Related papers: Limit theorems for integral functionals of Hermite…

We study the average shape of a fluctuation of a time series x(t), that is the average value <x(t)-x(0)>_T before x(t) first returns, at time T, to its initial value x(0). For large classes of stochastic processes we find that a scaling law…

In this expository paper we describe the pathwise behaviour of the integral functional $\int_0^t f(Y_u)\,\dd u$ for any $t\in[0,\zeta]$, where $\zeta$ is (a possibly infinite) exit time of a one-dimensional diffusion process $Y$ from its…

Consider the random variable $\mathrm{Tr}( f_1(W)A_1\dots f_k(W)A_k)$ where $W$ is an $N\times N$ Hermitian Wigner matrix, $k\in\mathbb{N}$, and choose (possibly $N$-dependent) regular functions $f_1,\dots, f_k$ as well as bounded…

The total entropy production fluctuations are studied in some exactly solvable models. For these systems, the detailed fluctuation theorem holds even in the transient state, provided initially the system is prepared in thermal equilibrium.…

Let $X_{1},X_{2},...$ be a sequence of independent copies (s.i.c) of a real random variable (r.v.) $X\geq 1$, with distribution function $df$ $F(x)=\mathbb{P}% (X\leq x)$ and let $X_{1,n}\leq X_{2,n} \leq ... \leq X_{n,n}$ be the order…

In the paper we consider the problem of estimating parameters entering the drift of a fractional Ornstein-Uhlenbeck type process in the non-ergodic case, when the underlying stochastic integral is of Young type. We consider the sampling…

This paper considers the asymptotic behaviour of volumes of excursion sets of subordinated Gaussian random fields with (possibly) infinite variance. Actually, we consider integral functionals of such fields and obtain their limiting…

We investigate the inherent structure (IS) dynamics of mean-field {\it finite-size} spin-glass models whose high-temperature dynamics is described in the thermodynamic limit by the schematic Mode Coupling Theory for super-cooled liquids.…

When $L$ is the Hermite or the Ornstein-Uhlenbeck operator, we find minimal integrability and smoothness conditions on a function $f$ so that the fractional power $L^\sigma f(x_0)$ is well-defined at a given point $x_0$. We illustrate the…

A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $\lambda>0$ such that the process is well defined for Hurst parameter…

In this paper we consider integration and $L_2$-approximation for functions over $\RR^s$ from weighted Hermite spaces. The first part of the paper is devoted to a comparison of several weighted Hermite spaces that appear in literature,…

The chaotic phenomenon of intermittency is modeled by a simple map of the unit interval, the Farey map. The long term dynamical behaviour of a point under iteration of the map is translated into a spin system via symbolic dynamics. Methods…

Let $G$ be a non--linear function of a Gaussian process $\{X_t\}_{t\in\mathbb{Z}}$ with long--range dependence. The resulting process $\{G(X_t)\}_{t\in\mathbb{Z}}$ is not Gaussian when $G$ is not linear. We consider random wavelet…

In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{i\Delta_{n}})_{i=0}^{\lfloor nt\rfloor-1}$, under the assumption that as…

A stopping time $T$ is the first time when a trajectory of a stochastic process satisfies a specific criterion. In this paper, we use martingale theory to derive the integral fluctuation relation $\langle e^{-S_{\rm tot}(T)}\rangle=1$ for…

We are concerned in this paper with the functional asymptotic behaviour of the sequence of stochastic processes T_{n}(f)=\sum_{j=1}^{j=k}f(j)(\log X_{n-j+1,n}-\log X_{n-j,n}), indexed by some classes $\mathcal{F}$ of functions $f:\mathbb{N}…

U-statistics of spatial point processes given by a density with respect to a Poisson process are investigated. In the first half of the paper general relations are derived for the moments of the functionals using kernels from the Wiener-Ito…

Let $\xi$ be a L\'{e}vy process and $I_\xi(t):=\int_{0}^te^{-\xi_s}\mathrm{d} s$, $t\geq 0,$ be the exponential functional of L\'{e}vy processes on deterministic horizon. Given that $\lim_{t\to \infty}\xi_t=-\infty$ we evaluate for general…

Fluctuations of thermodynamic quantities become non-negligible and play an important role when the system size is small. We develop finite-time thermodynamics of fluctuations in microscopic heat engines whose environmental temperature and…

A Fluctuation Theorem (FT), both Classical and Quantum, describes the large-deviations in the approach to equilibrium of an isolated quasi-integrable system. Two characteristics make it unusual: (i) it concerns the internal dynamics of an…