Related papers: Extreme deviations and applications
We study the one-dimensional branching random walk in the case when the step size distribution has a stretched exponential tail, and, in particular, no finite exponential moments. The tail of the step size $X$ decays as $\mathbb{P}[X \geq…
The problem of sums of independent, identically distributed random variables with stretched-exponential tails exhibits a dynamical phase transition and has recently reemerged in the context of active transport and condensation phenomena. We…
Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivariate framework, the tail dependence is characterized by the…
Probability density function (PDF) of passive scalar dissipation ${\cal P} (\epsilon)$ is found analytically in the limit of large Peclet and Prandtl numbers (Batchelor-Kraichnan regime) in two dimensions. The tail of PDF at…
We propose an approach to compute the conditional moments of fat-tailed phenomena that, only looking at data, could be mistakenly considered as having infinite mean. This type of problems manifests itself when a random variable Y has a…
Stretched-exponential relaxation is a widely observed phenomenon found in ordered ferromagnets as well as glassy systems. One modeling approach connects this behavior to a droplet dynamics described by an effective Langevin equation for the…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
The gravitational evolution of the cosmic one-point Probability Distribution Function (PDF) can be estimated using an analytic approximation that combines gravitational Perturbation Theory (PT) with the Edgeworth expansion around a Gaussian…
We elaborate the statistical field theory of Turbulence suggested in the previous paper \cite{M20a}. We clarify and simplify the basic Energy pumping equation of that theory and study mathematical properties of singular field configuration…
Let F be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail distribution of the maxima of the random walk generated by F.…
The normalized probability density function (PDF) of global measures of a large class of highly correlated systems has previously been demonstrated to fall on a single non-Gaussian "universal" curve. We derive the functional form of the…
We show that the anomalous diffusion equations with a fractional derivative in the Caputo or Riesz sense are strictly related to the special convolution properties of the L\'evy stable distributions which stem from the evolution properties…
We report a joint experimental and theoretical investigation of the probability distribution functions (pdf's) of the normal and tangential (frictional) forces in amorphous frictional media. We consider both the joint pdf of normal and…
In a general class of one dimensional random differential equation the convergence of the distribution function of the solution to stationary state distribution is studied. In particular it is proved the boundedness respectively the…
Anomalous dynamics characterized by non-Gaussian probability distributions (PDFs) and/or temporal long-range correlations can cause subtle modifications of conventional fluctuation relations. As prototypes we study three variants of a…
Anomalous relaxation and diffusion processes have been widely characterized by fractional derivative models, where the definition of the fractional-order derivative remains a historical debate due to the singular memory kernel that…
Recent numerical explorations of extremely intense circulation fluctuations at high Reynolds number flows have brought to light novel aspects of turbulent intermittency. Vortex gas modeling ideas, introduced alongside such developments,…
We conduct numerical experiments to determine the density probability distribution function (PDF) produced in supersonic, isothermal, self-gravitating turbulence of the sort that is ubiquitous in star-forming molecular clouds. Our…
In recent years several local extrema based methodologies have been proposed to investigate either the nonlinear or the nonstationary time series for scaling analysis. In the present work we study systematically the distribution of the…
We present the first prediction of the probability distribution function (PDF) for self-organization of shear flows modeled by a nonlinear diffusion equation with a stochastic forcing. A novel non-perturbative method based on a coherent…