Related papers: A finite-state stationary process with long-range …
Heavy-tailed distributions are found throughout many naturally occurring phenomena. We have reviewed the models of stochastic dynamics that lead to heavy-tailed distributions (and power law distributions, in particular) including the…
This paper deals with the problem of inference associated with linear fractional diffusion process with random effects in the drift. In particular we are concerned with the maximum likelihood estimators (MLE) of the random effect…
Physical systems with many degrees of freedom can often be understood in terms of transitions between a small number of metastable states. For time-homogeneous systems with short-term memory these transitions are fully characterized by a…
We study the non-stationary Feller process with time varying coefficients. We obtain the exact probability distribution exemplified by its characteristic function and cumulants. In some particular cases we exactly invert the distribution…
We study the applicability of the time-dependent variational principle in matrix product state manifolds for the long time description of quantum interacting systems. By studying integrable and nonintegrable systems for which the long time…
This article develops a periodic version of a time varying parameter fractional process in the stationary region. It is a partial extension of Hosking (1981)'s article which dealt with the case where the coefficients are invariant in time.…
A family of self-similar and translation-invariant random sup-measures with long-range dependence are investigated. They are shown to arise as the limit of the empirical random sup-measure of a stationary heavy-tailed process, inspired by…
In this paper, the problem of non-fragile finite-time stabilization for linear discrete mean-field stochastic systems is studied. The uncertain characteristics in control parameters are assumed to be random satisfying the Bernoulli…
We herein report a new class of impulsive fractional stochastic differential systems driven by mixed fractional Brownian motions with infinite delay and Hurst parameter $\hat{\cal H} \in ( 1/2, 1)$. Using fixed point techniques, a…
The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
We study three different experiments that involve dry friction and periodic driving, and which employ both single and many-particle systems. These experimental set-ups, besides providing a playground for investigation of frictional effects,…
Long-range dependence induced by heavy tails is a widely reported feature of internet traffic. Long-range dependence can be defined as the regular variation of the variance of the integrated process, and half the index of regular variation…
The reduction of a continuous Markov process with multiple metastable states to a discrete rate process is investigated in the presence of slow time dependent parameters such as periodic external forces or slowly fluctuating barrier…
We consider a fixed-point equation for a non-negative integer-valued random variable, that appears in branching processes with state-independent immigration. A similar equation appears in the analysis of a single-server queue with a…
Ordinal pattern dependence is a multivariate dependence measure based on the co-movement of two time series. In strong connection to ordinal time series analysis, the ordinal information is taken into account to derive robust results on the…
We consider a class of stationary processes exhibiting both long-range dependence and heavy tails. Separate limit theorems for sums and for extremes have been established recently in literature with novel objects appearing in the limits. In…
In this manuscript, we investigate a fractional stochastic neutral differential equation with time delay, which includes both deterministic and stochastic components. Our primary objective is to rigorously prove the existence of a unique…
We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint…
A popular measure of association is the tail dependence coefficient which measures the strength of dependence in either the lower-left or upper-right tail of a bivariate distribution. In this paper, we develop the idea of quantile…