Related papers: Time to reach the maximum for a stationary stochas…
In this article we study the so-called cut-off phenomenon in the total variation distance when $n\to \infty$ for the family of continuous-time stochastic processes indexed by $n\in \mathbb{N}$, \[ \left( \mathcal{Z}^{(n)}_t=…
We prove a central limit theorem for the momentum distribution of a particle undergoing an unbiased spatially periodic random forcing at exponentially distributed times without friction. The start is a linear Boltzmann equation for the…
The infinite (in both directions) sequence of the distributions $\mu^{(k)}$ of the stochastic integrals $\int_0^{\infty-}c^{-N_{t-}^{(k)}} dL_t^{(k)}$ for integers $k$ is investigated. Here $c>1$ and $(N_t^{(k)},L_t^{(k)})$, $t\geq0$, is a…
Assume that a stochastic processes can be approximated, when some scale parameter gets large, by a fluid limit (also called "mean field limit", or "hydrodynamic limit"). A common practice, often called the "fixed point approximation"…
Let $\{X(\mathbf{t}):\mathbf{t}=(t_1, t_2, \ldots, t_d)\in[0,\infty)^d\}$ be a centered stationary Gaussian field with almost surely continuous sample paths, unit variance and correlation function $r$ satisfying conditions $r(\mathbf{t})<1$…
We study the long time behaviour of a Markov process evolving in $\mathbb{N}$ and conditioned not to hit 0. Assuming that the process comes back quickly from infinity, we prove that the process admits a unique quasi-stationary distribution…
The Herman Protocol Conjecture states that the expected time $\mathbb{E}(\mathbf{T})$ of Herman's self-stabilizing algorithm in a system consisting of $N$ identical processes organized in a ring holding several tokens is at most…
The location of the unique supremum of a stationary process on an interval does not need to be uniformly distributed over that interval. We describe all possible distributions of the supremum location for a broad class of such stationary…
Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$…
In this paper we study the reachability problem for discrete-time nonlinear stochastic systems. Our goal is to present a unified framework for calculating the probabilistic reachable set of discrete-time systems in the presence of both…
The TCP window size process appears in the modeling of the famous Transmission Control Protocol used for data transmission over the Internet. This continuous time Markov process takes its values in $[0,\infty)$, is ergodic and irreversible.…
A necessary and sufficient condition is obtained for the existence of strong stationary times for ergodic one-dimensional diffusions, whatever the initial distribution. The strong stationary times are constructed through intertwinings with…
Statistical systems with time-periodic spatially non-uniform forces are of immense importance in several areas of physics. In this paper, we provide an analytical expression of the time-periodic probability distribution function of…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
We study a $d$-dimensional stochastic process $\mathbf{X}$ which arises from a L\'evy process $\mathbf{Y}$ by partial resetting, that is the position of the process $\mathbf{X}$ at a Poisson moment equals $c$ times its position right before…
In this article we derive Talagrand's $T_2$ inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic differential equations with measurable drifts, backward…
In this paper we study the randomized non-autonomous complete linear differential equation. The diffusion coefficient and the source term in the differential equation are assumed to be stochastic processes and the initial condition is…
We consider the dynamics of the disordered, one-dimensional, symmetric zero range process in which a particle from an occupied site $k$ hops to its nearest neighbour with a quenched rate $w(k)$. These rates are chosen randomly from the…
Motivated by applications of statistical mechanics in which the system of interest is spatially unconfined, we present an exact solution to the maximum entropy problem for assigning a stationary probability distribution on the phase space…
A method for the construction of approximate analytical expressions for the stationary marginal densities of general stochastic search processes is proposed. By the marginal densities, regions of the search space that with high probability…