Related papers: Conditioning to avoid bounded sets for a one-dimen…
If moments of singular measures are passed as inputs to the entropy maximization procedure, the optimization algorithm might not terminate. The framework developed in our previous paper demonstrated how input moments of measures, on a broad…
An obvious way to simulate a L\'evy process $X$ is to sample its increments over time $1/n$, thus constructing an approximating random walk $X^{(n)}$. This paper considers the error of such approximation after the two-sided reflection map…
We consider the problem of computing the maximal invariant set of discrete-time linear systems subject to a class of non-convex constraints that admit quadratic relaxations. These non-convex constraints include semialgebraic sets and other…
In this paper, we obtain fundamental $\mathcal{L}_{p}$ bounds in sequential prediction and recursive algorithms via an entropic analysis. Both classes of problems are examined by investigating the underlying entropic relationships of the…
The Levy Walk is the process with continuous sample paths which arises from consecutive linear motions of i.i.d. lengths with i.i.d. directions. Assuming speed 1 and motions in the domain of beta-stable attraction, we prove functional limit…
In this paper, we study nonparametric estimation of the L\'{e}vy density for L\'{e}vy processes, with and without Brownian component. For this, we consider $n$ discrete time observations with step $\Delta$. The asymptotic framework is: $n$…
A traffic model on an open one-dimensional lattice is considered. At any discrete time moment, with prescribed probability, a particle arrives to the leftmost cell of the lattice, and, with prescribed probability, the arriving particle…
One reason for the well known fact that the Complex Langevin (CL) method sometimes fails to converge or converges to the wrong limit has been identified long ago: it is insufficient decay of the probability density either near infinity or…
Under mild non-degeneracy assumptions on branching rates in each generation, we provide a criterion for almost-sure extinction of a multi-type branching process with time-dependent branching rates. We also provide a criterion for the total…
Motivated by applications where impatience is pervasive and evaluation times are uncertain, we study a selection model where options may expire at an unknown point in time and evaluation times are stochastic. Initially, the decision-maker…
In this paper we study the convergence of solutions for (possibly degenerate) stochastic differential equations driven by L\'evy processes, when the coefficients converge in some appropriate sense. First, we prove, by means of a…
We devise an algorithm which, given a bounded automaton A, decides whether the group generated by A is finite. The solution comes from a description of the infinite sequences having an infinite A-orbit using a deterministic finite-state…
Taking account of recent developments in the representation of $d$-dimensional isotropic stable L\'evy processes as self-similar Markov processes, we consider a number of new ways to condition its path. Suppose that $\Omega$ is a region of…
In this paper we study a one-parameter family of attractive reversible nearest particle system on a finite interval. As the length of the interval increases, the time that the nearest particle system first hits the empty set increases in…
In this paper, we study a version of the perpetual American call/put option where exercise opportunities arrive only periodically. Focusing on the exponential L\'evy models with i.i.d. exponentially-distributed exercise intervals, we show…
We introduce the notion of limiting theories, giving examples and providing a sufficient condition under which the first order theory of a structure is the limit of the first order theories of a collection of substructures. We also give a…
Deterministic timed automata are strictly less expressive than their non-deterministic counterparts, which are again less expressive than those with silent transitions. As a consequence, timed automata are in general non-determinizable.…
Several finite difference methods are proposed for the infinitesimal generator of 1D asymmetric $\alpha$-stable L\'{e}vy motions, based on the fact that the operator becomes a multiplier in the spectral space. These methods take the general…
Efficient computation of trajectories of switched affine systems becomes possible, if for any such hybrid system, we can manage to efficiently compute the sequence of switching times. Once the switching times have been computed, we can…
Pathwise predictability and predictors for discrete time processes are studied in deterministic setting. It is suggested to approximate convolution sums over future times by convolution sums over past time. It is shown that all band-limited…