relates the regularized determinant of a differential operator to the solution of an initial value problem. Here we develop a generalized Gelfand-Yaglom formula for a Hamiltonian system with Lagrangian boundary…

We establish two concentration inequalities for nonlinear stochastic system under time-varying contraction conditions. The key to our approach is an energy function termed Averaged Moment Generating Function (AMGF). By combining it with…

We consider a continuous curve of linear elliptic formally self-adjoint differential operators of first order with smooth coefficients over a compact Riemannian manifold with boundary together with a continuous curve of global elliptic…

The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global…

Consider two random variables following Skellam distributions of parameters going to infinity linearly. We prove that the limit distribution of the first variable, conditionally on being equal to the second, is Gaussian.

This article extends, in a stochastic environment, the Yagil (1987) model which establishes, in a deterministic dividend discount model, a range for the exchange ratio in a stock-for-stock merger agreement. Here, we generalize Yagil's work…

Intermediately subcritical branching processes in random environment are at the borderline between two subcritical regimes and exhibit a particularly rich behavior. In this paper, we prove a functional limit theorem for these processes. It…

In this paper we introduce a modified lattice Boltzmann model (LBM) with the capability of mimicking a fluid system with dynamic heterogeneities. The physical system is modeled as a one-dimensional fluid, interacting with finite-lifetime…

The vapor-liquid critical behavior of intrinsically asymmetric fluids is studied in finite systems of linear dimensions, $L$, focusing on periodic boundary conditions, as appropriate for simulations. The recently propounded ``complete''…

A many-server heavy-traffic FCLT is proved for the $G_t/M/s_t+\mathit {GI}$ queueing model, having time-varying arrival rate and staffing, a general arrival process satisfying a FCLT, exponential service times and customer abandonment…

In this paper, a constrained control approach to variable speed limit (VSL) control for macroscopic partial differential equations (PDE) traffic models is developed. Control Lyapunov function (CLF) theory for ordinary differential equations…

A simple model for the nonlinear collective transport of interacting particles in a random medium with strong disorder is introduced and analyzed. A finite threshold for the driving force divides the behavior into two regimes characterized…