Related papers: Singular distribution functions for random variabl…
The method of distributions is developed for systems that are governed by hyperbolic conservation laws with stochastic forcing. The method yields a deterministic equation for the cumulative density distribution (CDF) of a system state,…
Consider a continuous time Markov chain with rates Q in the state space \Lambda\cup\{0\} with 0 as an absorbing state. In the associated Fleming-Viot process N particles evolve independently in \Lambda with rates Q until one of them…
Let $X_1,X_2,\dots$ be independent and identically distributed random variables on the real line with a joint continuous distribution function $F$. The stochastic behavior of the sequence of subsequent records is well known. Alternatively…
A mean-field extension of the queueing system \(GI/GI/1\) is considered. The process is constructed as a Markov solution of a martingale problem. Uniqueness in distribution is established under a bit different sets of assumptions on…
For Markov processes with absorption, we provide general criteria ensuring the existence and the exponential non-uniform convergence in total variation norm to a quasi-stationary distribution. We also characterize a subset of its domain of…
For a class of one-dimensional mass transport models we present a simple and direct test on the chipping functions, which define the probabilities for mass to be transferred to neighbouring sites, to determine whether the stationary…
The distribution of the sum of independent identically distributed uniform random variables is well-known. However, it is sometimes necessary to analyze data which have been drawn from different uniform distributions. By inverting the…
In this paper, we introduce a new technique to study the distribution in residue classes of sets of integers with digit and sum-of-digits restrictions. From our main theorem, we derive a necessary and sufficient condition for integers with…
Let $X_1, X_2,\dots$ be a short-memory linear process of random variables. For $1\leq q<2$, let $\cF$ be a bounded set of real-valued functions on $[0,1]$ with finite $q$-variation. It is proved that…
We consider the problem of computing the joint distribution of order statistics of stochastically independent random variables in one- and two-group models. While recursive formulas for evaluating the joint cumulative distribution function…
We compute the stationary distribution of a continuous-time Markov chain which is constructed by gluing together two finite, irreducible Markov chains by identifying a pair of states of one chain with a pair of states of the other and…
Let us consider a pair signal-observation ((xn,yn),n 0) where the unobserved signal (xn) is a Markov chain and the observed component is such that, given the whole sequence (xn), the random variables (yn) are independent and the conditional…
We consider a class of discrete time Markov chains with state space [0,1] and the following dynamics. At each time step, first the direction of the next transition is chosen at random with probability depending on the current location. Then…
For downward skip-free continuous-time Markov chains on non-negative integers stopped at zero, existence of a quasi-stationary distribution is studied. The scale function for these processes is introduced and the boundary is classified by a…
Conditional particle filters (CPFs) are powerful smoothing algorithms for general nonlinear/non-Gaussian hidden Markov models. However, CPFs can be inefficient or difficult to apply with diffuse initial distributions, which are common in…
In this paper, we consider a Cox point process driven by the Manhattan Poisson line process. We calculate the exact cumulative distribution function (CDF) of the path distance (L1 norm) between a randomly selected intersection and the…
For a zero-mean, unit-variance second-order stationary univariate Gaussian process we derive the probability that a record at the time $n$, say $X_n$, takes place and derive its distribution function. We study the joint distribution of the…
We give a recursive construction of the stationary distribution of multi-type asymmetric simple exclusion processes on a finite ring or on the infinite line $Z$. The construction can be interpreted in terms of "multi-line diagrams" or…
We extend our previous study of Markov chains on finite commutative rings (arXiv:1605.05089) to arbitrary finite rings with identity. At each step, we either add or multiply by a randomly chosen element of the ring, where the addition…
A block Markov chain is a Markov chain whose state space can be partitioned into a finite number of clusters such that the transition probabilities only depend on the clusters. Block Markov chains thus serve as a model for Markov chains…