Related papers: On the maximal correlation of some stochastic proc…

For two independent Erd\H{o}s-R\'enyi graphs $\mathbf G(n,p)$, we study the maximal overlap (i.e., the number of common edges) of these two graphs over all possible vertex correspondence. We present a polynomial-time algorithm which finds a…

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…

Chatterjee's rank correlation \(\xi\) has emerged as a popular measure quantifying the strength of directed functional dependence between random variables $X$ and $Y$. If $X$ and $Y$ are continuous, $\xi$ equals Spearman's footrule~\(\psi\)…

We develop a theory of optimal transport for stationary random measures with a focus on stationary point processes and construct a family of distances on the set of stationary random measures. These induce a natural notion of interpolation…

(To appear in The American Statistician.) Distance covariance (Sz\'ekely, Rizzo, and Bakirov, 2007) is a fascinating recent notion, which is popular as a test for dependence of any type between random variables $X$ and $Y$. This approach…

Let $\{X_{1},\ldots,X_{N_1}\}$ and $\{Y_{1},\ldots,Y_{N_2}\}$ be two sequences of interdependent heterogeneous samples, where for $i=1,\ldots,N_{1},$ $X_{i}\sim \text{Kw-G}(x, \alpha_{i}, \gamma_{i};G)$ and for $i=1,\ldots,N_{2},$…

We observe a stochastic process $Y$ on $[0,1]^d$ ($d\geq 1$) satisfying $dY(t)=n^{1/2}f(t)dt$ + $dW(t)$, $t \in [0,1]^d$, where $n \geq 1$ is a given scale parameter (`sample size'), $W$ is the standard Brownian sheet on $[0,1]^d$ and $f…

We study the quenched invariance principle for random conductance models with long range jumps on $\Z^d$, where the transition probability from $x$ to $y$ is, on average, comparable to $|x-y|^{-(d+\alpha)}$ with $\alpha\in (0,2)$ but is…

We propose a variety of models of random walk, discrete in space and time, suitable for simulating stable random variables of arbitrary index $\alpha$ ($0< \alpha \le 2$), in the symmetric case. We show that by properly scaled transition to…

We study the relation between flow structure and fluid deformation in steady two-dimensional random flows. Beyond the linear (shear flow) and exponential (chaotic flow) elongation paradigms, we find a broad spectrum of stretching behaviors,…

We study a stochastic control problem where the underlying process follows a spectrally negative L\'{e}vy process. A controller can continuously increase the process but only decrease it at independent Poisson arrival times. We show the…

A tight upper bound is given on the distribution of the maximum of a supermartingale. Specifically, it is shown that if $Y$ is a semimartingale with initial value zero and quadratic variation process $[Y,Y]$ such that $Y + [Y,Y]$ is a…

We consider covariance parameter estimation for a Gaussian process under inequality constraints (boundedness, monotonicity or convexity) in fixed-domain asymptotics. We address the estimation of the variance parameter and the estimation of…

To obtain further insight on possible power law generalizations of Boltzmann equilibrium concepts, a stochastic collision model is investigated. We consider the dynamics of a tracer particle of mass $M$, undergoing elastic collisions with…

For a general c\`adl\`ag L\'evy process on a separable Banach space $V$ we estimate values of $\inf_{Y\in{\cal A}_X} \mathbb{E}\left\{ \psi\left( \Vert X - Y \Vert_\infty\right) + \mathrm{TV}(Y[0,T]) \right\}$, where ${\cal A}_X$ is the…

Even though strongly correlated systems are abundant, only a few exceptional cases admit analytical solutions. In this paper we present a large class of solvable systems with strong correlations.. We consider a set of $N$ independent and…

We investigate maxima of linear processes with i.i.d. heavy-tailed innovations and random coefficients. Using the point process approach we derive functional convergence of the partial maxima stochastic process in the space of…

In this article, we obtain the exact distribution of a linear combination of bilateral gamma (BG) random variables (r.v.s). Next, we discuss the distributional properties of the linear combination of BG r.v.s, including probability density…

We consider a new method of the semiparametric statistical estimation for the continuous-time moving average L\'evy processes. We derive the convergence rates of the proposed estimators, and show that these rates are optimal in the minimax…

Many-body stochastic processes with weighted multiplicative interactions are investigated analytically and numerically. An interaction rate between particles with quantities $x, y$ is controlled by a homogeneous symmetric kernel $K(x, y)…