Related papers: Critical volatility threshold for log-normal to po…
We study the phase transition in a class of fiber bundle models in which the fiber strengths are distributed randomly within a finite interval and global load sharing is assumed. The dynamics is expressed as recursion relations for the…
We introduce and study numerically a directed two-dimensional sandpile automaton with probabilistic toppling (probability parameter p) which provides a good laboratory to study both self-organized criticality and the far-from-equilibrium…
We show that the quotient of Levy processes of jump-diffusion type has a fat-tailed distribution. An application is to price theory in economics. We show that fat tails arise endogenously from modeling of price change based on an excess…
We study how the presence of correlations in physical variables contributes to the form of probability distributions. We investigate a process with correlations in the variance generated by (i) a Gaussian or (ii) a truncated L\'{e}vy…
Consider growing a network, in which every new connection is made between two disconnected nodes. At least one node is chosen randomly from a subset consisting of $g$ fraction of the entire population in the smallest clusters. Here we show…
This paper applies the theory of continuous phase transitions of statistical mechanics to a slider-block model. The slider-block model is chosen as a representative of systems with avalanches. Similar behavior can be observed in a…
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time.…
We study a new technique for the asymptotic analysis of heavy-tailed systems conditioned on large deviations events. We illustrate our approach in the context of ruin events of multidimensional regularly varying random walks. Our approach…
In this paper we consider the one-dimensional, biased, randomly trapped random walk when the trapping times have infinite variance. We prove sufficient conditions for the suitably scaled walk to converge to a transformation of a stable…
Let $\left\{ Z_{n},n=0,1,2,...\right\} $ be a critical branching process in i.i.d. random environment, $Z_{r,n}$ be the number of particles in the process at moment $0\leq r\leq n-1$ that have a positive number of descendants in generation…
We consider a randomly forced particle moving in a finite region, which rebounds inelastically with coefficient of restitution r on collision with the boundaries. We show that there is a transition at a critical value of r, r_c\equiv…
The contribution of this paper is to introduce change of measure based techniques for the rare-event analysis of heavy-tailed stochastic processes. Our changes-of-measure are parameterized by a family of distributions admitting a mixture…
In this visualisation, the transition from laminar to turbulent flow is characterised by the intermittent ejection of wall fluid into the outer stream. The normalised thickness of the viscous flow layer reaches an asymptotic value but the…
Many astronomical phenomena, including Fast Radio Bursts and Soft Gamma Repeaters, consist of brief, separated, seemingly aperiodic events. The intervals between these events vary randomly, but there are epochs of greater activity, with…
Scale-free dynamics in physical and biological systems can arise from a variety of causes. Here, we explore a branching process which leads to such dynamics. We find conditions for the appearance of power laws and study quantitatively what…
The origin of power-law distributions in self-organized criticality is investigated by treating the variation of the number of active sites in the system as a stochastic process. An avalanche is then regarded as a first-return random walk…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
Infinite sums of i.i.d. random variables discounted by a multiplicative random walk are called perpetuities and have been studied by many authors. The present paper provides a log-type moment result for such random variables under minimal…
Bond percolation on infinite heavy-tailed power-law random networks lacks a proper phase transition; or one may say, there is a phase transition at {\em zero percolation probability}. Nevertheless, a finite size percolation threshold…
Landslide movements typically show a series of progressively shorter quiescent phases, punctuated by sudden bursts during an acceleration crisis. We propose that such intermittent rupture phenomena can be described by a log-periodic power…