Related papers: A finite-state stationary process with long-range …
We give necessary and sufficient conditions for two sub-vectors of a random vector with a multivariate extreme value distribution, corresponding to the limit distribution of the maximum of a multidimensional stationary sequence with…
Observing a load process above high thresholds, modeling it as a pulse process with random occurrence times and magnitudes, and extrapolating life-time maximum or design loads from the data is a common task in structural reliability…
The illness-death model of a chronic disease consists of the states 'Normal', 'Disease' and 'Death'. In general, the transition rates between the states depend on three time scales: calendar time, age and duration of the chronic disease.…
Intensity-based multistate models provide a useful framework for characterizing disease processes, the introduction of interventions, loss to follow-up, and other complications arising in the conduct of randomized trials studying complex…
We address stability of a class of Markovian discrete-time stochastic hybrid systems. This class of systems is characterized by the state-space of the system being partitioned into a safe or target set and its exterior, and the dynamics of…
In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point…
The aim of this paper is the analysis of the fractional Poisson process where the state probabilities $p_k^{\nu_k}(t)$, $t\ge 0$, are governed by time-fractional equations of order $0<\nu_k\leq 1$ depending on the number $k$ of events…
We study the long-time behavior of stochastic models with an absorbing state, conditioned on survival. For a large class of processes, in which saturation prevents unlimited growth, statistical properties of the surviving sample attain…
A defining feature of non-stationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for…
During their lifetimes, individuals in populations pass through different states, and the notion of an occupancy time describes the amount of time an individual spends in a given set of states. Questions related to this idea were studied in…
This article introduces new methods for the analysis of cyclostationary time series with infinite variance. Traditional cyclostationary analysis, based on periodically correlated (PC) processes, relies on the autocovariance function (ACVF).…
We apply the concept of distance covariance for testing independence of two long-range dependent time series. As test statistic we propose a linear combination of empirical distance cross-covariances. We derive the asymptotic distribution…
This paper investigates the stability properties of a nonlinear fractional differential equation with two discrete delays and a delay-dependent coefficient. Such equations arise in various biological and control systems where temporal…
In this paper, we define a tempered space-time fractional negative binomial process (TSTFNBP) by subordinating the fractional Poisson process with an independent tempered Mittag-Leffler L\'{e}vy subordinator. We study its distributional…
We study a class of distribution-steering problems from a variational point of view. Under some differentiability assumptions, we derive necessary conditions for optimal Markov policies in the spirit of the Lagrange multiplier approach. We…
This paper introduces a novel approach to investigate the dynamics of state distributions, which accommodate both cross-sectional distributions of repeated panels and intra-period distributions of a time series observed at high frequency.…
We study the effects of discrete, randomly distributed time delays on the dynamics of a coupled system of self-propelling particles. Bifurcation analysis on a mean field approximation of the system reveals that the system possesses patterns…
The purpose of this paper is to develop a new fractional dynamical approach to superstatistics. Namely, we show that superstatistical distribution functions can be obtained from stationary solutions of the generalized Fokker-Planck equation…
Flexible spatial models that allow transitions between tail dependence classes have recently appeared in the literature. However, inference for these models is computationally prohibitive, even in moderate dimensions, due to the necessity…
We study analytically the order and gap statistics of particles at time $t$ for the one dimensional branching Brownian motion, conditioned to have a fixed number of particles at $t$. The dynamics of the process proceeds in continuous time…