Related papers: The harmonic mean formula for random processes
We give a method for computing the iterated Laplace transform of the sojourn time in an union of intervals for linear diffusion processes. This random variable comes from a model occurring in biology concerning the clustering of membrane…
The problem of quantum harmonic oscillator with "regular+random" square frequency, subjected to "regular+random external force, is considered in framework of representation of the wave function by complex-valued random process. Average…
We study the rank of the instantaneous or spot covariance matrix $\Sigma_X(t)$ of a multidimensional continuous semi-martingale $X(t)$. Given high-frequency observations $X(i/n)$, $i=0,\ldots,n$, we test the null hypothesis…
Given a set of independent Poisson random variables with common mean, we study the distribution of their maximum and obtain an accurate asymptotic formula to locate the most probable value of the maximum. We verify our analytic results with…
A relation connecting the {\it{rest mass}} and {\it{separation of events in space-time continuum}} is suggested and the idea of Compton scattering is used as a method for the determination of rest mass. An experiment involving collision of…
It is, perhaps, surprising that the location of the unique supremum of a stationary process on an interval can fail to be uniformly distributed over that interval. We show that this distribution is absolutely continuous in the interior of…
In this paper we deal with the generalized Gamma processes and their compositions. For the compositions of two or more than two generalized Gamma processes we give, when possible, the explicit law whereas, in the other cases the…
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find…
In this paper we consider a particular version of the random walk with restarts: random reset events which bring suddenly the system to the starting value. We analyze its relevant statistical properties like the transition probability and…
A functional method for calculating averages of the time-ordered exponential of a continuous isotropic random $N\times N$ matrix process is presented. The process is not assumed to be Gaussian. In particular, the Lyapunov exponents and…
Time estimation is a fundamental task that underpins precision measurement, global navigation systems, financial markets, and the organisation of everyday life. Many biological processes also depend on time estimation by nanoscale clocks,…
We consider a nonlinear pendulum whose suspension point undergoes stochastic vibrations in its plane of motion. Stochastic vibrations are constructed by stochastic differential equations with random periodic solutions. Averaging over these…
In parallelized Monte-Carlo simulations, the order of summation is not always the same. When the mean is calculated in running fashion, this may create an artificial randomness in results which ought to be reproducible. This note takes a…
This paper explores the joint behaviour of the summands of a random walk when their mean value goes to infinity as its length increases. It is proved that all the summands must share the same value, which extends previous results in the…
In this paper, a unified mathematical expression for the constraints leading to the equilibrium distributions of both extensive and non-extensive systems is presented. Based on this expression, a recommendation is made to replace Tsallis'…
Let $\{X_i(t),t\ge0\}, 1\le i\le n$ be independent centered stationary Gaussian processes with unit variance and almost surely continuous sample paths. For given positive constants $u,T$, define the set of conjunctions $C_{[0,T],u}:=\{t\in…
The Poisson process of order $i$ is a weighted sum of independent Poisson processes and is used to model the flow of clients in different services. In the paper below we study some extensions of this process, for different forms of the…
Given a random process $x(\tau)$ which undergoes stochastic resetting at a constant rate $r$ to a position drawn from a distribution ${\cal P}(x)$, we consider a sequence of dynamical observables $A_1, \dots, A_n$ associated to the…
In this paper, we analyze the sojourn of an entire batch in a processor sharing $M^{[X]}/M/1$ processor queue, where geometrically distributed batches arrive according to a Poisson process and jobs require exponential service times. By…
A stochastically continuous process $\xi(t)$, $t\geq0$, is said to be time-stable if the sum of $n$ i.i.d. copies of $\xi$ equals in distribution to the time-scaled stochastic process $\xi(nt)$, $t\geq0$. The paper advances the…