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The entropy production rate is a central quantity in non-equilibrium statistical physics, scoring how far a stochastic process is from being time-reversible. In this paper, we compute the entropy production of diffusion processes at…

Suppose we observe a trajectory of length $n$ from an exponentially $\alpha$-mixing stochastic process over a finite but potentially large state space. We consider the problem of estimating the probability mass placed by the stationary…

In this paper, a study of random times on filtered probability spaces is undertaken. The main message is that, as long as distributional properties of optional processes up to the random time are involved, there is no loss of generality in…

By optimal fluctuation method, we study short-time distribution $P(\mathcal{A}=A)$ of the functionals, $\mathcal{A}=\int_{0}^{t_f} x^n(t) dt$, along constrained trajectories of random acceleration process for a given time duration $t_f$,…

We derive a necessary and sufficient condition for stochastic processes to have almost periodic finite dimensional distributions; in particular, we obtain characterizations for infinitely divisible processes to be almost periodic in terms…

Max-stable processes have proved to be useful for the statistical modelling of spatial extremes. Several representations of max-stable random fields have been proposed in the literature. One such representation is based on a limit of…

We solve a non-equilibrium statistical mechanics problem exactly, namely, the single-file dynamics of N hard-core interacting particles (the particles cannot pass each other) of size \Delta diffusing in a one dimensional system of finite…

In the present paper we propose a new stochastic diffusion process with drift proportional to the Weibull density function defined as X $\epsilon$ = x, dX t = $\gamma$ t (1 - t $\gamma$+1) - t $\gamma$ X t dt + $\sigma$X t dB t , t…

In this paper we present the distribution of the maximum of the asymmetric telegraph process in an arbitrary time interval $[0,t]$ under the conditions that the initial velocity $V(0)$ is either $c_1$ or $-c_2$ and the number of changes of…

We derive statistical-mechanical speed limits on dissipation from the classical, chaotic dynamics of many-particle systems. In one, the rate of irreversible entropy production in the environment is the maximum speed of a deterministic…

We are studying stationary random processes with conditional polynomial moments that allow a continuous path modification. Processes with continuous path modification, are important because they are relatively easy to simulate. One does not…

For an arbitrary diffusion process $X$ with time-homogeneous drift and variance parameters $\mu(x)$ and $\sigma^2(x)$, let $V_\varepsilon$ be $1/\varepsilon$ times the total time $X(t)$ spends in the strip…

We establish general conditions under which there exists uniform in time convergence between a stochastic process and its approximated system. These standardised conditions consist of a local in time estimate between the original and the…

Employing the optimal fluctuation method (OFM), we study the large deviation function of long-time averages $(1/T)\int_{-T/2}^{T/2} x^n(t) dt$, $n=1,2, \dots$, of centered stationary Gaussian processes. These processes are correlated and,…

We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on $m$-dependent approximation for stationary processes and a moderate deviation result.

We study the probability of stability of a large complex system of size $N$ within the framework of a generalized May model, which assumes a linear dynamics of each population size $n_i$ (with respect to its equilibrium value): $…

We consider the excursions, i.e. the intervals between consecutive zeros, of stochastic processes that arise in a variety of nonequilibrium systems and study the temporal growth of the longest one l_{\max}(t) up to time t. For smooth…

This paper concerns the instantaneous frequency (IF) of continuous-time, zero-mean, complex-valued, proper, mean-square differentiable nonstationary Gaussian stochastic processes. We compute the probability density function for the IF for…

Let $\{X(t), t\geq0\}$ be a stationary Gaussian process with zero-mean and unit variance. A deep result derived in Piterbarg (2004), which we refer to as Piterbarg's max-discretisation theorem gives the joint asymptotic behaviour ($T\to…

The sensitivity of trajectories over finite time intervals t to perturbations of the initial conditions can be associated with a finite-time Lyapunov exponent lambda, obtained from the elements M_{ij} of the stability matrix M. For globally…