Related papers: A Multiplicative Version of the Lindley Recursion
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive…
A new distribution on (0, 1), generalized Log-Lindley distribution, is proposed by extending the Log-Lindley distribution. This new distribution is shown to be a weighted Log-Lindley distribution. Important probabilistic and statistical…
Multivariate fluctuation relations are established in three stochastic models of transistors, which are electronic devices with three ports and thus two coupled currents. In the first model, the transistor has no internal state variable and…
We consider the motion of a randomly accelerated particle in one dimension under stochastic resetting mechanism. Denoting the position and velocity by $x$ and $v$ respectively, we consider two different resetting protocols - (i) complete…
We consider the simple random walk (or P\'olya walk) on the one-dimensional lattice subject to stochastic resetting to the origin with probability $r$ at each time step. The focus is on the joint statistics of the numbers…
We study the stochastic properties of the area under some function of the difference between (i) a spectrally positive L\'evy process $W_t^x$ that jumps to a level $x>0$ whenever it hits zero, and (ii) its reflected version $W_t$.…
Stochastic point processes with refractoriness appear frequently in the quantitative analysis of physical and biological systems, such as the generation of action potentials by nerve cells, the release and reuptake of vesicles at a synapse,…
General state-space models (SSMs) are widely used in statistical machine learning and are among the most classical generative models for sequential time-series data. SSMs, comprising latent Markovian states, can be subjected to variational…
Stationary stochastic processes with independent increments, of which the Poisson process is a prominent example, are widely used to describe real world events. With the basic assumption that a counting process is stationary and has…
It has been known for nearly a decade that deterministically modeled reaction networks that are weakly reversible and consist of a single linkage class have trajectories that are bounded from both above and below by positive constants (so…
This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real…
A new class of random composition structures (the ordered analog of Kingman's partition structures) is defined by a regenerative description of component sizes. Each regenerative composition structure is represented by a process of random…
We show that $h_\infty(X+Y)\leq h_\infty(Z+W)$, where $X, Y$ are independent log-concave random variables, and $Z, W$ are exponential random variables having the same respective $\infty$-R\'enyi entropies. Analogs for integer-valued…
In this paper we consider the one-dimensional dynamical evolution of a particle traveling at constant speed and performing, at a given rate, random reversals of the velocity direction. The particle is subject to stochastic resetting,…
We revisit the discrete additive and multiplicative coalescents, starting with $n$ particles with unit mass. These cases are known to be related to some "combinatorial coalescent processes": a time reversal of a fragmentation of Cayley…
We investigate the increasing stability of the inverse Schr\"{o}dinger potential problem with integer power type nonlinearities at a large wavenumber. By considering the first order linearized system with respect to the unknown potential…
The higher dimensional autoregressive models would describe some of the econometric processes relatively generically if they incorporate the heterogeneity in dependence on times. This paper analyzes the stationarity of an autoregressive…
Reflected random walk in higher dimension arises from an ordinary random walk (sum of i.i.d. random variables): whenever one of the reflecting coordinates becomes negative, its sign is changed, and the process continues from that modified…
We are interested in the long-time behavior of a diploid population with sexual reproduction, characterized by its genotype composition at one bi-allelic locus. The population is modeled by a 3-dimensional birth-and-death process with…
Given an autoregressive process X of order p (i.e. X_n = a_1 X_{n-1} + ...+ a_p X_{n_p} + Y_n where the random variables Y_1, Y_2, ... are i.i.d.), we study the asymptotic behaviour of the probability that the process does not exceed a…