Related papers: Orthogonal gamma-based expansion for the CIR's fir…

The gamma distribution arises frequently in Bayesian models, but there is not an easy-to-use conjugate prior for the shape parameter of a gamma. This inconvenience is usually dealt with by using either Metropolis-Hastings moves, rejection…

We study linear chance-constrained problems where the coefficients follow a Gaussian mixture distribution. We provide mixed-binary quadratic programs that give inner and outer approximations of the chance constraint based on piecewise…

We study a new class of time inhomogeneous P\'olya-type urn schemes and give optimal rates of convergence for the distribution of the properly scaled number of balls of a given color to nearly the full class of generalized gamma…

In this paper we study the jump-diffusion CIR process (shorted as JCIR), which is an extension of the classical CIR model. The jumps of the JCIR are introduced with the help of a pure-jump L\'evy process $(J_t, t \ge 0)$. Under some…

In this paper, we present extensions of the exact simulation algorithm introduced by Beskos et al. (2006). First, a modification in the order in which the simulation is done accelerates the algorithm. In addition, we propose a truncated…

In this paper, we present a fractional decomposition of the probability generating function of the innovation process of the first-order non-negative integer-valued autoregressive [INAR(1)] process to obtain the corresponding probability…

In this paper, we introduce a new and efficient data augmentation approach to the posterior inference of the models with shape parameters when the reciprocal gamma function appears in full conditional densities. Our approach is to…

Certain biological reactions, such as receptor-ligand binding at cell-cell interfaces and macromolecules binding to biopolymers, require many smaller molecules crowding a reaction site to be cleared. Examples include the T cell interface, a…

For a one-dimensional Wiener process with stochastic resetting ${\cal X}(t)$, obtained from an underlying Wiener process $X(t),$ we study the statistical properties of its first-passage time through zero, when starting from $x>0,$ and its…

The Gamma distribution is well-known and widely used in many signal processing and communications applications. In this letter, a simple and extremely efficient accept/reject algorithm is introduced for the generation of independent random…

Fluctuations in stochastic systems are usually characterized by the full counting statistics, which analyzes the distribution of the number of events taking place in the fixed time interval. In an alternative approach, the distribution of…

Statistics of stochastic processes are crucially influenced by the boundary conditions. In one spatial dimension, for example, the first passage time distribution in semi-infinite space (one absorbing boundary) is markedly different from…

This paper introduces a new method for performing computational inference on log-Gaussian Cox processes. The likelihood is approximated directly by making novel use of a continuously specified Gaussian random field. We show that for…

Several representations of the exact cdf of the sum of squares of n independent gamma-distributed random variables Xi are given, in particular by a series of gamma distribution functions. Using a characterization of the gamma distribution…

This paper concerns the first passage times of Bessel processes to a point on the positive real line. We are interested in the case when the process starts at a position on its right and compute the densities of the distributions of the…

Insight into a number of interesting questions in cosmology can be obtained from the first crossing distributions of physically motivated barriers by random walks with correlated steps. We write the first crossing distribution as a formal…

First-passage properties are central to the kinetics of target-search processes. Theoretical approaches so far primarily focused on predicting first-passage statistics for a given process or model. In practice, however, one faces the…

A standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coefficients on the boundary, which excludes the possibility of absorption. In this paper we consider…

We determine the asymptotic speed of the first-passage percolation process on some ladder-like graphs (or width-2 stretches) when the times associated with different edges are independent and exponentially distributed but not necessarily…

We investigate the fluctuations of the time elapsed until the electric charge transferred through a conductor reaches a given threshold value. For this purpose, we measure the distribution of the first-passage times for the net number of…