Related papers: Stable and tempered stable distributions and proce…
Linear dynamical systems are canonical models for learning-based control of plants with uncertain dynamics. The setting consists of a stochastic differential equation that captures the state evolution of the plant understudy, while the true…
The aim of this paper is to present an elementary computable theory of probability, random variables and stochastic processes. The probability theory is baed on existing approaches using valuations and lower integrals. Various approaches to…
Stable distribution is one of the attractive models that well describes fat-tail behaviors and scaling phenomena in various scientific fields. The approach based upon the method of moments yields a simple procedure for estimating stable law…
We investigate the linear stability of a flat interface that separates a liquid layer from a fully-developed turbulent gas flow. In this context, linear-stability analysis involves the study of the dynamics of a small-amplitude wave on the…
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…
Dilative stability generalizes the property of selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. Inspired by results of Igl\'oi, we will show how dilatively stable…
In this paper we investigate some stochastic models for tumor-immune systems. To describe these models, we used a Wiener process, as the noise has a stabilization effect. Their dynamics are studied in terms of stochastic stability in the…
A stochastically continuous process $\xi(t)$, $t\geq0$, is said to be time-stable if the sum of $n$ i.i.d. copies of $\xi$ equals in distribution to the time-scaled stochastic process $\xi(nt)$, $t\geq0$. The paper advances the…
This book is an extension of my doctoral dissertation, focusing on techniques for analyzing stability (dissipativity) and achieving stabilization of linear systems that are characterized by non-trivial distributed delays. It specifically…
We consider a stochastic fluid queue served by a constant rate server and driven by a process which is the local time of a certain Markov process. Such a stochastic system can be used as a model in a priority service system, especially when…
The recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, making investors and financial regulators aware of the importance of…
We study a particular class of moving average processes which possess a property called localisability. This means that, at any given point, they admit a ``tangent process'', in a suitable sense. We give general conditions on the kernel g…
We investigate a class of stochastic fragmentation processes involving stable and unstable fragments. We solve analytically for the fragment length density and find that a generic algebraic divergence characterizes its small-size tail.…
In this paper, we address rare-event simulation for heavy-tailed L\'evy processes with infinite activities. The presence of infinite activities poses a critical challenge, making it impractical to simulate or store the precise sample path…
The stability of stationary solutions of first-order systems of PDE's are considered. They may include some singular geometric terms, leading to discontinuous flux and non-conservative products. Based on several examples in Fluid Mechanics,…
We develop the information geometry of L\'evy processes. Deriving $\alpha$-divergences directly in terms of the L\'evy triplets of the L\'evy processes, we identify Fisher information matrix and $\alpha$-connection on the statistical…
$\alpha$-stable distributions are utilised as models for heavy-tailed noise in many areas of statistics, finance and signal processing engineering. However, in general, neither univariate nor multivariate $\alpha$-stable models admit closed…
In this paper, we investigate asymptotic stability of linear time-varying systems with (sub-) stochastic system matrices. Motivated by distributed dynamic fusion over networks of mobile agents, we impose some mild regularity conditions on…
When very small particles are suspended in a fluid in motion, they tend to follow the flow. How such tracer particles are mixed, transported, and dispersed by turbulent flow has been successfully described by statistical models. Heavy…
We show that the hitting times for points of real $\alpha-$stable L\'evy processes ($1<\alpha\le 2$) are unimodal random variables. The argument relies on strong unimodality and several recent multiplicative identities in law. In the…