Related papers: Free Random Levy Matrices
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…
The L\'evy, jumping process, defined in terms of the jumping size distribution and the waiting time distribution, is considered. The jumping rate depends on the process value. The fractional diffusion equation, which contains the variable…
We analyze the Levy processes produced by means of two interconnected classes of non stable, infinitely divisible distribution: the Variance Gamma and the Student laws. While the Variance Gamma family is closed under convolution, the…
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For L\'evy processes, a widely applied class of stochastic processes, these notions have not been studied. By the…
Random-matrix theory is applied to transition-rate matrices in the Pauli master equation. We study the distribution and correlations of eigenvalues, which govern the dynamics of complex stochastic systems. Both the cases of identical and of…
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent convex dynamic procedures in a non dominated setting.…
Dyson demonstrated an equivalence between infinite-range Coulomb gas models and classical random matrix ensembles for study of eigenvalue statistics. We introduce finite-range Coulomb gas (FRCG) models via a Brownian matrix process, and…
For a general free L\'evy process, we prove the existence of its higher variation processes as limits in distribution, and identify the limits in terms of the L\'evy-It\^o representation of the original process. For a general free compound…
We establish inequalities for assessing the distance between the distribution of errors of partially observed high-frequency statistics of multidimensional L\'evy processes and that of a mixed Gaussian random variable. Furthermore, we…
Okamoto has obtained a sequence of $\tau$-functions for the \PVI system expressed as a double Wronskian determinant based on a solution of the Gauss hypergeometric equation. Starting with integral solutions of the Gauss hypergeometric…
We studied global density-of-states correlation function $R(\omega)$ for L\'evy-Rosenzweig-Porter random matrix ensemble in the non-ergodic extended phase. Using an extension of Efetov's supersymmetry approach we calculated $R(\omega)$…
We present an analytical technique to compute the probability of rare events in which the largest eigenvalue of a random matrix is atypically large (i.e.\ the right tail of its large deviations). The results also transfer to the left tail…
In random matrix theory, Marchenko-Pastur law states that random matrices with independent and identically distributed entries have a universal asymptotic eigenvalue distribution under large dimension limit, regardless of the choice of…
We revisit Ito's (\cite{I1989}) natural extension of the Farey tent map, which generates all regular continued fraction convergents and mediants of a given irrational. With a slight shift in perspective on the order in which these…
Heavy-tailed fluctuations and power law statistics pervade physics, finance, and economics, yet their origin is often ascribed to systems poised near criticality. Here we show that such behavior can emerge far from instability through a…
In this paper we first provide several conditional limit theorems for L\'evy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic behavior of expectations of some exponential functionals of…
Let $V$ be a projective limit, with respect to the renormalized norm mappings, of the groups of principal units corresponding to a strictly increasing sequence of finite separable totally and tamely ramified Galois extensions of a local…
In this paper we review and compare the numerical evaluation of those probability distributions in random matrix theory that are analytically represented in terms of Painlev\'e transcendents or Fredholm determinants. Concrete examples for…
Invariant ensembles of random matrices are characterized by the distribution of their eigenvalues $\{\lambda_1,\cdots,\lambda_N\}$. We study the distribution of truncated linear statistics of the form $\tilde{L}=\sum_{i=1}^p f(\lambda_i)$…
In this paper, we present a new framework to obtain tail inequalities for sums of random matrices. Compared with existing works, our tail inequalities have the following characteristics: 1) high feasibility--they can be used to study the…