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Hawkes point processes are first-order non-Markovian stochastic models of intermittent bursty dynamics with applications to physical, seismic, epidemic, biological, financial, and social systems. While accounting for positive feedback loops…
Fluctuations in biodiversity, large and small, are pervasive in the fossil record, yet we do not understand the processes generating them. Here we extend theory from non-equilibrium statistical physics to describe the previously unaccounted…
It is well-known that the expected scaled maximum of non-negative random variables with unit mean defines a stable tail dependence function associated with some extreme-value copula. In the special case when these random variables are…
We explore the spectral properties of the $4$-fermion Sachdev-Ye-Kitaev model with interaction sourced from a L\'evy Stable (fat-tailed) distribution. L\'evy random matrices are known to demonstrate non-ergodic behaviour through the…
These lecture notes give a short review of methods such as the matrix ansatz, the additivity principle or the macroscopic fluctuation theory, developed recently in the theory of non-equilibrium phenomena. They show how these methods allow…
In complex systems, crucial parameters are often subject to unpredictable changes in time. Climate, biological evolution and networks provide numerous examples for such non-stationarities. In many cases, improved statistical models are…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
To comprehensively understand saturation of two-dimensional ($2$D) magnetized Kelvin-Helmholtz-instability-driven turbulence, energy transfer analysis is extended from the traditional interaction between scales to include eigenmode…
Estimating eigenvectors and low-dimensional subspaces is of central importance for numerous problems in statistics, computer science, and applied mathematics. This paper characterizes the behavior of perturbed eigenvectors for a range of…
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…
Increasing evidence suggests that active matter exhibits instances of mixed symmetry that cannot be fully described by either polar or nematic formalism. Here, we introduce a minimal model that integrates self-propulsion into the active…
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior…
Non-Markovian dynamics go beyond the Markovian approximation by capturing memory effects and information backflow in open quantum systems, which are crucial for describing realistic physical processes. In this work, we study the exact…
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average…
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive…
Wave turbulence describes the long-time statistical behavior of out-of-equilibrium systems composed of weakly interacting waves. Non-Hermitian media ranging from open quantum systems to active materials can sustain wave propagation in…
We study the tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes -- that is, solutions to Langevin-type stochastic differential equations driven by a background continuous-time Markov chain. To this end, we consider a…
Electron plasmas confined by an external magnetic field exhibit variations in a two-dimensional plane orthogonal to the confining magnetic field. A nonlinear fluid simulation code to investigate the properties of 2-D electron plasma wave…
The analytical theory of non-linear generation of large-scale magnetic turbulence in anisotropic magnetoactive plasma in the quasilinear approximation without taking into account the direct non-linear interaction of individual harmonics is…
We present a mechanism to generate unidirectional pulse-shaped propagating waves, tamed to exponential growth and dispersion, in active systems with nonreciprocal and nonlinear couplings. In particular, when all bulk modes are exponentially…