Related papers: Characteristics of the switch process and geometri…
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the prop- erties are (approximately) constant for some time and then slowly…
Stochastic orders on point processes are partial orders which capture notions like being larger or more variable. Laplace functional ordering of point processes is a useful stochastic order for comparing spatial deployments of wireless…
Many spatial processes exhibit nonstationary features. We estimate a variance function from a single process observation where the errors are nonstationary and correlated. We propose a difference-based approach for a one-dimensional…
We study a stochastic multiplicative process with reset events. It is shown that the model develops a stationary power-law probability distribution for the relevant variable, whose exponent depends on the model parameters. Two qualitatively…
We report on an astonishing switching synchronization phenomenon in one-dimensional memristive networks, which occurs when several memristive systems with different switching constants are switched from the high to low resistance state. Our…
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process…
Advection and dispersion in highly heterogeneous environments involving interfacial discontinuities in the corresponding drift and dispersion rates are described through disparate examples from the physical and biological sciences. A…
We introduce discrete time Markov chains that preserve uniform measures on boxed plane partitions. Elementary Markov steps change the size of the box from (a x b x c) to ((a-1) x (b+1) x c) or ((a+1) x (b-1) x c). Algorithmic realization of…
The purpose of this paper is to explain a certain dichotomy between the information that the past and future values of a multivariate stochastic process carry about the present. More specifically, vector-valued, second-order stochastic…
Consider a Markov chain with finite state $\{0, 1, ..., d\}$. We give the generation functions (or Laplace transforms) of absorbing (passage) time in the following two situations : (1) the absorbing time of state $d$ when the chain starts…
We consider an interacting particle system $(\eta_t)_{t\geq 0}$ with values in $\{0,1\}^{\mathbb{Z}}$, in which each vacant site becomes occupied with rate 1, while each connected component of occupied sites become vacant with rate equal to…
Many records in environmental sciences exhibit asymmetric trajectories and there is a need for simple and tractable models which can reproduce such features. In this paper we explore an approach based on applying both a time change and a…
First-passage time problems are ubiquitous across many fields of study including transport processes in semiconductors and biological synapses, evolutionary game theory and percolation. Despite their prominence, first-passage time…
Non-equilibrium fluctuations of various stochastic variables, such as work and entropy production, have been widely discussed recently in the context of large deviations, cumulants and fluctuation relations. Typically, one looks at the…
We consider a random walk model in a one-dimensional environment, formed by several zones of finite width with the fixed transition probabilities. It is also assumed that the transitions to the left and right neighboring points have unequal…
We study the two-dimensional joint distribution of the first hitting time of a constant level by a continuous-state branching process with immigration and their primitive stopped at this time. We show an explicit expression of its Laplace…
Given a heterogeneous time-series sample, the objective is to find points in time (called change points) where the probability distribution generating the data has changed. The data are assumed to have been generated by arbitrary unknown…
Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and…
We investigate the first-passage properties of a jump process with a constant drift, focusing on two key observables: the first-passage time $\tau$ and the number of jumps $n$ before the first-passage event. By mapping the problem onto an…
The autor considers an initial-boundary value problem for the nonstationary Stokes system in an angle, where Dirichlet and Neumann conditions are prescribed on the diferent sides of the angle. The major part of the paper deals with the…