Related papers: The harmonic mean formula for random processes
Consider $(X_{i}(t))$ solving a system of $N$ stochastic differential equations interacting through a random matrix $\mathbf J = (J_{ij})$ with independent (not necessarily identically distributed) random coefficients. We show that the…
The hypothesis of the random flow of time is considered. To do this, the concepts of microscopic random time and macroscopic mean time, as well as random modular time are introduced. The possibilities of experimental verification of the…
In this paper we consider the relation between random sums and compositions of different processes. In particular, for independent Poisson processes $N_\alpha(t)$, $N_\beta(t)$, $t>0$, we show that $N_\alpha(N_\beta(t))…
We consider the problem of determining the existence of a sequence of matrices driving a discrete-time consensus system to consensus. We transform this problem into one of the existence of a product of the transition (stochastic) matrices…
We prove a law of large numbers in terms of complete convergence of independent random variables taking values in increments of monotone functions, with convergence uniform both in the initial and the final time. The result holds also for…
The mean absolute deviation about the mean is an alternative to the standard deviation for measuring dispersion in a sample or in a population. For stationary, ergodic time series with a finite first moment, an asymptotic expansion for the…
We consider two high-frequency thermal processes in uniformly heated harmonic crystals relaxing towards equilibrium: (i) equilibration of kinetic and potential energies and (ii) redistribution of energy among spatial directions. Equation…
The fluctuations in the particle size distribution for processes of fragmentation and aggregation are studied for stationary state regimes. The system is described in terms of a stochastic process over an adequate tree structure. The RMS…
The harmonizable Piranashvili-type stochastic processes are approximated by finite time shifted average sampling sums. Explicit truncation error upper bounds are established. Various corollaries and special cases are discussed.
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
We derive an exact formula for the complex frequency in spatio-temporal stability analysis that is valid for arbitrary complex wave numbers. The usefulness of the formula lies in the fact that it depends only on purely temporal quantities,…
This paper gives a new representation of Pickands' constants, which arise in the study of extremes for a variety of Gaussian processes. Using this representation, we resolve the long-standing problem of devising a reliable algorithm for…
The aim of this paper is to analyze a class of random motions which models the motion of a particle on the real line with random velocity and subject to the action of the friction. The speed randomly changes when a Poissonian event occurs.…
We solve explicitly the following problem: for a given probability measure mu, we specify a generalised martingale diffusion X which, stopped at an independent exponential time T, is distributed according to mu. The process X is specified…
For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution.…
A Spartan random process (SRP) is used to estimate the correlation structure of time series and to predict (extrapolate) the data values. SRP's are motivated from statistical physics, and they can be viewed as Ginzburg-Landau models. The…
In many contexts such as queuing theory, spatial statistics, geostatistics and meteorology, data are observed at irregular spatial positions. One model of this situation involves considering the observation points as generated by a Poisson…
First, we present a concise glossary of formulas for composition of standard, cumulant, factorial, and factorial cumulant moments in superposition (compound) models, where final particles are created via independent emission from a…
We consider a random process with discrete time formed by singular values of products of truncations of Haar distributed unitary matrices. We show that this process can be understood as a scaling limit of the Schur process, which gives…
The paper considers multivariate discrete random sums with equal number of summands. Such distributions describe the total claim amount received by a company in a fixed time point. In Queuing theory they characterize cumulative waiting…