Related papers: Fluctuation theory for spectrally negative L\'evy …
For a scalar theory whose classical scale invariance is broken by quantum effects, we compute self-consistent bounce solutions and Green's functions. Deriving analytic expressions, we find that the latter are similar to the Green's…
We investigate the density decay in the pair-annihilation process A+A->0 in the case when the particles perform anomalous diffusion on a cubic lattice. The anomalous diffusion is realized via L\'evy flights, which are characterized by…
In this work we study contributions due to vector and axial-vector meson fluctuations to their in-medium spectral functions in an effective low-energy theory inspired by the gauged linear sigma model. In particular, we show how to describe…
In this paper we consider storage and inventory systems. Our aim is to apply and review main results of the fluctuation theory of stochastic processes in the context of storage and inventory modeling. We describe systems where the inflow is…
A simple model of an irreversible process is introduced. The equation of iterations in the model includes a noise generation term. We study the properties of the system when the noise generation term is a stochastic process (e.g. a random…
We establish a novel characterisation of the law of the convex minorant of any L\'evy process. Our self-contained elementary proof is based on the analysis of piecewise linear convex functions and requires only very basic properties of…
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact…
We investigate harmonic functions and the convergence of the sequence of ratios $(P_x(\tau_\vartheta {>} n)/P_e(\tau_\vartheta {>} n))$ for a random walk on a countable group killed up on the time $\tau_\vartheta$ of the first exit from…
We provide a novel expression of the scale function for a L\'evy processes with negative phase-type jumps. It is in terms of a certain transition rate matrix which is explicit up to a single positive number. A monotone iterative scheme for…
Functional equations satisfied by additive functions have a special interest not only in the theory of functional equations, but also in the theory of (commutative) algebra because the fundamental notions such as derivations and…
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative Levy process until the passage time of a given level. Their marginal distributions up to an independent exponential time are also…
In this paper we study the asymptotic properties of the power variations of stochastic processes of the type X=Y+L, where L is an alpha-stable Levy process, and Y a perturbation which satisfies some mild Lipschitz continuity assumptions. We…
In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two L\'evy processes if it is above (or below) a barrier $b$ and coincides with a Poissonian arrival…
In J. Stat. Phys. 115, 415-449 (2004) Brydges, Guadagni and Mitter proved the existence of multiscale expansions of a class of lattice Green's functions as sums of positive definite finite range functions (called fluctuation covariances).…
Strong violations of existing fluctuation theorems may arise in nonequilibrium steady states characterized by distributions with power-law tails. The ratio of the probabilities of positive and negative fluctuations of equal magnitude…
A method for extracting the Levy stability index $\mu$ from the multi-fractal spectrum $f(\alpha)$ in high energy multiparticle production is proposed. This index is an important parameter, characterizing the non-linear behaviour of…
We introduce a meta-population version of models of asymmetric exclusion models, consisting of a spatial arrangement of patches. Patches are of a specific size, indicating the maximal number of particles they can hold. We use an expansion…
We present new numerical schemes to integrate stochastic partial differential equations which describe the spatio-temporal dynamics of reaction-diffusion (RD) problems under the effect of internal fluctuations. The schemes conserve the…
Stochastic thermodynamics is an important development in the direction of finding general thermodynamic principles for non-equilibrium systems. We believe stochastic thermodynamics has the potential to benefit from the measure-theoretic…
We consider additive functionals of stationary Markov processes and show that under Kipnis-Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Levy area that can be…