Related papers: Return times for Stochastic processes with power-l…
In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous…
This work is devoted to the study of the scaling, and the consequent power-law behavior, of the correlation function in a mutation-replication model known as the expansion-modification system. The latter is a biology inspired random…
Power-law distributions are essential in computational and statistical investigations of extreme events and complex systems. The usual technique to generate power-law distributed data is to first infer the scale exponent $\alpha$ using the…
In a recent publication [PRL {\bf 81}, 1142 (1998)] it was argued that a randomly forced particle which collides inelastically with a boundary can undergo inelastic collapse and come to rest in a finite time. Here we discuss the survival…
We consider stochastic processes where randomly chosen particles with positive quantities x, y (> 0) interact and exchange the quantities asymmetrically by the rule x' = c{(1-a) x + b y}, y' = d{a x + (1-b) y} (x \ge y), where (0 \le) a, b…
Skewness and kurtosis are fundamental statistical moments commonly used to quantify asymmetry and tail behavior in probability distributions. Despite their widespread application in statistical mechanics, condensed matter physics, and…
We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
The state of a stochastic process evolving over a time $t$ is typically assumed to lie on a normal distribution whose width scales like $t^{1/2}$. However, processes where the probability distribution is not normal and the scaling exponent…
We investigate the scaling properties of products of the exponential of birth--death processes with certain given marginal discrete distributions and covariance structures. The conditions on the mean, variance and covariance functions of…
Multiplicative random processes in (not necessaryly equilibrium or steady state) stochastic systems with many degrees of freedom lead to Boltzmann distributions when the dynamics is expressed in terms of the logarithm of the normalized…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
The analysis of dissipation and dephasing in driven mesoscopic devices requires a distinction between two notions of quantum irreversibility. One ("Loschmidt echo") is related to "time reversal", while the other is related to "driving…
For discrete-time stochastic processes, there is a close connection between return/waiting times and entropy. Such a connection cannot be straightforwardly extended to the continuous-time setting. Contrarily to the discrete-time case one…
The Extremal Index is a parameter that measures the intensity of clustering of rare events and is usually equal to the reciprocal of the mean of the limiting cluster size distribution. We show how to build dynamically generated stochastic…
Following findings by Ormerod and Mounfield, Wright rises the problem whether a power or an exponential law describes the distribution of occurrences of economic recession periods. In order to clarify the controversy a different set of GDP…
A mapping of nonextensive statistical mechanics into Gibbs' statistical mechanics exists, which leads to a generalization of Einstein's formula for fluctuations. A unified treatment of stability of relaxed states in nonextensive statistical…
A mass ejection model in a time-dependent random environment with both temporal and spatial correlations is introduced. When the environment has a finite correlation length, individual particle trajectories are found to diffuse at large…
The ARCH process (R. F. Engle, 1982) constitutes a paradigmatic generator of stochastic time series with time-dependent variance like it appears on a wide broad of systems besides economics in which ARCH was born. Although the ARCH process…
Dynamical systems with $\epsilon$ small random perturbations appear in both continuous mechanical motions and discrete stochastic chemical kinetics. The present work provides a detailed analysis of the central limit theorem (CLT), with a…