Related papers: Different time scales in dynamic systems with mult…

The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…

Many psychological experiments have subjects repeat a task to gain the statistical precision required to test quantitative theories of psychological performance. In such experiments, time-on-task can have sizable effects on performance,…

The time-dependent relaxation of a dynamical system may exhibit a power-law behavior that is superimposed by log-periodic oscillations. Sornette [Phys. Rep. 297, 239 (1998)] showed that this behavior can be explained by a discrete scale…

We study exit times from a set for a family of multivariate autoregressive processes with normally distributed noise. By using the large deviation principle, and other methods, we show that the asymptotic behavior of the exit time depends…

In this work we consider a stochastic movement process with random resets to the origin followed by a random residence time there before the walker restarts its motion. First, we study the transport properties of the walker, we derive an…

Financial time series exhibit multiscale behavior, with interaction between multiple processes operating on different timescales. This paper introduces a method for separating these processes using variance and tail stationarity criteria,…

The problem of noise-induced escape from a metastable state arises in physics, chemistry, biology, systems engineering, and other areas. The problem is well understood when the underlying dynamics of the system obey detailed balance. When…

We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state space. Our study focuses on the joint distribution of the two-sided exit time and the state of the driving Markov chain at the time of exit,…

Highly-diverse ecosystems exhibit a broad distribution of population sizes and species turnover, where species at high and low abundances are exchanged over time. We show that these two features generically emerge in the fluctuating phase…

In this paper, we derive explicit formulas for the surface averaged first exit time of a discrete random walk on a finite lattice. We consider a wide class of random walks and lattices, including random walks in a non-trivial potential…

Noise-induced transitions between metastable fixed points in systems evolving on multiple time scales are analyzed in situations where the time scale separation gives rise to a slow manifold with bifurcation. This analysis is performed…

We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include…

We study long-range interacting systems driven by external stochastic forces that act collectively on all the particles constituting the system. Such a scenario is frequently encountered in the context of plasmas, self-gravitating systems,…

I give a highly selective overview of the way statistical mechanics explains the microscopic origins of the time asymmetric evolution of macroscopic systems towards equilibrium and of first order phase transitions in equilibrium. These…

Dynamic heterogeneity, believed to be one of the hallmarks of the dynamics of supercooled liquids, is expected to affect the diffusion of the particles comprising the liquid. We have carried out extensive molecular dynamics simulations of…

It has been recently discovered that some random processes may satisfy limit theorems even though they exhibit intermittency, namely an unusual growth of moments. In this paper we provide a deeper understanding of these intricate limiting…

We investigate the dynamics of the evacuation process with multiple bottlenecks using the floor field model. To deal with this problem, we first focus on a part of the system and report its microscopic behavior. The system is controlled by…

The time needed for a particle to exit a confining domain through a small window, called the narrow escape time (NET), is a limiting factor of various processes, such as some biochemical reactions in cells. Obtaining an estimate of the mean…

Organisms gain by anticipating future changes in the environment. Those environmental changes often follow stochastic trends. The greater the slope of the trend, the more likely the trend's momentum carries the future trend in the same…

We study the time-averaged flow in a model of particles that randomly hop on a finite directed graph. In the limit as the number of particles and the time window go to infinity but the graph remains finite, the large-deviation rate…