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We determine the limiting distribution and the explicit tail behavior for the maximal displacement of a branching symmetric stable process with spatially inhomogeneous branching structure. Here the branching rate is a Kato class measure…
Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) parametrization, are considered. We show for a class of BEKK-ARCH…
This paper is a continuation of the study on the stability speed for Markov processes. It extends the previous study of the ergodic convergence speed to the non-ergodic one, in which the processes are even allowed to be explosive or having…
We establish stability criterion for a two-class retrial system with Poisson inputs, general class-dependent service times and class-dependent constant retrial rates. We also characterise an interesting phenomenon of partial stability when…
Stochastic volatility processes with heavy-tailed innovations are a well-known model for financial time series. In these models, the extremes of the log returns are mainly driven by the extremes of the i.i.d. innovation sequence which leads…
We study the positive recurrence of multi-dimensional birth-and-death processes describing the evolution of a large class of stochastic systems, a typical example being the randomly varying number of flow-level transfers in a…
In this work characterizations of notions of output stability for uncertain time-varying systems described by retarded functional differential equations are provided. Particularly, characterizations by means of Lyapunov and Razumikhin…
Recently, the Wasserstein loss function has been proven to be effective when applied to deterministic full-waveform inversion (FWI) problems. We consider the application of this loss function in Bayesian FWI so that the uncertainty can be…
We consider an overdamped particle with a general physical mechanism that creates noisy active movement (e.g., a run-and-tumble particle or active Brownian particle etc.), that is confined by an external potential. Focusing on the limit in…
This paper addresses heavy-tailed large deviation estimates for the distribution tail of functionals of a class of spectrally one-sided L\'evy process. Our contribution is to show that these estimates remain valid in a near-critical regime.…
When modelling driven steady states of matter, it is common practice either to choose transition rates arbitrarily, or to assume that the principle of detailed balance remains valid away from equilibrium. Neither of those practices is…
Stochastic feedback systems give rise to a variety of notions of stability. The conditions for the stability of the median, mean, and variance stability conditions differ. These conditions can be stated explicitly for scalar discrete-time…
*First-principles derivation of the entropy production in erectric static conduction. *The second-order (symmetric) density matrix contributes to the entropy production. *New schemes of steady states formulated using a relaxation-type von…
Systems of stochastic particles evolving in a multi-well energy landscape and attracted to their barycenter is the prototypical example of mean-field process undergoing phase transitions: at low temperature, the corresponding mean-field…
A linear stability analysis of the hydrodynamic equations with respect to the homogeneous cooling state is performed to study the conditions for stability of a suspension of solid particles immersed in a viscous gas. The dissipation in such…
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…
We study the large time behavior of solutions to a linear transmission problem in one space dimension. The problem at hand models a thermoelastic material with second sound confined by a purely elastic one. We shall characterize all…
Consider a stochastic nonlinear system controlled over a possibly noisy communication channel. An important problem is to characterize the largest class of channels for which there exist coding and control policies so that the closed-loop…
We study the problem of system identification for stochastic continuous-time dynamics, based on a single finite-length state trajectory. We present a method for estimating the possibly unstable open-loop matrix by employing properly…
N. Fournier and A. Guillin obtained in their 2015 PTRF paper some bounds of the L^p-mean rate of convergence in Wasserstein distance of empirical distributions for a class of stationary mixing processes. In this paper, we propose to extend…