Related papers: Maximum of Exponential Random Variables, Hurwitz's…
It is well known that the entropy $H(X)$ of a discrete random variable $X$ is always greater than or equal to the entropy $H(f(X))$ of a function $f$ of $X$, with equality if and only if $f$ is one-to-one. In this paper, we give tight…
We propose a new multifractional stochastic process which allows for self-exciting behavior, similar to what can be seen for example in earthquakes and other self-organizing phenomena. The process can be seen as an extension of a…
Despite the coupon collector's problem has simple probabilistic solution using inclusion/exclusion principle \cite{PolyaUrn}, starting from a particular type of recurrence differential equation it is used an analytic approach to recover…
We study the asymptotic behaviour of random integer partitions under a new probability law that we introduce, the Plancherel-Hurwitz measure. This distribution, which has a natural definition in terms of Young tableaux, is a deformation of…
The classical problem of maximizing the Shannon entropy of a sum of independent random variables supported on a finite alphabet is considered and settled in the ternary case. Namely, the following theorem is established: if…
A cycle expansion for the Lyapunov exponent of a product of random matrices is derived. The formula is non-perturbative and numerically effective, which allows the Lyapunov exponent to be computed to high accuracy. In particular, the free…
The joint moments of the derivatives of the characteristic polynomial of a random unitary matrix, and also a variant of the characteristic polynomial that is real on the unit circle, in the large matrix size limit, have been studied…
We study extreme-value statistics of Brownian trajectories in one dimension. We define the maximum as the largest position to date and compare maxima of two particles undergoing independent Brownian motion. We focus on the probability P(t)…
In this paper, the joint distribution of the sum and maximum of independent, not necessarily identically distributed, nonnegative random variables is studied for two cases: i) continuous and ii) discrete random variables. First, a recursive…
We study the partition function from random matrix theory using a well known connection to orthogonal polynomials, and a recently developed Riemann-Hilbert approach to the computation of detailed asymptotics for these orthogonal…
The "double Dixie cup problem" of D.J. Newman and L. Shepp (1960) is a well-known variant of the coupon collector's problem, where the object of study is the number $T_{m}(N)$ of coupons that a collector has to buy in order to complete $m$…
We prove the leading order of a conjecture by Fyodorov, Hiary and Keating, about the maximum of the Riemann zeta function on random intervals along the critical line. More precisely, as $T \rightarrow \infty$ for a set of $t \in [T, 2T]$ of…
We give the distribution of $M_n$, the maximum of a sequence of $n$ observations from a moving average of order 1. Solutions are first given in terms of repeated integrals and then for the case where the underlying independent random…
Fractional Brownian motion is a non-Markovian Gaussian process $X_t$, indexed by the Hurst exponent $H$. It generalises standard Brownian motion (corresponding to $H=1/2$). We study the probability distribution of the maximum $m$ of the…
This study deals with certain harmonic zeta functions, one of them occurs in the study of the multiplication property of the harmonic Hurwitz zeta function. The values at the negative even integers are found and Laurent expansions at poles…
For a widely used hub-and-spoke closed product-form network consisting of an infinite-server node and several single-server queues, we characterize the maximum queue-length distribution in various operational regimes by leveraging a novel…
Exact expressions for the partition functions of the rigid string and membrane at any temperature are obtained in terms of hypergeometric functions. By using zeta function regularization methods, the results are analytically continued and…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
In this work, it is introduced a new function based on the non-trivial zeros of the Riemann-zeta function. Such function shows an interesting behavior: when the argument of the function grows, it changes from a pseudo-random behavior to a…
For words of length n, generated by independent geometric random variables, we consider the average value and the average position of the r-th left-to-right maximum, for fixed r and large n.