Related papers: On singular probability densities generated by ext…
Maximum entropy (maxEnt) inference of state probabilities using state-dependent constraints is popular in the study of complex systems. In stochastic dynamical systems, the effect of state space topology and path-dependent constraints on…
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the…
We study extreme events of avalanche activities in finite-size two-dimensional self-organized critical (SOC) models, specifically the stochastic Manna model (SMM) and the Bak-Tang-Weisenfeld (BTW) sandpile model. Employing the approach of…
We consider a stationary stochastic volatility field $Y_vZ_v$ with $v\in\mathbb{Z}^d$, where $Z$ is regularly varying and $Y$ has lighter tails and is independent of $Z$. We make - relative to existing literature - very general assumptions…
We present a random-matrix realization of a two-dimensional percolation model with the occupation probability $p$. We find that the behavior of the model is governed by the two first extreme eigenvalues. While the second extreme eigenvalue…
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…
The study of the normalized sum of random variables and its asymptotic behaviour has been and continues to be a central chapter in probability and statistical mechanics. When those variables are independent the central limit theorem ensures…
We define a new variant of exclusion processes in discrete time that has jump probabilities that depend on the last jump performed. In a particular limit for the jump probabilities and in suitable scaling limits for space and time, we…
The analysis of spatial extremes requires the joint modeling of a spatial process at a large number of stations and max-stable processes have been developed as a class of stochastic processes suitable for studying spatial extremes. Spatial…
An extremal model for the plasticity of amorphous materials is studied in a simple two-dimensional anti-plane geometry. The steady-state is analyzed through numerical simulations. Long-range spatial and temporal correlations in local slip…
A network evolution with predicted tail and extremal indices of PageRank and the Max-Linear Model used as node influence indices in random graphs is considered. The tail index shows a heaviness of the distribution tail. The extremal index…
Extremal graphical models encode the conditional independence structure of multivariate extremes. Key statistics for learning extremal graphical structures are empirical extremal variograms, for which we prove non-asymptotic concentration…
Predicting extreme events in nonlinear dynamical systems is challenging due to a limited understanding of their statistical properties. This study numerically and theoretically investigates the statistical properties of infinite-modal maps…
We study two driven dynamical systems with conserved energy. The two automata contain the basic dynamical rules of the Bak, Tang and Wiesenfeld sandpile model. In addition a global constraint on the energy contained in the lattice is…
In this paper, we study a model for opinion dynamics where the influence weights of agents evolve in time via an equation which is coupled with the opinions' evolution. We explore the natural question of the large population limit with two…
Typically, in the dynamical theory of extremal events, the function that gauges the intensity of a phenomenon is assumed to be convex and maximal, or singular, at a single, or at most a finite collection of points in phase--space. In this…
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…
This article connects the theory of extremal doubly stochastic measures to the geometry and topology of optimal transportation. We begin by reviewing an old question (# 111) of Birkhoff in probability and statistics [4], which is to give a…
A regularly varying time series as introduced in Basrak and Segers (2009) is a (multivariate) time series such that all finite dimensional distributions are multivariate regularly varying. The extremal behavior of such a process can then be…
The Abelian sandpile model was the first example of a self-organized critical system studied by Bak, Tang and Wiesenfeld. The dynamics of the sandpiles occur when the grains topple over a graph. In this study, we allow the graph to evolve…